The RATS Software Forum

Thank you for answering, Tom! it's a small model ( due to small sample size available) - 4 var in home block, 2-3 in globall one (basicly I'm interested in home country, global block I need only for having a shock originating globally), 60 observations, 2 lags. Just for differences (without cointegr...

Dear all, I currently estimate near VAR model using Montenearsvar procedure. However some of my time series are I(1), some are I(0). The block exogeneity assumption is important for theoretical interpretation (I have small home country block and global block) – that’s why I decided to use model with...