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- Wed Jul 13, 2016 7:59 am
- Forum: VARs (Vector Autoregression Models)
- Topic: Trouble with Kilian(1998) and time TREND
- Replies: 1
- Views: 5005
Trouble with Kilian(1998) and time TREND
Hi, I am currently working on a VAR with Kilian(1998) bias-correction on the IRF. The code seemed to work perfectly fine when I estimated the VAR with det CONSTANT. However, two of my variables present a linear time trend, so I constructed a "TREND = t" variable. But when using DET CONSTAN...