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How to estimate Vector Auto-regressive Model

Asked by Sana Ejaz on 24 Aug 2019
Latest activity Commented on by Sana Ejaz on 28 Aug 2019
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 by Chidvi Modala on 27 Aug 2019

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.

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Can we fit VAR model equation by equation using multiple regression?

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