Matlab and Stata show different results (VAR). Am I doing something wrong?
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Hello. I am running a simple var-model in Matlab first using the following command:
vgxset('n',2,'nAR',2,'Constant',true)
And then this one:
[EstSpec,EstStdErrors,logL,W] = vgxvarx(Spec,Y);
My results are the following:
Model : 2-D VAR(2) with Additive Constant
Conditional mean is AR-stable and is MA-invertible
Standard errors without DoF adjustment (maximum likelihood)
Parameter Value Std. Error t-Statistic
-------------- -------------- -------------- --------------
a(1) 0.432328 0.100162 4.31626
a(2) 0.583732 0.103499 5.63997
AR(1)(1,1) 0.348238 0.0812341 4.28685
(1,2) -0.115787 0.0776992 -1.4902
(2,1) -0.0379696 0.0839402 -0.452341
(2,2) 0.520637 0.0802876 6.48465
AR(2)(1,1) 0.144522 0.0803325 1.79905
(1,2) -0.0140245 0.0781883 -0.179368
(2,1) -0.0332596 0.0830086 -0.400676
(2,2) -0.204997 0.080793 -2.53731
Q(1,1) 0.416339
Q(2,1) 0.0524138
Q(2,2) 0.44454
But in Stata the coefficients are different (the dataset is obviously the same).I am running a simplistic 2-lag var-model w/o any modifications. Could somebody tell me what's the deal here?
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