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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

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.

Thank you very much for your help
Aisling