Hi,
I've noticed that the list of exogenous terms of a VAR system via the
$system.xlist accessor does not include 'const'. This is in contrast to
the $xlist analogue after ols.
Also, while the trend term is not included in $system.xlist when the VAR
is estimated with the --trend option, if instead I specify something like:
var 2 X Y ; time
then 'time' shows up in $system.xlist.
I can actually understand the rationale: Only explicit terms are
included. However, that is also not 100% true, because even after the
redundant thing here...:
var 2 X Y ; const
the $system.xlist is still empty and doesn't show const.
It would be useful if the exact specification of the VAR could be read
off the $system accessor. Right now I only see the workaround to look at
the first column of the matrix $system.X.
And while we're at it: The doc for $system says: "...referenced by keys
that are the same as the regular accessor names".
- But instead of $system.compan we have $system.A.
- $system.vma is also missing, but we already talked about the
peculiarity of the $vma accessor...
thanks,
sven