How to estimate Vector Auto-regressive Model

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Sana Ejaz 2019-8-24

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评论： Sana Ejaz 2019-8-28

Hi All,

I want to estimate Vector Autoregressive model for company and market returns using OLS regression.

Any leads will be highly appreciated.

Regards

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Answer 1

Chidvi Modala 2019-8-27

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estimate performs parameter estimation for Vector Autoregression Models. It finds maximum likelihood estimates of the parameters present in the model. You can set the maximum number of iterations with the ‘MaxIterations’ name-value pair argument of estimate, which has a default value of 1000. For ordinary least-squares (OLS) estimates of the parameters, set 'MaxIterations' to 1.

For definitions of these terms and other model definitions, you can refer to Types of Multivariate Time Series Models.

For an example of fitting a VAR model to data, see Fit VAR Model of CPI and Unemployment Rate.