*
* Example of VAR beginning page 351
*
open data growth.dat
calendar(q) 1960
data(format=free,org=columns) 1960:01 2004:04 g p
*
graph(footer="Figure 13.2 Real GDP and CPI in logarithms",key=attached,klabels=||"G=ln(GDP)","P=ln(CPI)"||) 2
# g
# p
*
@egtest(det=constant)
# g p
*
set dg = g-g{1}
set dp = p-p{1}
*
system(model=growth)
variables dp dg
lags 1
det constant
end(system)
estimate
*
* The ERRORS instruction computes the forecast error decomposition for a VAR or VECM
*
errors(model=growth,steps=20)