Interpreting the result of VAR model using Matlab

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Eric Lin 2021-11-29

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回答： Pratyush Roy 2021-12-2

The result I got from runnning a VAR model looks like this:

Value StandardError TStatistic PValue

Constant(1) 0.0019 0.0015 1.2429 0.2139

Constant(2) 0.2972 0.0926 3.2091 0.0013

Constant(3) 1.3198 2.8587 0.4616 0.6443

AR{1}(1,1) 0.3564 0.0671 5.3065 1.1177e-07

AR{1}(2,1) -1.6369 3.8915 -0.4206 0.6740

AR{1}(3,1) 276.18 120.1 2.2996 0.0214

AR{1}(1,2) -0.003 0.0011 -2.7079 0.0067

AR{1}(2,2) 1.3372 0.0644 20.753 1.1475e-9

...............

I know that the 1 in AR{1} means lag period. Could anyone please explain how to interpret the remaining elements of the result, like the term (1,1) in AR{1}(1,1)?

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Answer 1

Pratyush Roy 2021-12-2

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Hi Eric,

A VAR equation with multiple response series can be expressed in the following manner:

So the term AR{1}(1,1) stands for the coefficient a11 which we want to estimate with the VAR model. If we had considered the lag factor to be higher than 1, then more such matrices would have come up and we could estimate them as well.

Hope this helps!