VECAR: Stata module to estimate vector autoregressive (VAR) models
Abstractvecar estimates vector autoregression (VAR) models. Each of the variables in depvarlist is regressed on maxlag lags of depvarlist, a constant (unless suppressed) and the exogenous variables provided in varlist (if any). varlist may contain time-series operators. A set of "block F" tests evaluates the joint significance of each variable's lagged values in each equation. The log determinant of the residual covariance matrix is calculated, most commonly to test the appropriateness of a model with a smaller maxlag. A portmanteau test for white noise errors, a test for cross-equation independence of errors and a multivariate normality test are available. This is version 1.1.14 of the software. Version 6 users should use vecar6 (q.v.)
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S416901.
Programming language: Stata
Requires: Stata version 7.0
Date of creation: 02 Mar 2001
Date of revision: 31 May 2002
Note: This module may be installed from within Stata by typing "ssc install vecar". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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