DETERMINISTIC Instruction

DETERMINISTIC list of deterministic variables

DETERMINISTIC (almost always abbreviated to just DET) is one of the subcommands of SYSTEM used in defining vector autoregressions. Use this instruction to list all the variables in the VAR which are not lags of the dependent variables. Usually these are deterministic variables, such as CONSTANT, trends and seasonal dummies, but they can be any variables. This puts the same set of variables in all equations of the system.

Wizard

The Time Series—VAR (Setup/Estimate) Wizard provides an easy, dialog-driven interface for defining and estimating VAR models.

Parameters

list of ...

Lists the variables that you want to include in the equations. Use regression format.

Notes

The ECT instruction is available as a subcommand of SYSTEM to define error correction terms. In some older programs, you might find these put into the system using DETERMINISTIC.

Examples

system(model=deumodel)

variables deuip deum1 deutbill deucpi

determ constant seasonal{-10 to 0}

lags 1 2 3 4 6 9 12 13

end(system)

This adds a constant and eleven seasonal dummies to the equations of a four variable VAR. See SEASONAL for details on using leads of a single seasonal dummy variable.

system(model=unrestricted)

variables gdpq unemprate gpdi

lags 1 to 4

det constant gdpdefl{1 to 4} m2{1 to 4}

end(system)

This includes the lags of GDPDEFL and M2 as exogenous variables in the unrestricted model, allowing us to test the hypothesis that they do not enter the equations for GDPQ, UNEMPRATE, and GDPI.