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," Econom
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]
