Grocer Function

NAME

var1 - estimates a VAR model (low level)

CALLING SEQUENCE

rvar=var1(y,nlag,x)

PARAMETERS

Input

Output

DESCRIPTION

Estimates a VAR of order p on endogenous variables, with the eventual presence of exogenous variables. Contrary to var, do not display on screen the estimation results. Endogenous and exogenous variables must already be in a matrix form.

EXAMPLE

1) rvar=var1(grocer_y,grocer_p,x)
2) recm=var1(dy,grocer_nlag,x)

These examples are taken from functions var and ecm; endogenous variables are in matrices grocer_y and dy respectively; the number of lags are grocer_p and grocer_nlag respectively; and exogenous variables are in matrix x.

AUTHOR

Eric Dubois 2002