VAR Lag Lenght: estimation sample

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sofp
Posts: 13
Joined: Mon Jul 04, 2016 2:48 pm

VAR Lag Lenght: estimation sample

Postby sofp » Tue Jul 05, 2016 4:50 am

Hi,
I am trying to estimate the optimal lag length in a VAR estimation. However, when I open the lag length window I don't understand how is expressed the estimation sample. I would like to input as estimation sample 1985q1 2016q1, the problem is that when I write those dates in the estimation sample box and press ok EViews tells me that this date expression is "illegal". And when I click on lag length this is what comes out in the estimation sample box:

VAR Type:

unrestricted VAR
Vector Errror Correction
Bayesian VAR

Estimation sample :
1 125



Lag intervals for Endogenous:
1 2

Endogenous Variables:

Exogenous Variables:
c

Could you please help me to figure it out what does it mean and how I have to write the estimation period?
Thank you.

Andrew25
Posts: 11
Joined: Tue Mar 08, 2016 3:47 am

Re: VAR Lag Lenght: estimation sample

Postby Andrew25 » Tue Jul 05, 2016 5:07 am

Have you correctly specified workfile structure?

sofp
Posts: 13
Joined: Mon Jul 04, 2016 2:48 pm

Re: VAR Lag Lenght: estimation sample

Postby sofp » Tue Jul 05, 2016 5:34 am

All my data are expressed as it follows 1985 Q1 to 2016 Q1. I've also checked the spreadsheet.

Andrew25
Posts: 11
Joined: Tue Mar 08, 2016 3:47 am

Re: VAR Lag Lenght: estimation sample

Postby Andrew25 » Tue Jul 05, 2016 5:57 am

I meant the structure of Eviews workfile. In the upper left corner of the workfile, range should display 1985Q1 2016Q1 in your case.

sofp
Posts: 13
Joined: Mon Jul 04, 2016 2:48 pm

Re: VAR Lag Lenght: estimation sample

Postby sofp » Wed Jul 06, 2016 1:22 pm

Thank you I have fixed the problem as you suggested.


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