English, Article edition: VECAR: Stata module to estimate vector autoregressive (VAR) models Christopher F Baum

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/174524
Physical Description
  • code
Language
  • English

Edition details

Title
  • VECAR: Stata module to estimate vector autoregressive (VAR) models
Author
  • Christopher F Baum
Physical Description
  • code
Notes
  • vecar 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.)
  • vector autoregression, VAR, timeseries
  • RePEc:boc:bocode:s416901
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment