Hi guys,
I conduct Bayesian VAR model to make conditional forecast. However, VAR Residual Portmanteau Tests for Autocorrelations shows that the residuals is correlated.
I tried to add more variables and change the lag order, but it doesn't work.
Can you please tell me how to overcome this problem?
Many thanks in advance.
I conduct Bayesian VAR model to make conditional forecast. However, VAR Residual Portmanteau Tests for Autocorrelations shows that the residuals is correlated.
I tried to add more variables and change the lag order, but it doesn't work.
Can you please tell me how to overcome this problem?
Many thanks in advance.