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Hello all! I have a model in which, let's say, I have 3 endog. variables: X, Y and Z. I estimate the VAR model etc. and calculate the betas, Cov. matrix and IRFs and all. Now, the first question that is interesting to me is what is the effect of X on Y, for example... standard VAR practice. But, the...

Hello, I want to estimate a VAR model (with exogenous and seasonal variables) in which I have 4 endogenous variables (let's call them Y1, Y2,Y3 amd Y4). Without going into specifics, I have data for 20 countries and it turns out that Y3 tests out to be stationary for only 8 of these countries (and t...

I understand, thanks!

Is there any way to run a VAR model with ordinal variables in EViews?
In other words, a model in which 2 variables, for example, are continuous and the third is an ordinal variable (that can take, say, only integer values of 1 to 10).

Thanks!

Does anyone know if I can do this in the context of an SVAR model? (i.e., create some sort of restrictions that will produce such a model...)

I understand, thanks!

Just to stress the point - I KNOW that x(t) does not depend explicitly on x(t-1): assume that a computer calculates x(t) according to the formula I gave above (which is actually the case for my data - x(t) for the data is calculated by an automatic algorithm...)

Thanks for the prompt reply! Let me explain some more: Let's say that I have x, y and z. Let's assume that x is salary and y and z are work output. I know that at every time t, x(t) is simply a*y(t-1)+b*z(t-1), in other words, the employer rewards the employee according to her output. So, I know for...

Is there a way to run constrained VAR in EViews? For example, I wish to run a model with 4 variables, say x, y , z and w. But I don't want w to depend on itself only on the other variables... Or, as another example, I don't want x to depend on z but on the rest. Is this handled through SVAR? Does th...

Yes, that's why I am confused. I can't post the data, it is proprietary, but the call in R is simply: VAR(data, p = 5, type = "const",season=24) And in EViews I simply estimate using the "Estimate" command and add "c" and a seasonal dummy to the exog. variables. Maybe i...

Hello,

By any chance, does anyone know if there is a fundamental difference between EViews' unrestricted VAR procedure and the VAR function (vars package) in R?
I am running the exact same model over the exact same data and getting different results (coefficients).

Thanks!

That makes perfect sense :) - silly me.
So, how can one model this situation of one I(1) with three I(0) variables?
Can I just difference the one variable or (over) difference them all?
If I only difference one, how should I interpret the results, say IRFs?

Is there a way to model variables with different orders if integration using EViews? In my case it is one variable I(1) and three I(0). Does this necessarily mean they cointegrate? I can't find (books or otherwise) how one can deal with different orders of integration. I can't trust the cointegratio...