Grocer Function

NAME

var - estimates a VAR model

CALLING SEQUENCE

rvar=var(p,arg1,...argn)

PARAMETERS

Input

Output

DESCRIPTION

Estimates a VAR of order p on endogenous variables, with the eventual presence of exogenous variables and, by default, displays on screen the estimation results.

EXAMPLE

results=var(2,'endo=del(log(rfa_inv)),del(log(rfa_inc)),del(log(rfa_cons))')

Example taken from function var_d1() estimate a var model, taken from Lütkepohl's book "Introduction to multiple time series analysis", with three endogenous variables (the differentiated logarithm of investment, GDP and consumption) with 2 lags and no exogenous variables.

AUTHOR

Eric Dubois 2002