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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Last post by TomDoan
Fri Jan 23, 2026 1:01 pm
RATS 11: Free Trial Version

Last post by TomDoan « Wed May 01, 2024 11:40 am
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by TomDoan » Wed Mar 27, 2013 12:39 pm » in RATS Product Announcements

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Topics

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Block Exogeneity Test

Last post by TomDoan « Fri Nov 07, 2014 2:45 pm
Replies: 14
by sguerra » Mon Dec 04, 2006 4:18 pm

14 Replies

27533 Views

Last post by TomDoan
Fri Nov 07, 2014 2:45 pm
How one SD shock can be converted into percentage shock

Last post by TomDoan « Wed Nov 05, 2014 8:55 am
Replies: 24
by bhupal » Thu Jan 15, 2009 4:24 am
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2
24 Replies

36854 Views

Last post by TomDoan
Wed Nov 05, 2014 8:55 am
computing residuals

Last post by tclark « Tue Nov 04, 2014 12:45 pm
Replies: 2
by tclark » Tue Nov 04, 2014 6:41 am

2 Replies

5070 Views

Last post by tclark
Tue Nov 04, 2014 12:45 pm
Identifying VARs with sign restrictions

Last post by TomDoan « Thu Oct 23, 2014 12:48 pm
Replies: 103
by econdawg » Fri Nov 28, 2008 9:03 pm
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103 Replies

144920 Views

Last post by TomDoan
Thu Oct 23, 2014 12:48 pm
Bayesian VAR Forecasting

Last post by sanjeev « Tue Oct 21, 2014 2:50 am
Replies: 28
by AhmedSahlool » Thu Aug 22, 2013 3:55 pm
1

2
28 Replies

35572 Views

Last post by sanjeev
Tue Oct 21, 2014 2:50 am
Short Run and Long Run Restrictions

Last post by TomDoan « Mon Oct 20, 2014 5:54 pm
Replies: 3
by TG81 » Thu Oct 16, 2014 7:16 am

3 Replies

6472 Views

Last post by TomDoan
Mon Oct 20, 2014 5:54 pm
rolling Window problem. (Diebold Spillover index)

Last post by TomDoan « Mon Oct 06, 2014 9:16 am
Replies: 1
by leewoo » Mon Oct 06, 2014 5:03 am

1 Replies

4704 Views

Last post by TomDoan
Mon Oct 06, 2014 9:16 am
Recursive BVAR help

Last post by TomDoan « Fri Sep 26, 2014 10:00 am
Replies: 5
by Solstice » Mon Sep 22, 2014 2:55 pm

5 Replies

7690 Views

Last post by TomDoan
Fri Sep 26, 2014 10:00 am
@SURGibbsSetup

Last post by viking76 « Wed Sep 17, 2014 2:21 am
Replies: 2
by viking76 » Tue Sep 16, 2014 11:22 am

2 Replies

5537 Views

Last post by viking76
Wed Sep 17, 2014 2:21 am
Impulse responses, confidence bands and over-identification

Last post by TomDoan « Sun Sep 07, 2014 8:55 am
Replies: 33
by researcher84 » Sat Mar 29, 2014 11:32 pm
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3
33 Replies

42077 Views

Last post by TomDoan
Sun Sep 07, 2014 8:55 am
Bootstrapped Confidence Intervals VECM

Last post by TomDoan « Thu Aug 21, 2014 9:57 am
Replies: 5
by cecedi » Fri Sep 16, 2011 10:27 am

5 Replies

11757 Views

Last post by TomDoan
Thu Aug 21, 2014 9:57 am
%XX command

Last post by v_vacanti « Tue Aug 19, 2014 11:28 am
Replies: 2
by v_vacanti » Mon Aug 18, 2014 8:18 pm

2 Replies

5362 Views

Last post by v_vacanti
Tue Aug 19, 2014 11:28 am
Confidence bands of accumulated IRF

Last post by RomainR « Mon Aug 04, 2014 10:24 am
Replies: 2
by RomainR » Mon Aug 04, 2014 7:55 am

2 Replies

5996 Views

Last post by RomainR
Mon Aug 04, 2014 10:24 am
conditional forecasts from VAR via Kalman Filter and DLM

Last post by tclark « Wed Jul 30, 2014 2:52 pm
Replies: 4
by tclark » Mon Jul 28, 2014 3:34 pm

4 Replies

9837 Views

Last post by tclark
Wed Jul 30, 2014 2:52 pm
Impulse Responses

Last post by TomDoan « Wed Jul 23, 2014 2:52 pm
Replies: 1
by luching » Wed Jul 23, 2014 1:02 pm

1 Replies

4292 Views

Last post by TomDoan
Wed Jul 23, 2014 2:52 pm
VAR, Granger Causality and ARCH effects

Last post by TomDoan « Mon Jul 07, 2014 10:35 am
Replies: 3
by garchrookie » Tue Feb 10, 2009 12:25 am

3 Replies

5972 Views

Last post by TomDoan
Mon Jul 07, 2014 10:35 am
Granger Causality Test in VECM

Last post by TomDoan « Mon Jun 09, 2014 7:21 am
Replies: 3
by jeanne » Sun Jun 08, 2014 4:14 am

3 Replies

6532 Views

Last post by TomDoan
Mon Jun 09, 2014 7:21 am
reading RATS output

Last post by TomDoan « Sat Jun 07, 2014 1:46 pm
Replies: 1
by Nabtheberliner » Sat Jun 07, 2014 1:04 pm

1 Replies

4783 Views

Last post by TomDoan
Sat Jun 07, 2014 1:46 pm
VAR Estimation with OLS method

Last post by TomDoan « Sat Jun 07, 2014 1:45 pm
Replies: 1
by Nabtheberliner » Sat Jun 07, 2014 11:53 am

1 Replies

5136 Views

Last post by TomDoan
Sat Jun 07, 2014 1:45 pm
Waggoner-Zha (2003) Gibbs sampler for a near-VAR

Last post by TomDoan « Wed May 28, 2014 3:25 am
Replies: 1
by CRMS » Tue May 27, 2014 4:44 pm

1 Replies

4692 Views

Last post by TomDoan
Wed May 28, 2014 3:25 am
Rigobon,Sack(2003)'s VAR

Last post by TomDoan « Tue May 27, 2014 4:27 pm
Replies: 8
by rotweiller » Sun Oct 26, 2008 9:07 pm

8 Replies

17020 Views

Last post by TomDoan
Tue May 27, 2014 4:27 pm
conditional forecasts and singular value decomposition

Last post by tclark « Thu May 15, 2014 11:19 am
Replies: 4
by tclark » Wed May 14, 2014 2:57 pm

4 Replies

7970 Views

Last post by tclark
Thu May 15, 2014 11:19 am
Estimating a VAR with breaks

Last post by TomDoan « Thu May 08, 2014 4:12 am
Replies: 1
by pls » Tue May 06, 2014 1:43 pm

1 Replies

4288 Views

Last post by TomDoan
Thu May 08, 2014 4:12 am
Sign Restriction VAR

Last post by tophukg « Tue Apr 01, 2014 10:36 am
Replies: 3
by tophukg » Sun Mar 30, 2014 10:18 am

3 Replies

6880 Views

Last post by tophukg
Tue Apr 01, 2014 10:36 am
Forecasting Cointegrated Systems, Christoffersen/Diebold

Last post by jonasdovern « Fri Mar 28, 2014 3:55 am

by jonasdovern » Fri Mar 28, 2014 3:55 am

0 Replies

3847 Views

Last post by jonasdovern
Fri Mar 28, 2014 3:55 am

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