Hello Megh, in principle you can do OLS on an equation-per-equation basis. However, in this case the estimator might be asymptotically inefficient. One can use FGLS instead. This is outlined for instance in:
Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute. http://cadmus.iue.it/dspace/bitstream/1814/6918/1/ECO-2007-11.pdf Incidentally, you can also use restrict() [OLS-based] in package vars; version 1.3-1 has been uploaded to /incoming on CRAN and it should appear on the mirrors soon. Best, Bernhard > >I have a VAR model with five macro-economic variables, y[1], >y[2], y[3], y[4], y[5]. They are related to each other in >following manner. > >y[1,t] = alpha[1,0] + beta[1,1, >1]*y[1,t-1]+............+beta[1,1, 12]*y[1,t-12] + beta[1,2, >1]*y[2,t-1]+............+beta[1,2, 12]*y[2,t-12] + e[1,t] > >y[2,t] = alpha[2,0] + beta[2,2, >1]*y[2,t-1]+............+beta[2,2, 12]*y[2,t-12] + e[2,t] > >y[3,t] = alpha[3,0] + beta[3,1, >1]*y[1,t-1]+............+beta[3,1, 12]*y[1,t-12] >+ beta[3,2, 1]*y[2,t-1]+............+beta[3,2, 12]*y[2,t-12] >+ beta[3,3, 1]*y[3,t-1]+............+beta[3,3, 12]*y[3,t-12] >+ beta[3,4, 1]*y[4,t-1]+............+beta[3,4, 12]*y[4,t-12] + e[3,t] > >y[4,t] = alpha[4,0] + beta[4,3, >1]*y[3,t-1]+............+beta[4,3, 12]*y[3,t-12] >+ beta[4,4, 1]*y[4,t-1]+............+beta[4,4, 12]*y[4,t-12] + e[4,t] > >y[5,t] = alpha[5,0] + beta[5,3, >1]*y[3,t-1]+............+beta[5,3, 12]*y[3,t-12] >+ beta[5,5, 1]*y[5,t-1]+............+beta[5,5, 12]*y[4,t-12] + e[5,t] > >All variables are stationary > >Now I want to estimate the coefficients under a VAR[12] >framework. Is it mathematically correct to estimate >coefficients of each equaltion with simple OLS separately? Or >how I can use R [mAr.est() function) to estimate them? > > Regards, > > > >--------------------------------- > > [[alternative HTML version deleted]] > >______________________________________________ >R-help@stat.math.ethz.ch mailing list >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide >http://www.R-project.org/posting-guide.html >and provide commented, minimal, self-contained, reproducible code. > ***************************************************************** Confidentiality Note: The information contained in this mess...{{dropped}} ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.