CATS residuals

A forum for questions and answers regarding the CATS cointegration procedure
milan

CATS residuals

Unread post by milan »

Hi there,

I'm doing (was planning to do) MonteC which uses residuals from the estimated VECM in (auxillary) regression.
I can put CATS procedure inside the loop, but I could not find any function to extract the residuals from the estimated VECM in CATS (without running it explicitly). I would be grateful if anyone can point me how to obtain the residuals.

Thanx,
Milan
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