Julio Huato wrote: > Computationally, VAR is a procedure to estimate the parameters of a > time-series model. It's up to you to decide which parameters you > estimate. So, of course you can do hypothesis testing with VAR. It > depends on which parameters you decide to estimate. If you have > enough degrees of freedom (data), then you can estimate the model > "coefficients" and higher moments as well -- as high as you wish. > Typically, economists estimate var-covar matrices as a matter of > routine (which gives you the weights to test your coefficients). > Hypothesis tests for each coefficient (and for the whole model) are > default procedure.
thanks for the clarification. However, the kind of hypothesis testing I was referring to was the kind where you start with a theory (and thus one or more hypotheses to be tested). The theory is then stated as a structural equation (e.g., a consumption function). I prefer general-to-specific modeling, in which the structural equation includes coefficients that allow testing of competing hypothesis (rather than letting one's prior commitment to a theory bias results). >... here's the way for people to > decide on their own whether it is crude or not -- spend some time > getting your head around the principles, then take a bunch of data and > use it yourself! How can it harm you? so it's a bit like voting in a US election, i.e., harmless? -- Jim Devine / "In an ugly and unhappy world the richest man can purchase nothing but ugliness and unhappiness." -- George Bernard Shaw _______________________________________________ pen-l mailing list [email protected] https://lists.csuchico.edu/mailman/listinfo/pen-l
