Re: [Gretl-users] Deterministic trend in VAR

Back to the potential small-sample issue: a VAR with 11 variables and 4 lags has 44 parameters per equation, not counting a constant (or trend?!). There are also 55 parameters in the covariance matrix. With 100 observations per series, you're asking quite a lot of your data set. Even if you knew the covariance matrix for sure, you'd have just over 2 obs/parameter for estimating the dynamics. I don't think that's asymptotic yet, but I could be wrong ;-)