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Difference between EViews and R.
Posted: Wed May 07, 2014 8:37 am
by yanivd
Hello,
By any chance, does anyone know if there is a fundamental difference between EViews' unrestricted VAR procedure and the VAR function (vars package) in R?
I am running the exact same model over the exact same data and getting different results (coefficients).
Thanks!
Re: Difference between EViews and R.
Posted: Wed May 07, 2014 8:39 am
by EViews Gareth
A simple unrestricted VAR is just a set of OLS equations. There should be no difference, assuming you have specified both identically.
Perhaps you could post your results and/or data.
Re: Difference between EViews and R.
Posted: Wed May 07, 2014 9:09 am
by yanivd
Yes, that's why I am confused.
I can't post the data, it is proprietary, but the call in R is simply:
VAR(data, p = 5, type = "const",season=24)
And in EViews I simply estimate using the "Estimate" command and add "c" and a seasonal dummy to the exog. variables.
Maybe it is in how the VAR function handles seasonality?
Re: Difference between EViews and R.
Posted: Wed May 07, 2014 9:26 am
by EViews Gareth
Yep, my guess would be that the seasonal dummy in R is different from the seasonal dummy you're using. I don't know enough about the R code to speculate further though.
Try it without the seasonal term and make sure the results are identical then.