VARs (Vector Autoregression Models)

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RATS Version 11.1

Last post by TomDoan « Fri Jan 23, 2026 1:01 pm
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by TomDoan » Tue Jun 06, 2017 12:04 pm » in Forum Announcements

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RATS 11: Free Trial Version

Last post by RK2509 « Sun Apr 05, 2026 9:17 pm
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by TomDoan » Wed Mar 27, 2013 12:39 pm » in RATS Product Announcements

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need small troubleshooting about VAR.

Last post by kam « Wed Feb 10, 2016 12:57 am
Replies: 8
by marvin2jhjh » Mon Jan 11, 2016 11:03 pm

8 Replies

10816 Views

Last post by kam
Wed Feb 10, 2016 12:57 am
Compare IRF results from different studies

Last post by TomDoan « Thu Jan 28, 2016 7:38 am
Replies: 3
by barangaroo » Wed Jan 27, 2016 2:54 pm

3 Replies

6691 Views

Last post by TomDoan
Thu Jan 28, 2016 7:38 am
How to code up BVAR Impulse Response???

Last post by mightydell37 « Thu Jan 21, 2016 10:06 pm
Replies: 2
by dnfloro1 » Thu Nov 28, 2013 5:33 am

2 Replies

6221 Views

Last post by mightydell37
Thu Jan 21, 2016 10:06 pm
Diagnostic Testing of SVAR using Monte Carlo Integration

Last post by TomDoan « Mon Jan 11, 2016 12:38 pm
Replies: 5
by sanjeev » Thu Jan 07, 2016 6:58 am

5 Replies

8587 Views

Last post by TomDoan
Mon Jan 11, 2016 12:38 pm
BVAR Forecasting evaluation with @runtheil

Last post by TomDoan « Fri Jan 08, 2016 2:48 pm
Replies: 1
by mob7 » Tue Jan 05, 2016 8:29 pm

1 Replies

4671 Views

Last post by TomDoan
Fri Jan 08, 2016 2:48 pm
Kim and Roubini (2000)

Last post by TomDoan « Tue Dec 22, 2015 7:39 pm
Replies: 13
by researcher84 » Wed Feb 12, 2014 4:44 pm

13 Replies

25737 Views

Last post by TomDoan
Tue Dec 22, 2015 7:39 pm
Spillover index (Diebold&Yilmaz,2011) using SVAR

Last post by TomDoan « Thu Dec 17, 2015 9:18 am
Replies: 5
by Fisher » Tue Dec 15, 2015 8:29 am

5 Replies

9350 Views

Last post by TomDoan
Thu Dec 17, 2015 9:18 am
VECM representation for different deterministic models

Last post by TomDoan « Tue Dec 15, 2015 11:59 am
Replies: 23
by COMI » Wed Nov 18, 2015 1:43 pm
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32207 Views

Last post by TomDoan
Tue Dec 15, 2015 11:59 am
Estimating a near-SVAR

Last post by TomDoan « Tue Dec 15, 2015 10:46 am
Replies: 5
by cczzwhy » Mon Dec 14, 2015 4:14 am

5 Replies

8094 Views

Last post by TomDoan
Tue Dec 15, 2015 10:46 am
Problem with dynamic zero restrictions in a VAR

Last post by TomDoan « Mon Dec 14, 2015 5:14 pm
Replies: 1
by fructuoso » Mon Dec 14, 2015 2:25 pm

1 Replies

4586 Views

Last post by TomDoan
Mon Dec 14, 2015 5:14 pm
The BQ decomposition with 3 or more variables

Last post by TomDoan « Wed Dec 09, 2015 7:50 am
Replies: 4
by RomainR » Fri Dec 04, 2015 8:22 am

4 Replies

7773 Views

Last post by TomDoan
Wed Dec 09, 2015 7:50 am
bvarNORMALWISHART

Last post by sanjeev « Wed Dec 02, 2015 10:41 pm

by sanjeev » Wed Dec 02, 2015 10:41 pm

0 Replies

3672 Views

Last post by sanjeev
Wed Dec 02, 2015 10:41 pm
SVAR Montesvar command

Last post by TomDoan « Tue Dec 01, 2015 9:19 am
Replies: 21
by tahir » Sat Mar 17, 2012 8:01 am
1

