On Thu, 20 Jul 2017, Sven Schreiber wrote: The rows of $vma are arranged in such a way that you can mshape the result and it "come out right". In the following example, we generate a triangular VAR, so that the VMA polynomial is also lower-triangular and the corresponding estimate is near-zero: <hansl> nulldata 1000 series x = normal() series y = normal() x = 0.99*x(-1) + normal() y = 0.99*y(-1) + 0.99*x(-1) + normal() var 1 x y V = $vma print V V_3 = mshape(V[4,], 2, 2) print V_3 </hansl> ------------------------------------------------------- Riccardo (Jack) Lucchetti Dipartimento di Scienze Economiche e Sociali (DiSES) Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti -------------------------------------------------------