Urgent: VAR in companion form

[miksterz1]

Any VAR(p) process can be written in its companion form as a VAR(1).

Is there a way of obtaining the companion coefficient matrix?

I would appreciate a response, as I require this for thesis work.

[miksterz1]

anyone?

[EViews Glenn]

Surprisingly (to me), not easily. We might be able to do something for a particular case without too much trouble, but doing a general one would take a bit more work.

How many equations do you have? How many lags? Do you have any exogenous regressors? Are you going to need this for lots of different types of specifications?

[miksterz1]

Thanks for your response, Glen. With a bit of work I can see how I could perhaps construct it on a case-specific basis. Was wondering if there was a more general way already incorporated in EViews that I was not aware of.

At this point for my purposes it seems I may be able to get by without programming it, so I would rather not take up anyone's time figuring it out. I thought it was more essential for my work when I first posted. Thanks, though!

[EViews Glenn]

Unfortunately not, but there should be. I'm putting it on the list.