Trteatment of exogenous variables in VAR in Eviews

[ccarrillouk]

I am trying to figure out precisely how is that Eviews calculates the exogenous parameters variables in an unrestricted VAR. I am trying to replicate the results in a different software but the estimates are different. Does anyone know how Eviews exactly does it?

Thanks all!

[EViews Gareth]

Simple least squares.

Code: Select all

create u 100 series y=nrnd series x=nrnd series z=nrnd var v1.ls 1 2 y x @ c z equation eq1.ls y y(-1) y(-2) x(-1) x(-2) c z