It is written that the estimation of reduced form VAR is possible via equation-by-equation OLS. How does the reduced form errors variance-covariance matrix is estimated in this case?
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Found, $\hat{\Omega}=\dfrac{\sum_{2}^{T} \hat{e_{t}}\hat{e_{t}}'}{T}$
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$\begingroup$ If you believe this resolves your question, please accept it by clicking the check mark to its left below the vote total. $\endgroup$ Jul 17, 2020 at 14:13