ronm
Member
Posts: 148
Joined: Jun 2007

Sat Aug 18, 07 06:56 AM


You are right. Here I am giving more explicit expression on what I want to do.
In my VAR model there is five macroeconomic 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,t1]+............+beta[1,1, 12]*y[1,t12] + beta[1,2, 1]*y[2,t1]+............+beta[1,2, 12]*y[2,t12] + e[1,t]
y[2,t] = alpha[2,0] + beta[2,2, 1]*y[2,t1]+............+beta[2,2, 12]*y[2,t12] + e[2,t]
y[3,t] = alpha[3,0] + beta[3,1, 1]*y[1,t1]+............+beta[3,1, 12]*y[1,t12] + beta[3,2, 1]*y[2,t1]+............+beta[3,2, 12]*y[2,t12] + beta[3,3, 1]*y[3,t1]+............+beta[3,3, 12]*y[3,t12] + beta[3,4, 1]*y[4,t1]+............+beta[3,4, 12]*y[4,t12] + e[3,t]
y[4,t] = alpha[4,0] + beta[4,3, 1]*y[3,t1]+............+beta[4,3, 12]*y[3,t12] + beta[4,4, 1]*y[4,t1]+............+beta[4,4, 12]*y[4,t12] + e[4,t]
y[5,t] = alpha[5,0] + beta[5,3, 1]*y[3,t1]+............+beta[5,3, 12]*y[3,t12] + beta[5,5, 1]*y[5,t1]+............+beta[5,5, 12]*y[4,t12] + 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?

