Command Reference : Command Reference
  
 
varest
Specify and estimate a VAR or VEC.
Syntax
varest(options) lag_pairs endog_list [@ exog_list]
varest(method=ec, 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
See also Var::var, Var::ls and Var::ec.