The RATS Software Forum

Hi all,

I am wondering what is computed with %XX after estimating a VAR. The manual says it should be(X'X)^-1, but I cannot replicated the output when doing my own calculations. I am thinking that perhaps I am filling the X matrix incorrectly. For example - If I have a VAR(2) with 4 variables how should the columns of X be filled?

Thanks in advance.

With four variables, two lags and a CONSTANT, they would be in the order

x1{1},x1{2},x2{1},x2{2},x3{1},x3{2},x4{1},x4{2],1

Perfect. Thanks so much!