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P-values for Vector Autoregressions
Posted: Tue Oct 22, 2019 6:00 am
by Damien Kunjal
Dear all,
Is it possible to obtain P-values for VAR (Vector Autoregression) coefficients? The regression output displays the standard error and t-statistics, however, I am trying to obtain the P-values. Is this possible, and if it is, what is the process?
Thank you all.
Re: P-values for Vector Autoregressions
Posted: Tue Oct 22, 2019 10:00 am
by EViews Matt
Hello,
I don't believe the p-values are available from a VAR object. I believe you'd need to write a program to go through the results table, extract each t-statistic, and calculate the corresponding p-value.
Re: P-values for Vector Autoregressions
Posted: Thu Oct 24, 2019 2:11 am
by Damien Kunjal
Thank you for your assistance, Matt.
Re: P-values for Vector Autoregressions
Posted: Fri Jan 01, 2021 6:32 pm
by JuanNicolasDamico
You can.
After you estimate the VAR model, go to the top Menu and select>PROC>MAKE SYSTEM>ORDER BY VARIABLE. A new window will show up, and you should select "Estimate" in the menu bar ( where it says VIEW-PROC-OBJECT--- select estimate), and then click "Ok". (The estimation method is OLS, which is good).
For further details on VAR models you can check the following step by step paper replica of a VAR model:
https://youtu.be/SbE8ns0oOTs
Cheers