VECAR: Stata module to estimate vector autoregressive (VAR) models

Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

Abstract: 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.)

Language: Stata
Requires: Stata version 7.0
Keywords: vector autoregression; VAR; timeseries (search for similar items in EconPapers)
Date: 2001-03-02, Revised 2002-05-31
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.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/v/vecar.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/v/vecar.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wntstmvq.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/w/wntstmvq.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/o/omninorm.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/o/omninorm.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_gstdn.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/matmap.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/matmap.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s416901

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Series data maintained by Christopher F Baum ().