Variance covariance matrix of VAR parameters

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

Variance covariance matrix of VAR parameters

Postby aisling » Fri Jul 15, 2011 6:06 am

Hi

I wonder if anyone can help me as I am not very familiar with VAR estimation? I have estimated an unrestricted VAR(5) model with two endogenous variables (stock returns of two different countries) and would like to estimate the covariance matrix of the parameters. How can I do this?

Any help would be greatly appreciated
Aisling
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
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Joined: Tue Sep 16, 2008 5:38 pm

Re: Variance covariance matrix of VAR parameters

Postby EViews Gareth » Fri Jul 15, 2011 8:06 am

The easiest thing to do would be to convert your VAR into a system (Proc->Make System), estimate the system, and then view the coefficient covariance.
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aisling
Posts: 6
Joined: Wed Jul 13, 2011 4:29 am

Re: Variance covariance matrix of VAR parameters

Postby aisling » Fri Jul 15, 2011 9:01 am

Thank you very much for your help
Aisling
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