Variance-covariance matrix

[przem]

Hey
I have estimated a VAR model and now I need a variance-covariance matrix. Can anyone tell me whether it is there:

varcovmatrix.png (59.73 KiB) Viewed 10226 times

If not pleas tell me where can I find option to set the matrix.

Thank you in advance.

[EViews Gareth]

You need the variance-covariance matrix of what?

[przem]

I need general variance-covariance matrix of the VAR model.

[EViews Gareth]

There is no such thing.

Do you want the covariance of the coefficients, or the covariance of the residuals, or the covariance of something else?

[przem]

Variance-covariance matrix of coefficients.

[EViews Gareth]

EViews doesn't compute that for VARs.

You could use Proc->Make System, then estimate the system (which will give you identical results as the VAR), then use the System View->Coefficient Covariance.

[przem]

Ok, thanks a lot. And I have one additional problem. You are expert, can you look at that [http://forums.eviews.com/viewtopic.php?f=3&t=10690] and maybe help me. It is really important for me.
Thank you again