Dear Tom,
Thank you very much for your answer. I understand, by the Lutkepohl example, that I should estimate the TVAR equation by equation using DLM. Am I right?
Best regards,
Fructuoso
Search found 4 matches
- Mon Mar 28, 2016 10:40 am
- Forum: VARs (Vector Autoregression Models)
- Topic: Problem with Time Varying VAR
- Replies: 3
- Views: 6326
- Mon Mar 28, 2016 3:54 am
- Forum: VARs (Vector Autoregression Models)
- Topic: Problem with Time Varying VAR
- Replies: 3
- Views: 6326
Problem with Time Varying VAR
Dear all, I have been writing a Time Varying VAR code in RATS by using Carter Kohn algorithm, but I am getting a really bad result from it. When I do the first step of the algorithm, drawing BT from a normal distribution, I use %modelsetcoeffs to put BT into a VAR in order to check the stability, I ...
- Wed Mar 02, 2016 4:57 am
- Forum: State Space Models/DSGE
- Topic: State space models with constraints
- Replies: 1
- Views: 7512
State space models with constraints
Dear all, I am trying to impose constraints on the states of a state space model, like in this paper (page 16): https://www.piie.com/publications/wp/wp15-19.pdf In there, the sum of the parameters -states- of inflation backwards and forwards are equal to one. I was trying to impose a constraint of t...
- Mon Dec 14, 2015 2:25 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: Problem with dynamic zero restrictions in a VAR
- Replies: 1
- Views: 4682
Problem with dynamic zero restrictions in a VAR
Dear Tom, I would like to ask you a question regarding zero restrictions by using @irfrestrict. I am trying to make zero a series of IRFs, but my problema is the following: I can zero'ed without any problema until the four period, but if I try to increase the number of zero shocks for more periods, ...