How do I report control variables in VAR?

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Carlos R. Barrera-Chaupis

Let's consider this issue from the econometric point of viw first. The control variables must be exogenous wrt all the endogenous variables in the VAR. Of course, you can impose this 'by assumption', but then, you cannot control the variables in real time if there is not a close relationship between the endogenous variables and those control variables. Therefore, you must use some statistical criteria to evaluate many alternative VAR specifications (different lags of the control variables inside the endogenous variables' individual equations & the endogenous variables' lags). HOWEVER, from the control point of view, the suggested procedure is implicitly assuming that all the systems under scrutinity are open-loop systems, that is, the data-generating-process does NOT include ANY control actions. If you do not agree with such a strong assumption, then you can first estimate all variables (including the control variables) as endogenous variables inside a VAR, evaluate many big-VAR specifications (analog to what i mentioned above) and when you discover a 'goog' 'big-VAR system', you can DELETE the equations 'explaining' the control varlables... you will reach a VAR system with exogenous control variables!!! This second procedure is better tan the first one because the 'big-VAR systems' are actually closed-loop systems!

Lars Ahnland

Thanks a lot! Then I will proceed with a VAR system that include all variables, including "control varibales", but not report the results of the "control variables" - just those variables I want to focus on. Btw, what is "goog"?

Sorry for the tipos while writing too fast. 'Goog' is just 'good' :) BUT i am not saying u should not report the estimation of the big VAR system u got. I am saying that u must work with the system without the control-variable equations when implementing the control simulation or whatever u want to do with it. The reporting problem is a non-issue here: it is just related to publication space restrictions (maximum number of pages). :)