The “
name=” option stores results in an
matrix, where
is the number of lagged terms and
is the number of endogenous variables in the VAR. In the first
columns, the
i-th row,
j-th column entry is the Wald statistic for the joint significance of all
i-th lagged endogenous variables in the
j-th equation. These Wald statistics have a
distribution with
degrees of freedom under the exclusion null.