EViews.com

Posted: **Wed Nov 03, 2010 10:00 am**

Hi all :

How can we program a Var model estimation based on Monte Carlo simulation ( in other words independant variables are simulated using monte carlo technics)? I would like to use this approach directly in eviews instead of transferring all data on excel and use cristal ball software.

Many Thanks for your help

Ginou

Posted: **Wed Nov 03, 2010 10:17 am**

A very rough, quick version:

Code: Select all


!t = 100  'workfile size
!k = 3  'number of variables
!l = 2 'number of lags in VAR
!its = 100 'number of repititions.

'make workfile
create u !t

'declare VAR object to be used for estimation
VAR theVAR

'make string containing names of variables (populated in the loop below)
%varlist = ""

'declare vector for storing AIC
vector(!its) AICs

for !i = 1 to !its
	'generate variables
	for !j = 1 to !k
		series x!j = nrnd
		
		%varlist = %varlist + " X" + @str(!j)
	next
	
	'estimate VAR
	theVAR.LS 1 !l {%varlist}

	'store current AIC
	AICS(!i) = theVAR.@aic
	
next

'show AICS
show AICS

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