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?
VAR estimation questions: estimation method and serial correlation
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Re: VAR estimation questions: estimation method and serial correlation
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.
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.
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Re: VAR estimation questions: estimation method and serial correlation
thank you very much for your reply - it is greatly appreciated
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