EViews.com

Posted: **Sun Mar 06, 2022 7:00 am**

What estimation method does EViews 12 employ to estimate the reduced-form VAR? Is it OLS or maximum likelihood?
Also, the LM test for serial correlation gives the statistic "LRE* stat". What does this stand for? Is the LM test for serial correlation (that EViews carries out) the Breusch–Godfrey test?

Posted: **Mon Mar 07, 2022 11:29 am**

Hello,

More in-depth answers to all of your questions can be found in the EViews documentation for VARs, but to summarize, (1) unrestricted reduced-form VARs are estimated by OLS, (2) the LRE statistic is the Edgeworth expansion correction form of the LM test, and (3) the LM test is the Breusch-Godfrey test.

Posted: **Tue Mar 08, 2022 3:38 am**

thank you very much for your reply - it is greatly appreciated

EViews.com

VAR estimation questions: estimation method and serial correlation

VAR estimation questions: estimation method and serial correlation

Re: VAR estimation questions: estimation method and serial correlation

Re: VAR estimation questions: estimation method and serial correlation