VAR estimation for variance-covariance matrix

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aisling
Posts: 6
Joined: Wed Jul 13, 2011 4:29 am

VAR estimation for variance-covariance matrix

Postby aisling » Thu Jul 14, 2011 4:37 am

Hi

I am not very familiar with VAR anlaysis so I would appreciate any help I can get
Could anyone advise me on how to estimate a variance-covariance matrix using an unrestricted VAR of the following form with two countries stock market returns as the endogenous variables.

Many thanks,
Aisling
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