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Variance-covariance matrix
Posted: Fri Aug 01, 2014 12:57 am
by 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 10227 times
If not pleas tell me where can I find option to set the matrix.
Thank you in advance.
Re: Variance-covariance matrix
Posted: Fri Aug 01, 2014 8:19 am
by EViews Gareth
You need the variance-covariance matrix of what?
Re: Variance-covariance matrix
Posted: Sun Aug 03, 2014 11:29 pm
by przem
I need general variance-covariance matrix of the VAR model.
Re: Variance-covariance matrix
Posted: Mon Aug 04, 2014 4:24 am
by 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?
Re: Variance-covariance matrix
Posted: Mon Aug 04, 2014 4:32 am
by przem
Variance-covariance matrix of coefficients.
Re: Variance-covariance matrix
Posted: Mon Aug 04, 2014 4:39 am
by 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.
Re: Variance-covariance matrix
Posted: Mon Aug 04, 2014 4:42 am
by 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