VAR Estimation with OLS method

[Nabtheberliner]

Hello Tom,
I get back to you about a VAR estimation pb with OLS.
Indeed, i'm working on the book "

Multivariate time series analysis with R and financial applications

", RUEY S.TSAY. You find the data file attached
I compute with RATS the example 2.3 P51/52. My program below is correct but my output gives me different constant than in the book, all the other results are correct, meaning coefficients ...
Here is the input program:

Code: Select all

OPEN DATA "C:\Users\amaraouinabih\Desktop\DATA SET TSAY\data-ch2\Users\rst\Documents\backup\mts\y2012\data\ch2\q-gdp-ukcaus.txt"
CALENDAR(Q) 1980:1
DATA(FORMAT=PRN,ORG=COLUMNS) 1980:01 2011:02 year mon uk ca us

set ldruk = (uk-uk{1})/uk{1}
set ldrca = (ca-ca{1})/ca{1}
set ldrus = (us-us{1})/us{1}


system(model=gthrate)
variables ldruk ldrca ldrus
lags 1 to 2
det constant
end(system)
estimate * 2011:02

Here is the output:

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VAR/System - Estimation by Least Squares
Quarterly Data From 1980:04 To 2011:02
Usable Observations                       123

Dependent Variable LDRUK
Mean of Dependent Variable       0.0055077578
Std Error of Dependent Variable  0.0068001554
Standard Error of Estimate       0.0054848505
Sum of Squared Residuals         0.0034896958
Durbin-Watson Statistic                1.8946

    Variable                        Coeff      Std Error      T-Stat      Signif
************************************************************************************
1.  LDRUK{1}                     0.3891385477 0.0933074949      4.17050  0.00005891
2.  LDRUK{2}                     0.0592088748 0.0922941485      0.64152  0.52244814
3.  LDRCA{1}                     0.1042348787 0.0980531913      1.06304  0.28996991
4.  LDRCA{2}                     0.1100173826 0.0874112609      1.25862  0.21069556
5.  LDRUS{1}                     0.0496650442 0.0909433737      0.54611  0.58603942
6.  LDRUS{2}                     0.0160367054 0.0936390920      0.17126  0.86431709
7.  Constant                     0.0012729021 0.0007307646      1.74188  0.08418067

    F-Tests, Dependent Variable LDRUK
              Variable           F-Statistic     Signif
    *******************************************************
    LDRUK                             11.6846    0.0000238
    LDRCA                              1.6907    0.1889007
    LDRUS                              0.1606    0.8518172


Dependent Variable LDRCA
Mean of Dependent Variable       0.0063247871
Std Error of Dependent Variable  0.0078874370
Standard Error of Estimate       0.0055930661
Sum of Squared Residuals         0.0036287571
Durbin-Watson Statistic                1.9885

    Variable                        Coeff      Std Error      T-Stat      Signif
************************************************************************************
1.  LDRUK{1}                      0.353427157  0.095148444      3.71448  0.00031466
2.  LDRUK{2}                     -0.191366271  0.094115104     -2.03332  0.04430231
3.  LDRCA{1}                      0.337800128  0.099987773      3.37841  0.00099330
4.  LDRCA{2}                     -0.175898809  0.089135878     -1.97338  0.05083036
5.  LDRUS{1}                      0.468266369  0.092737679      5.04936  0.00000166
6.  LDRUS{2}                     -0.008218691  0.095486584     -0.08607  0.93155782
7.  Constant                      0.001244399  0.000745183      1.66993  0.09763055

    F-Tests, Dependent Variable LDRCA
              Variable           F-Statistic     Signif
    *******************************************************
    LDRUK                              7.1081    0.0012246
    LDRCA                              6.5873    0.0019512
    LDRUS                             12.7843    0.0000096


Dependent Variable LDRUS
Mean of Dependent Variable       0.0068137660
Std Error of Dependent Variable  0.0075244061
Standard Error of Estimate       0.0061743114
Sum of Squared Residuals         0.0044221661
Durbin-Watson Statistic                1.9983

    Variable                        Coeff      Std Error      T-Stat      Signif
************************************************************************************
1.  LDRUK{1}                      0.490392967  0.105036506      4.66879  0.00000820
2.  LDRUK{2}                     -0.311590781  0.103895779     -2.99907  0.00331447
3.  LDRCA{1}                      0.239895061  0.110378750      2.17338  0.03178423
4.  LDRCA{2}                     -0.131775390  0.098399099     -1.33919  0.18312603
5.  LDRUS{1}                      0.234867612  0.102375208      2.29418  0.02357932
6.  LDRUS{2}                      0.087377617  0.105409786      0.82893  0.40884492
7.  Constant                      0.002913876  0.000822624      3.54217  0.00057263

    F-Tests, Dependent Variable LDRUS
              Variable           F-Statistic     Signif
    *******************************************************
    LDRUK                             11.7362    0.0000228
    LDRCA                              2.7894    0.0655852
    LDRUS                              2.9101    0.0584565

In the book the constants are : 0.1258 0.1231 0.2895

So why there is this decimal pb difference?
Thanks for your explanations.
Best regards.
Nabih

[TomDoan]

If he scaled all three data series by 100, then all the lag coefficients would be the same, but the constants would be higher by a factor of 100. It looks like that's almost exactly what you see.