Customized(?) VAR
Posted: Tue Jun 16, 2015 3:14 am
In EViews VAR estimation, if we have two endogenous variables(y1, y2) with lag (1 1),
I know that I have following equations
y1=c(1)+c(2)*y1(-1)+c(3)*y2(-1)+e1
y2=c(4)+c(5)*y1(-1)+c(6)*y2(-1)+e2
but, I wonder that I can estimate following customized(?) equations
y1=c(1)+c(2)*y1(-1)+e1
y2=c(4)+c(5)*y1(+0)+c(6)*y2(-1)+e2
Is that possible estimation in VAR? (My boss told me that this estimation is possible, but I don't know ㅜㅜ)
I know that I have following equations
y1=c(1)+c(2)*y1(-1)+c(3)*y2(-1)+e1
y2=c(4)+c(5)*y1(-1)+c(6)*y2(-1)+e2
but, I wonder that I can estimate following customized(?) equations
y1=c(1)+c(2)*y1(-1)+e1
y2=c(4)+c(5)*y1(+0)+c(6)*y2(-1)+e2
Is that possible estimation in VAR? (My boss told me that this estimation is possible, but I don't know ㅜㅜ)