VAR estimation for variance-covariance matrix
Posted: 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
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