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

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by TomDoan » Wed Mar 27, 2013 12:39 pm » in RATS Product Announcements

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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

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

Last post by marvin2jhjh « Thu Mar 27, 2014 8:42 pm

by marvin2jhjh » Thu Mar 27, 2014 8:42 pm

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3732 Views

Last post by marvin2jhjh
Thu Mar 27, 2014 8:42 pm
SVAR model with long and short run restrictions

Last post by TomDoan « Thu Mar 27, 2014 11:08 am
Replies: 12
by Benedek11 » Tue Dec 03, 2013 7:44 am

12 Replies

19808 Views

Last post by TomDoan
Thu Mar 27, 2014 11:08 am
historical decomposition in VAR with time-varying parameters

Last post by Andy_T « Fri Mar 21, 2014 7:39 pm
Replies: 1
by tclark » Wed Oct 21, 2009 3:43 pm

1 Replies

5842 Views

Last post by Andy_T
Fri Mar 21, 2014 7:39 pm
Shutdown methodology

Last post by TomDoan « Fri Mar 21, 2014 8:04 am
Replies: 7
by shimarats » Fri Mar 14, 2014 4:15 pm

7 Replies

11179 Views

Last post by TomDoan
Fri Mar 21, 2014 8:04 am
Errors bands for VARIRF, MC

Last post by TomDoan « Tue Mar 18, 2014 4:00 pm
Replies: 9
by Ben » Fri Jan 17, 2014 4:55 am

9 Replies

11819 Views

Last post by TomDoan
Tue Mar 18, 2014 4:00 pm
@condition question on preset path for endogenous variable

Last post by TomDoan « Mon Feb 17, 2014 10:24 am
Replies: 1
by macro_man » Fri Feb 14, 2014 9:29 am

1 Replies

4987 Views

Last post by TomDoan
Mon Feb 17, 2014 10:24 am
Factor rotation in FAVAR estimated with principal components

Last post by Andy_T « Thu Feb 13, 2014 12:42 pm

by Andy_T » Thu Feb 13, 2014 12:42 pm

0 Replies

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Last post by Andy_T
Thu Feb 13, 2014 12:42 pm
Adjustment parameters in VECM - DCC - GARCH model

Last post by TomDoan « Fri Jan 31, 2014 10:34 am
Replies: 7
by Adde » Mon Jan 13, 2014 4:12 am

7 Replies

10760 Views

Last post by TomDoan
Fri Jan 31, 2014 10:34 am
Application of Gali (1992) method (short and long run)

Last post by TomDoan « Tue Jan 21, 2014 7:58 am
Replies: 3
by Ben » Mon Jan 20, 2014 4:04 pm

3 Replies

7008 Views

Last post by TomDoan
Tue Jan 21, 2014 7:58 am
MCProcessIRF

Last post by TomDoan « Thu Jan 09, 2014 9:28 pm
Replies: 7
by AhmedSahlool » Thu Sep 26, 2013 4:47 pm

7 Replies

9141 Views

Last post by TomDoan
Thu Jan 09, 2014 9:28 pm
Replication Examples for Iwata and Wu (2006)

Last post by nacrointfin « Tue Nov 19, 2013 8:38 pm
Replies: 2
by nacrointfin » Sun Nov 17, 2013 10:03 pm

2 Replies

5572 Views

Last post by nacrointfin
Tue Nov 19, 2013 8:38 pm
conditional forecasts with shocks limited to some variables

Last post by TomDoan « Sun Nov 10, 2013 6:33 am
Replies: 3
by tclark » Sat Nov 09, 2013 9:43 am

3 Replies

6268 Views

Last post by TomDoan
Sun Nov 10, 2013 6:33 am
Overidentified SVAR with Short- and Long-Run-Restrictions

Last post by TomDoan « Tue Oct 29, 2013 3:09 pm
Replies: 3
by jonasdovern » Tue Oct 29, 2013 12:54 pm

3 Replies

6456 Views

Last post by TomDoan
Tue Oct 29, 2013 3:09 pm
Errors in Repilicating Mountford and Uhlig 2009

Last post by TomDoan « Fri Oct 18, 2013 11:25 am
Replies: 1
by dnfloro1 » Thu Oct 17, 2013 8:18 am

1 Replies

4590 Views

Last post by TomDoan
Fri Oct 18, 2013 11:25 am
Variance decomposition in Factor Augmented VARs

Last post by jacarandas « Wed Oct 09, 2013 10:00 pm
Replies: 12
by jacarandas » Wed Oct 02, 2013 7:35 pm

12 Replies

18528 Views

Last post by jacarandas
Wed Oct 09, 2013 10:00 pm
Replacement for SMODIFY to reformulate VAR

Last post by mboldin « Mon Oct 07, 2013 4:07 pm
Replies: 2
by mboldin » Fri Oct 04, 2013 3:17 pm

2 Replies

5703 Views

Last post by mboldin
Mon Oct 07, 2013 4:07 pm
GVAR tempelate

Last post by sleu123 « Mon Oct 07, 2013 3:33 pm
Replies: 2
by sleu123 » Mon Oct 07, 2013 10:56 am

2 Replies

6101 Views

Last post by sleu123
Mon Oct 07, 2013 3:33 pm
questions on median target method by Fry and Pagan (2011)

Last post by TomDoan « Sun Oct 06, 2013 9:58 am
Replies: 1
by bearlotus » Sat Oct 05, 2013 7:32 pm

1 Replies

5283 Views

Last post by TomDoan
Sun Oct 06, 2013 9:58 am
Historical Decomposition

Last post by TomDoan « Thu Oct 03, 2013 12:55 pm
Replies: 7
by AhmedSahlool » Wed Oct 02, 2013 2:11 pm

7 Replies

10226 Views

Last post by TomDoan
Thu Oct 03, 2013 12:55 pm
computation of the residual autocorrelations

Last post by TomDoan « Tue Oct 01, 2013 3:15 pm
Replies: 1
by Nabtheberliner » Tue Oct 01, 2013 6:27 am

1 Replies

5228 Views

Last post by TomDoan
Tue Oct 01, 2013 3:15 pm
Graph Format

Last post by TomDoan « Sun Sep 29, 2013 8:59 am
Replies: 7
by AhmedSahlool » Mon Sep 23, 2013 5:15 pm

7 Replies

10588 Views

Last post by TomDoan
Sun Sep 29, 2013 8:59 am
Errors SD in a BVAR model

Last post by TomDoan « Wed Sep 25, 2013 11:14 am
Replies: 4
by AhmedSahlool » Mon Sep 23, 2013 5:00 pm

4 Replies

6783 Views

Last post by TomDoan
Wed Sep 25, 2013 11:14 am
Variance decomposition with BVAR model

Last post by TomDoan « Tue Sep 24, 2013 3:25 pm
Replies: 19
by AhmedSahlool » Mon Aug 19, 2013 3:19 pm
1

2
19 Replies

32896 Views

Last post by TomDoan
Tue Sep 24, 2013 3:25 pm
Question on Cushman and Zha (1997) and Zha (1999)

Last post by jacarandas « Sun Sep 15, 2013 6:01 pm
Replies: 2
by jacarandas » Wed Sep 11, 2013 8:59 pm

2 Replies

5794 Views

Last post by jacarandas
Sun Sep 15, 2013 6:01 pm

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