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Extract Model Residuals

Source: R/utility_functions.R
residuals.bayesianVARs_bvar.Rd

Extract model residuals, defined as the difference between the observed time-series and the in-sample predictions of the VAR model. Because in-sample prediction is subject to uncertainty of the VAR parameter estimates, this uncertainty carries over to the model residuals.

Usage

# S3 method for class 'bayesianVARs_bvar'
residuals(object, ...)

Arguments

object

A bayesianVARs_bvar object estimated via bvar().

...

Passed to fitted.bayesianVARs_bvar().

Value

An object of class bayesianVARs_residuals.

See also

fitted.bayesianVARs_bvar

Examples

# Access a subset of the usmacro_growth dataset
data <- usmacro_growth[,c("GDPC1", "CPIAUCSL", "FEDFUNDS")]

# Estimate a model
mod <- bvar(data, sv_keep = "all", quiet = TRUE)

mod.resids <- residuals(mod)
plot(mod.resids)