Declare a var (Vector Autoregression) object.
Syntax
var var_name
var var_name.ls(options) lag_pairs endog_list [@ exog_list]
var var_name.ec(trend, n) lag_pairs endog_list [@ exog_list]
var var_name.bvar(trend, n) lag_pairs endog_list [@ exog_list]
var var_name.btvcvar(options) lag_pairs endog_list [@ exog_list]
var var_name.mfvar(options) var_lag endog_list [@ exog_list] @hf high_freq_list
var var_name.switchreg(options) lag_pairs endog_list [@ exog_list] [ @prv list_of_probability_regressors ]
Declare the var as a name, or a name followed by an estimation method and specification.
Examples
var mvar.ls 1 4 8 8 m1 gdp tb3 @ @trend
declares and estimates an unrestricted VAR named MVAR with three endogenous variables (M1, GDP, TB3), five lagged terms (lags 1 through 4, and 8), a constant, and a linear trend.
var jvar.ec(c,2) 1 4 m1 gdp tb3
declares and estimates an error correction model named JVAR with three endogenous variables (M1, GDP, TB3), four lagged terms (lags 1 through 4), two cointegrating relations. The “c” option assumes a linear trend in data but only a constant in the cointegrating relations.
Cross-references
See
“Vector Autoregression (VAR) Models” for a discussion of vector autoregressions and EC models.
See
Var::ls for specification of a standard VAR.
See
Var::ec for the error correction specification of a VAR.
See
Var::bvar for the specification of a Bayesian VAR.
See
Var::btvcvar for the specification of a Bayesian Time-varying Coefficient VAR.
See
Var::mfvar for the specification of a mixed-frequency VAR.
See
Var::switchvar for the specification of a switching VAR.