EViews.com

Posted: **Tue Sep 18, 2012 2:00 am**

I am trying to figure out precisely how is that Eviews calculates the exogenous parameters variables in an unrestricted VAR. I am trying to replicate the results in a different software but the estimates are different. Does anyone know how Eviews exactly does it?

Thanks all!

Posted: **Tue Sep 18, 2012 7:54 am**

Simple least squares.

Code: Select all


create u 100
series y=nrnd
series x=nrnd
series z=nrnd

var v1.ls 1 2 y x @ c z

equation eq1.ls y y(-1) y(-2) x(-1) x(-2) c z

EViews.com

Trteatment of exogenous variables in VAR in Eviews

Trteatment of exogenous variables in VAR in Eviews

Re: Trteatment of exogenous variables in VAR in Eviews