VAR estimation questions: estimation method and serial correlation

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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eviewsuser2000
Posts: 9
Joined: Sun Feb 13, 2022 5:48 am

VAR estimation questions: estimation method and serial correlation

Postby eviewsuser2000 » Sun Mar 06, 2022 7:00 am

What estimation method does EViews 12 employ to estimate the reduced-form VAR? Is it OLS or maximum likelihood?
Also, the LM test for serial correlation gives the statistic "LRE* stat". What does this stand for? Is the LM test for serial correlation (that EViews carries out) the Breusch–Godfrey test?

EViews Matt
EViews Developer
Posts: 560
Joined: Thu Apr 25, 2013 7:48 pm

Re: VAR estimation questions: estimation method and serial correlation

Postby EViews Matt » Mon Mar 07, 2022 11:29 am

Hello,

More in-depth answers to all of your questions can be found in the EViews documentation for VARs, but to summarize, (1) unrestricted reduced-form VARs are estimated by OLS, (2) the LRE statistic is the Edgeworth expansion correction form of the LM test, and (3) the LM test is the Breusch-Godfrey test.

eviewsuser2000
Posts: 9
Joined: Sun Feb 13, 2022 5:48 am

Re: VAR estimation questions: estimation method and serial correlation

Postby eviewsuser2000 » Tue Mar 08, 2022 3:38 am

thank you very much for your reply - it is greatly appreciated


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