VAR (Setup/Estimate) Wizard

The VAR (Setup/Estimate) Wizard on the Time Series menu provides a convenient dialog-driven method for defining and estimating basic Vector Autoregression models. The Wizard will generate the appropriate SYSTEM, VARIABLES, DETERMINISTIC, LAGS, END(SYSTEM), and ESTIMATE commands (see VAR commands) to define and estimate the model.

You can use the VAR (Forecast/Analyze) Wizard to compute forecasts, impulse responses, and more for the resulting model.

Selecting the Wizard brings up the following dialog box:

Name for Model

Use this field to enter a name for the VAR model to be created. We have entered the name usdata in the example above.

Endogenous Variable(s)

Use this field to set the list of endogenous variables for the model. You can either type in a list of endogenous variables, separating variables with at least one blank space, or click on the series list button to select from a list of the available series available with a Select Variables dialog box. We have entered four series names in the example above.

Lags

Enter the lags for the VAR model. If you enter a single number N, RATS will include all lags 1 through N. To include specific lags, list each lag individual, or use a list of the form "low TO high". We are using lags 1 and 2 in the example above.

Deterministic/Exogenous Variables List

You can either type in a list of variables in Regression Format, separating variables with at least one blank space, or click on the series list button to select from a list of the series available in memory using a Select Regressors dialog box. We have included only a Constant term in this example.

Action

Use this to control whether or not the Wizard will estimate the model, by generating an ESTIMATE instruction.

Model

You can choose between "Standard OLS" and "Bayesian". If you choose "Bayesian", the dialog box will include additional fields for specifying the Bayesian priors, as shown below. See SPECIFY for details on these choices.

Sample Start and End

You can use these fields to specify an explicit starting and/or ending period for the estimation.