Vector Autoregression Instructions

These instructions are used for setting up, estimating, and analyzing Vector Autoregression models.

CVMODEL	Covariance matrix modeling
DETERMINISTIC	Add deterministic/exogenous variables to a VAR system
ECT	Add error-correction term equations to a VAR system
ERRORS	Computes a decomposition of the forecast variance
ESTIMATE	Estimates a VAR system
HISTORY	Computes historical decompositions
IMPULSE	Computes impulse response functions
KALMAN	Kalman filtering (estimates using Kalman filter)
KFSET	Sets up the Kalman filter
LAGS	Specifies the lags for a VAR
SPECIFY	Specifies Bayesian priors for BVAR models
SYSTEM	Sets up a VAR system
TVARYING	Sets up time-varying coefficients with the Kalman filter
VARIABLES	Specifies the endogenous variables in a VAR