Dear Stata users,
I have a VAR(1) model and need to get the residuals from each equation in the var. I have tried several things including estimating each equation of VAR separately and then getting the residuals. Even though the residuals from VAR using OLS can be easily computed, it seems like they are not correct (I am replicating the paper so I can compare the estimated values with those estimated by the authors in the original paper).
Any ideas how to do that?I looked on SATALIST etc. and its seems like there has been no answer to this problem..
Many thanks!