VAR without intercept
Posted: Sat Feb 23, 2013 9:11 am
Hi,
How do I estimate a VAR model without an intercept? In the following code, all three models are equivalent.
Nothing following the endogenous variables or @ followed by nothing would be my guess, but that doesn't seem to be working. It is particularly peculiar considering that the estimation procedure in the representation of a 'manually' estimated model (i.e. one estimated by clicking) is:
How do I estimate a VAR model without an intercept? In the following code, all three models are equivalent.
Code: Select all
create u 100
rndseed 1
series y=nrnd
series x=nrnd
var v1.ls 1 2 x y
var v2.ls 1 2 x y @
var v3.ls 1 2 x y @ cCode: Select all
LS 1 2 X Y