statistics - Estimating VAR using statistical softwares. -


assuming data stationary or integrated of same order, matter if estimate equations individually or estimate them var?

p.s. using stata, econometrics package, allows me estimate @ same time.

thanks!

if interested in parameter estimates, not matter if estimate individual equations. sake of equation estimation, var framework not "system", juxtaposition of related models.

the purpose of var framework analyze "ripple effects" shocks 1 or more endogenous variables can have. if estimate equations individually, difficult replicate var features impulse-response plots.

i encourage try estimating simple set of equations both within var framework , individually. see parameter estimates identical.


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