VAR variables
Posted: Mon May 06, 2013 12:25 pm
Greetings,
I am having trouble on a VAR estimation issue and I would appreciate it if anybody could provide me with an answer to the following:
I am estimating a cointegrated VAR (first differences) which has an ECM in it. A VAR's has the variables starting at lag t-1 up to lag p. EVIEWS does the job right, but I am trying to do something a little different. I want to estimate an individual VAR equation for a particular dependent variable by OLS and include the current period for all the variables (t) in it as well. (except for the dependent variable of course). My question is am I allowed to do that or does that breach the proper specification for such an equation?
Please, only answer if you are certain about your answer.
Many thanks,
Roland.
I am having trouble on a VAR estimation issue and I would appreciate it if anybody could provide me with an answer to the following:
I am estimating a cointegrated VAR (first differences) which has an ECM in it. A VAR's has the variables starting at lag t-1 up to lag p. EVIEWS does the job right, but I am trying to do something a little different. I want to estimate an individual VAR equation for a particular dependent variable by OLS and include the current period for all the variables (t) in it as well. (except for the dependent variable of course). My question is am I allowed to do that or does that breach the proper specification for such an equation?
Please, only answer if you are certain about your answer.
Many thanks,
Roland.