Vector autoregression

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FG
FG il 18 Lug 2011
I am looking for instructions on how to create a VAR with the econometrics toolbox. I need to know how I enter the 5 vectors which are my 5 endogenous variables and then estimate the coefficients and forecast 12 steps ahead. I have read the instructions for vgxset, vgxpred, etc., but do not find them very helpful. Anyone have any suggestions on how to do VARs in matlab? I am trying to run a simple reduced form VAR (no structural identification).

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