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.
Extracting coefficients and t-stats from VAR
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Re: Extracting coefficients and t-stats from VAR
Take a look at the @coefmat and @coefse members of the VAR.
Re: Extracting coefficients and t-stats from VAR
Got it. Thanks a lot!
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