Adjustment of sample size

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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Jone
Posts: 8
Joined: Fri Jul 18, 2014 6:33 pm

Adjustment of sample size

Postby Jone » Tue Feb 23, 2016 4:20 pm

I noticed that Eviews software adjusts my data automatically when estimating the VAR model using OLS. For example, my data was from 2000-2015, when I estimated the model I found that the system adjusted the sample to 2001-2015!. Any explanation for such kind of adjustment? by the way, I'm using Eviews 8.
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EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Adjustment of sample size

Postby EViews Gareth » Tue Feb 23, 2016 4:30 pm

To estimate a VAR(1), you need one lag of data to use as the regressor. If your data starts in 2000, you can only estimate from 2001 onwards since you need that one period lag of data.
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Jone
Posts: 8
Joined: Fri Jul 18, 2014 6:33 pm

Re: Adjustment of sample size

Postby Jone » Wed Mar 09, 2016 1:31 pm

Many thanks for your reply.
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