23/11/2015

Question5.3|EstimatingVARs|MFxCourseware|edX

IMFx: MFx Macroeconomic Forecasting

Getting Started

Entry Survey
and Pre-Course
Quiz

QUESTION 5.3 (1/1 point)

Which of the following conditions need to be satisfied by the residuals of a
reduced-form VAR? Select all that apply.
Need to be serially uncorrelated.

Course
Introduction

Need to have mean zero.

Module 1:
EViews Basics
(Optional)

Need to be uncorrelated with the residuals from another equation.

Need to be uncorrelated with every right-hand side variable.

Module 2:
Introduction to
EViews

EXPLANATION

Module 3A:
Statistical
Properties of
Time Series
Data

Module 3B:
Statistical
Properties of
Time Series
Data

The residuals from a reduced-form VAR need to be white noises, i.e.

be serially uncorrelated, have mean zero (and also finite variance).
However, they do not need to be uncorrelated with the residuals of
other equations (in general the contemporaneous variancecovariance matrix of the residuals is not diagonal), so the reducedform residuals are not orthogonal and cannot be interpreted as
structural shocks. As in any well-specified regression model, the
residuals need to be uncorrelated with the other right-hand side
variables.

You have used 1 of 3 submissions

Module 4:
Forecast
Uncertainty &
Model
Evaluation

Module 5:

Vector
Autoregressions
(VARs)
Introduction to
VARs

https://courses.edx.org/courses/coursev1:IMFx+MFx+2015T3/courseware/c7a914d5671e453eace54746594f5d63/af626a308c1745b79e785578a8d2bb6c/

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