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Topic Title: Estimating VAR in Eviews
Created On Fri Aug 17, 07 01:14 PM
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ronm
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Fri Aug 17, 07 01:14 PM
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Hi,

I want to estimate a VAR model (vector autoregressive) model for 3 variables. However in estimating the coefficients I want to fix some of the coefficients as "0", and let EViews estimates rest of the coefficients. Can anyone tell me how to do it in EViews? Is it possible to do it in EViews at all? In not, can anyone tell me about any alternate procedure?


Regards,
 
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msperlin
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Fri Aug 17, 07 09:08 PM
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Quote

Originally posted by: ronm
Hi,

I want to estimate a VAR model (vector autoregressive) model for 3 variables. However in estimating the coefficients I want to fix some of the coefficients as "0", and let EViews estimates rest of the coefficients. Can anyone tell me how to do it in EViews? Is it possible to do it in EViews at all? In not, can anyone tell me about any alternate procedure?


Regards,


Well, if you want them to be zero, isn't it that the same as just omitting them at estimation ???

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My personal site with Matlab Code and research papers here
 
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ronm
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Sat Aug 18, 07 06:56 AM
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You are right. Here I am giving more explicit expression on what I want to do.

In my VAR model there is five macro-economic variables, y[1], y[2], y[3], y[4], y[5]. They are related to each other in following manner.

y[1,t] = alpha[1,0] + beta[1,1, 1]*y[1,t-1]+............+beta[1,1, 12]*y[1,t-12] + beta[1,2, 1]*y[2,t-1]+............+beta[1,2, 12]*y[2,t-12] + e[1,t]

y[2,t] = alpha[2,0] + beta[2,2, 1]*y[2,t-1]+............+beta[2,2, 12]*y[2,t-12] + e[2,t]

y[3,t] = alpha[3,0] + beta[3,1, 1]*y[1,t-1]+............+beta[3,1, 12]*y[1,t-12]
+ beta[3,2, 1]*y[2,t-1]+............+beta[3,2, 12]*y[2,t-12]
+ beta[3,3, 1]*y[3,t-1]+............+beta[3,3, 12]*y[3,t-12]
+ beta[3,4, 1]*y[4,t-1]+............+beta[3,4, 12]*y[4,t-12] + e[3,t]

y[4,t] = alpha[4,0] + beta[4,3, 1]*y[3,t-1]+............+beta[4,3, 12]*y[3,t-12]
+ beta[4,4, 1]*y[4,t-1]+............+beta[4,4, 12]*y[4,t-12] + e[4,t]

y[5,t] = alpha[5,0] + beta[5,3, 1]*y[3,t-1]+............+beta[5,3, 12]*y[3,t-12]
+ beta[5,5, 1]*y[5,t-1]+............+beta[5,5, 12]*y[4,t-12] + e[5,t]

All variables are stationary

Now I want to estimate the coefficients under a VAR[12] framework. Is it mathematically correct to estimate coefficients of each equaltion with simple OLS separately? Or how I can use EViews or any othe econometric sodtware to estimate them?




 
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msperlin
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Sun Aug 19, 07 01:55 AM
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Quote

Originally posted by: ronm


Now I want to estimate the coefficients under a VAR[12] framework. Is it mathematically correct to estimate coefficients of each equaltion with simple OLS separately? Or how I can use EViews or any othe econometric sodtware to estimate them?


Thats a big model you have there. You should have a lot of data to estimate it.

My suggestion would be to simplify it and use no more than 5 lags.

Yes, OLS is fine.

Eviews can handle it..


-------------------------
My personal site with Matlab Code and research papers here

Edited: Sun Aug 19, 07 at 01:56 AM by msperlin
 
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