1
$\begingroup$

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?

$\endgroup$

1 Answer 1

1
$\begingroup$

Found, $\hat{\Omega}=\dfrac{\sum_{2}^{T} \hat{e_{t}}\hat{e_{t}}'}{T}$

$\endgroup$
1
  • $\begingroup$ 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

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.