The RATS Software Forum

Hi Tom,
i finished the numerical problems from the Lütkephol book "New Intro...", p. 191.
I got stuck only with the pb 4.8, i'd like to compute the residual autocorrelation and their estimated standard errors and graph them(file attached).
I'm swimming in dark water, don't find the adequat program.
Do you have a tip?
Thanks Tom

The @CROSSCORR procedure does this for two variables using the asymptotics assuming vector white noise. The adjustment to the standard errors allowing for a VAR is extremely complicated and is effectively never done in practice.