Extracting coefficients and t-stats from VAR

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Akavall
Posts: 14
Joined: Tue Mar 09, 2010 10:01 am

Extracting coefficients and t-stats from VAR

Postby Akavall » Tue Mar 16, 2010 3:55 pm

Let's say I estimated a VAR model between two endogenous variables x and y, and called my VAR: :VAR01. Now I want to extract coefficients of variables (x(t-1), x(t-2)....) when yt is dependent variable. I want to extract the coefficients so I can put them in a vector or series. Is there a code that does that?

Also, is it possible to extract t-statistics associated with the above coefficients?

Thanks You in advance.

startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: Extracting coefficients and t-stats from VAR

Postby startz » Tue Mar 16, 2010 3:59 pm

Take a look at the @coefmat and @coefse members of the VAR.

Akavall
Posts: 14
Joined: Tue Mar 09, 2010 10:01 am

Re: Extracting coefficients and t-stats from VAR

Postby Akavall » Tue Mar 16, 2010 5:21 pm

Got it. Thanks a lot!


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