GitHub - mursaleenshiraj/Vector-Auto-Regression: This code is a demonstration of how to implement a VAR model. I estimate the VAR coefficients and then compare those with the results from a statsmodels package. The results are identical. This is a nice way to understand the steps behind estimating a VAR. This would also help to connect the concepts VAR and SUR.

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This code is a demonstration of how to implement a VAR model. I estimate the VAR coefficients and then compare those with the results from a statsmodels package. The results are identical. This is a nice way to understand the steps behind estimating a VAR. This would also help to connect the concepts VAR and SUR.

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VAR+estimation+with+and+without+exogenous+additional+regressors.ipynb		VAR+estimation+with+and+without+exogenous+additional+regressors.ipynb