Here is my take.  Simple VARs are estimated by least squares applied to several equations at once.  Since each equation contains the same variables, there is no gain from system estimation.  So, just estimate them one by one.  Use least squares e.g., 

For lags 2, 3 and 6 with an intercept:

ols Y const Y(-2, -3, -6)   

Cheers,

Lee

On Mon, Apr 29, 2013 at 12:16 PM, aymen kaabi <kaabiayman@gmail.com> wrote:

thanks sven .

that's exactly what i want .

who understand what i want please describe me how can i do this.

2013/4/28 Sven Schreiber <svetosch@gmx.net>

I think Aymen means to have the same lags in each equation, but with a
"gappy" structure, for example include the first and third lags, but not
the second (everywhere). Then the VAR-OLS-estimation would still apply.

Vaguely I think there was a discussion about this some time back, but I
don't remember the result. Of course it's still possible to specifiy
this manually as a system and do OLS, but it's not very convenient.

sorry,
sven


Am 28.04.2013 20:54, schrieb Summers, Peter:
> Aymen,
>
> If your lags differ in each equation, it's not really a VAR. However
> you could specify the equations separately and estimate them as a SUR
> model. Have a look at the "system" command.
>
> I hope this helps,
>
> PS ________________________________________ From:
> gretl-users-bounces@lists.wfu.edu [gretl-users-bounces@lists.wfu.edu]
> on behalf of aymen kaabi [kaabiayman@gmail.com] Sent: Sunday, April
> 28, 2013 12:34 PM To: Gretl list Subject: [Gretl-users] vector
> autoregressive
>
> good  evening
>
>
> i have a problem with gretl_var.
>
> first with the function ar_model i can specify the lags
>
> FOR EXAMPLE: Yt= Yt-3 + Y t-2 + Yt-6 +CONST    but with gretl I CAN'T
> i just enter the lag order .
>
> HOW can i specify the lags .
>
> my project work personalized lags please answer me .
>
>
> thanks for all
>
> _______________________________________________ Gretl-users mailing
> list Gretl-users@lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>

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--
Lee Adkins
Professor of Economics
lee.adkins@okstate.edu

learneconometrics.com

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