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Results tagged with residuals
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user 262939
The residuals of a model are the actual values minus the predicted values. Many statistical models make assumptions about the error, which is estimated by the residuals.
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Why is R returning NA coefficient-values on dummy variables in VAR-model?
The reason for the dummy's is to make the residuals normal, so by excluding the biggest outliers. … ,var.data1[,"CPI1"], var.data1[,"INT"])
colnames(var.sa) <-c("DOIL", "DU","BNP","CPI","INT")
var.sa #OIL, Unemployment diffade
model.sa1<-VAR(var.sa, type = c("const"), p=1 ,ic = c("AIC"))
res.sa1<-residuals …
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What happens when we model outliers as dummy's in a VAR-system?
In the process we test for autocorrelation and normally distributed residuals, and find that the later is not satisfied. … We now estimate a new VAR(p) model and see that we now have no autocorrelation and normally distributed residuals. …
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