On 12/28/2011 11:48 PM, alexkakashi(a)libero.it wrote: > Hi, > I have two questions about the parameters of the VAR models. Let us (X,Y) a > bivariate time series and consider a VAR(1). I use > > system method=sur > equation X const X(-1) Y(-1) > equation Y const X(-1) Y(-1) > end system > > I have two questions. The first: can I save the parameter of X(-1) of the > first equation? I should use it in a bootstrap procedure.
Check out the '$sysA' accessor (see the function reference). In this case the coefficient will probably sit in $sysA[1,1], but you'll have to verify that with a test case. > The second: I'd like forecast the variables X, so I have used the > > fcast --out-of-sample --static X > Can I save this forecasts in a new variable? > Should be possible by doing series theforecast = $fcast or something like that. hth, sven
