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Dear all, I would like to perform the wald test and save the test statistics in the rolling regression. The standard wald test for i=1 to 145 would be the following: for !i=1 to 145 eq{!i}.cointreg( method=dols, trend=linear, cov=hac, nodf, lag=4, lead=4) freeze(waldtable) eq{!i}.wald c(3)=0 walds(...

Thank you Gareth, The code works well. However, the mycoefs only shows the coefficients in the final VAR estimation since it overwrites the previous estimates. I am wondering how to save these 9 coefficient individually as a vector. I am new to programming, your help is very appreciated. Thanks agai...

Dear all, I am trying to save the coefficient matrix after an VAR estimation but I could not. Can anyone tell me how to save this. This is my code which is working but I do not know where to find the coefficient matrix: for !i = 1 to 1000 var mvar{!i}.ls(noconst) 1 1 a{!i} b{!i} c{!i} @coefmat next ...

Dear all, I need to estimate 100 equation and find the significance of the coefficient using wald test. I need to save the wald stat. Can anyone tell me how to programe this? I only know how to estimate these 100 equations and how to do the wald test, but do not know how to save the wald stat for i=...

Dear all,

Can anybody help me to write a code to save the trace statistc in Johanen cointegration test. Any help would be very appreciated.
Best,
Jing

Many thanks Gareth

Dear all,
Can any one help me?

I would like to estimate a VAR(1), the command is

var .ls 1 1 y x

But I have found that the estimation has included constant, I am wondering how to get rid off the constant. Any help would be very appreciated.

Many thanks,

Jing