2
21 Replies

32548 Views

Last post by TomDoan
Tue Dec 01, 2015 9:19 am
VECM results vs other programmes

Last post by TomDoan « Sun Nov 15, 2015 9:40 pm
Replies: 10
by MM72 » Fri Oct 30, 2015 9:19 am

10 Replies

12029 Views

Last post by TomDoan
Sun Nov 15, 2015 9:40 pm
Query over MONTESVAR.RPF

Last post by TomDoan « Thu Oct 29, 2015 8:35 am
Replies: 34
by sanjeev » Fri Jun 26, 2015 2:07 am
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34 Replies

43491 Views

Last post by TomDoan
Thu Oct 29, 2015 8:35 am
Diebold and Yilmaz Replication Code Issues

Last post by TomDoan « Wed Oct 28, 2015 4:17 pm
Replies: 1
by countryrisk123 » Wed Oct 28, 2015 3:56 pm

1 Replies

4684 Views

Last post by TomDoan
Wed Oct 28, 2015 4:17 pm
Conditional forecasts using monthly data

Last post by Houston « Wed Oct 21, 2015 12:21 pm
Replies: 2
by Houston » Wed Oct 21, 2015 10:30 am

2 Replies

5276 Views

Last post by Houston
Wed Oct 21, 2015 12:21 pm
level or first difference in the VECM

Last post by ege_man « Tue Oct 20, 2015 10:16 am
Replies: 6
by ege_man » Sun Oct 18, 2015 5:35 pm

6 Replies

9099 Views

Last post by ege_man
Tue Oct 20, 2015 10:16 am
bayesian VAR with Gibbs

Last post by TomDoan « Wed Sep 30, 2015 8:08 am
Replies: 19
by sanjeev » Thu Aug 20, 2015 6:11 am
1

2
19 Replies

24146 Views

Last post by TomDoan
Wed Sep 30, 2015 8:08 am
Diebold and Yilmaz Spillover with column normalzation

Last post by hyde82 « Tue Sep 29, 2015 10:18 am
Replies: 4
by hyde82 » Mon Sep 28, 2015 10:44 am

4 Replies

7180 Views

Last post by hyde82
Tue Sep 29, 2015 10:18 am
Asymmetric VECM

Last post by TomDoan « Sat Sep 19, 2015 3:06 pm
Replies: 1
by fadimohamed » Sat Sep 19, 2015 11:43 am

1 Replies

4606 Views

Last post by TomDoan
Sat Sep 19, 2015 3:06 pm
BVAR with exogenous variables

Last post by sanjeev « Sun Sep 13, 2015 10:30 pm
Replies: 4
by sanjeev » Wed Sep 09, 2015 5:04 am

4 Replies

7402 Views

Last post by sanjeev
Sun Sep 13, 2015 10:30 pm
Iterative multistep out-of-sample forecasts using VAR

Last post by juffa « Fri Sep 11, 2015 2:43 am
Replies: 2
by juffa » Thu Sep 10, 2015 12:29 pm

2 Replies

5531 Views

Last post by juffa
Fri Sep 11, 2015 2:43 am
VAR Heteroskedasticity-consistent standard errors

Last post by TomDoan « Thu Sep 03, 2015 9:06 am
Replies: 3
by comac » Thu Sep 09, 2010 2:47 am

3 Replies

8126 Views

Last post by TomDoan
Thu Sep 03, 2015 9:06 am
VAR using long run identifying retrictions

Last post by TomDoan « Mon Aug 10, 2015 12:33 pm
Replies: 3
by RK2509 » Fri Aug 07, 2015 8:19 pm

3 Replies

6768 Views

Last post by TomDoan
Mon Aug 10, 2015 12:33 pm

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