The RATS Software Forum

Before you worry about those, you need to see whether you can come up with some transformation(s) of the lagged variables that give you a better fit than a simple VAR. Thank for the advice. Now, I'll try to estimate a simple VAR in levels even though it could have some problems. The definitional id...

You can certainly do something like that---one great advantage of the KV type of model is that the estimation can be done quite simply since the explanatory variables are all observable functions of the data. One problem you would have is that maxGDP and GDP differ only for a relatively small numbe...

Thank you for the reply. That's true only if the variables are cointegrated. Yes, I wanted to write "potentially cointegrated" instead "potentially integrated". Typo! I'm not sure what you mean by "all the observations in which the energy price increases or remains constant&...

Dear all, first let me thank you for the different insights in the various replies. I'm wondering whether the Kilian and Vigfusson methodology could be applied in a VAR at levels. We know that differencing potentially integrated variables leads to misspecification; in this case it is safier to use t...