Specify and estimate a VAR or VEC.
Syntax
varest(options) lag_pairs endog_list [@ exog_list]
varest trend, n, options lag_pairs endog_list [@ exog_list]
The first form of the command estimates a VAR. It is the interactive command equivalent of using
ls to estimate a named VAR object (see
Var::ls for syntax and details).
The second form of the command estimates a VEC. It is the interactive command equivalent of using
ec to estimate a named VAR object (see
Var::ec for syntax and details).
Examples
prompt | Force the dialog to appear from within a program. |
p | Print output from the test. |
Examples
varest 1 3 m1 gdp
estimates an unnamed unrestricted VAR with two endogenous variables (M1 and GDP), a constant and 3 lags (lags 1 through 3).
varest(noconst) 1 3 ml gdp
estimates the same VAR, but with no constant term included in the specification.
varest(method=ec) 1 4 m1 gdp tb3
estimates a VEC with four lagged first differences, three endogenous variables and one cointegrating equation using the default trend option “c”.
varest(method=ec,b,2) 1 2 4 4 tb1 tb3 tb6 @ d2 d3 d4
estimates a VEC with lagged first differences of order 1, 2, 4, three endogenous variables, three exogenous variables, and two cointegrating equations using trend option “b”.
Cross-references