VARs (Vector Autoregression Models)

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RATS Version 11.1

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Time Varying VAR Model

Last post by TomDoan « Sat Apr 28, 2012 3:25 pm
Replies: 4
by AhmedSahlool » Sat Apr 28, 2012 10:07 am

4 Replies

6909 Views

Last post by TomDoan
Sat Apr 28, 2012 3:25 pm
Weakly exogenous VECM

Last post by lambert89 « Sun Apr 22, 2012 4:36 pm
Replies: 2
by lambert89 » Fri Apr 13, 2012 4:07 pm

2 Replies

5301 Views

Last post by lambert89
Sun Apr 22, 2012 4:36 pm
change in Correlation Structure

Last post by AhmedSahlool « Wed Apr 18, 2012 5:33 am

by AhmedSahlool » Wed Apr 18, 2012 5:33 am

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3374 Views

Last post by AhmedSahlool
Wed Apr 18, 2012 5:33 am
VAR Lag Determination With Volatility Length

Last post by TomDoan « Thu Apr 12, 2012 9:47 pm
Replies: 3
by AhmedSahlool » Thu Apr 12, 2012 8:50 am

3 Replies

6077 Views

Last post by TomDoan
Thu Apr 12, 2012 9:47 pm
VAR Volatitity Shifts

Last post by TomDoan « Wed Apr 11, 2012 11:37 am
Replies: 1
by AhmedSahlool » Wed Apr 11, 2012 8:33 am

1 Replies

4278 Views

Last post by TomDoan
Wed Apr 11, 2012 11:37 am
Example of VECM with BQ restrictions and Error Bands

Last post by TomDoan « Wed Mar 21, 2012 9:57 am
Replies: 7
by macro_man » Sun Jan 29, 2012 10:23 pm

7 Replies

11744 Views

Last post by TomDoan
Wed Mar 21, 2012 9:57 am
VAR impulses with some coefficients constrained to be zero

Last post by tavera « Fri Mar 09, 2012 12:47 am
Replies: 3
by tavera » Thu Mar 08, 2012 10:25 am

3 Replies

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Last post by tavera
Fri Mar 09, 2012 12:47 am
Var model

Last post by Padova « Sun Feb 12, 2012 4:04 pm
Replies: 2
by Padova » Fri Feb 10, 2012 4:58 pm

2 Replies

5029 Views

Last post by Padova
Sun Feb 12, 2012 4:04 pm
VAR with time-varying parameters and stochastic volatility

Last post by touremam « Fri Jan 27, 2012 3:57 am
Replies: 3
by tavera » Wed May 18, 2011 8:50 am

3 Replies

7346 Views

Last post by touremam
Fri Jan 27, 2012 3:57 am
Limiting the vertical scale of irfs from SVAR

Last post by TomDoan « Sat Jan 07, 2012 9:25 am
Replies: 6
by res84529 » Mon Dec 19, 2011 5:22 am

6 Replies

10331 Views

Last post by TomDoan
Sat Jan 07, 2012 9:25 am
Near VAR with Long-Run Restrictions

Last post by TomDoan « Fri Dec 30, 2011 3:20 pm
Replies: 5
by macro_man » Sun May 23, 2010 2:03 pm

5 Replies

7793 Views

Last post by TomDoan
Fri Dec 30, 2011 3:20 pm
About historical decomposition

Last post by moderator « Wed Dec 14, 2011 10:49 pm
Replies: 16
by YWZHENG » Thu Aug 04, 2011 12:03 pm
1

2
16 Replies

20414 Views

Last post by moderator
Wed Dec 14, 2011 10:49 pm
levels versus first difference

Last post by moderator « Mon Dec 12, 2011 8:27 am
Replies: 13
by equestion » Wed Feb 02, 2011 2:42 pm

13 Replies

19508 Views

Last post by moderator
Mon Dec 12, 2011 8:27 am
Impulse response function and decomposition

Last post by TomDoan « Wed Nov 30, 2011 3:34 pm
Replies: 1
by chiade » Mon Nov 28, 2011 6:17 am

1 Replies

4800 Views

Last post by TomDoan
Wed Nov 30, 2011 3:34 pm
Impulse Response of "GROUP Y" to Shock in "GROUP X"

Last post by TomDoan « Fri Nov 18, 2011 11:56 am
Replies: 1
by bok1234 » Fri Nov 18, 2011 6:39 am

1 Replies

5925 Views

Last post by TomDoan
Fri Nov 18, 2011 11:56 am
Specific shock: Impulse Response Functions

Last post by TomDoan « Fri Nov 18, 2011 11:33 am
Replies: 5
by mj_sydney » Mon Dec 20, 2010 7:46 pm

5 Replies

9574 Views

Last post by TomDoan
Fri Nov 18, 2011 11:33 am
Use of Monte Carlo simulation / bootstrapping

Last post by TomDoan « Thu Nov 17, 2011 1:17 pm
Replies: 1
by cecedi » Thu Nov 17, 2011 9:55 am

1 Replies

4917 Views

Last post by TomDoan
Thu Nov 17, 2011 1:17 pm
Rolling Forecast and rolling VAR

Last post by jonasdovern « Fri Nov 11, 2011 10:29 am
Replies: 3
by hichbenn » Fri Nov 11, 2011 4:55 am

3 Replies

6342 Views

Last post by jonasdovern
Fri Nov 11, 2011 10:29 am
The estimation of SVAR

Last post by TomDoan « Wed Nov 02, 2011 11:19 am
Replies: 3
by res84529 » Mon Oct 31, 2011 7:28 pm

3 Replies

6174 Views

Last post by TomDoan
Wed Nov 02, 2011 11:19 am
VECM with Long-Run Restriction

Last post by TomDoan « Mon Oct 24, 2011 5:08 pm
Replies: 3
by macro_man » Sun Oct 23, 2011 6:53 pm

3 Replies

8179 Views

Last post by TomDoan
Mon Oct 24, 2011 5:08 pm
MonteSUR for VECM

Last post by TomDoan « Tue Oct 18, 2011 2:37 pm
Replies: 1
by macro_man » Tue Oct 18, 2011 1:02 pm

1 Replies

4019 Views

Last post by TomDoan
Tue Oct 18, 2011 2:37 pm
simulation

Last post by TomDoan « Fri Oct 07, 2011 9:22 am
Replies: 9
by iloverats » Tue Apr 12, 2011 1:48 am

9 Replies

13756 Views

Last post by TomDoan
Fri Oct 07, 2011 9:22 am
Identification in Threshold VAR's

Last post by TomDoan « Wed Oct 05, 2011 11:56 am
Replies: 11
by luching » Fri Sep 09, 2011 6:57 am

11 Replies

18293 Views

Last post by TomDoan
Wed Oct 05, 2011 11:56 am
VAR-GARCH

Last post by hdhosky « Tue Oct 04, 2011 2:15 am
Replies: 2
by hdhosky » Sun Oct 02, 2011 11:07 am

2 Replies

5241 Views

Last post by hdhosky
Tue Oct 04, 2011 2:15 am
Graphing impulse responses w/ error bands to selected shocks

Last post by TomDoan « Mon Sep 26, 2011 1:35 pm
Replies: 5
by res84529 » Tue Aug 30, 2011 2:00 am

5 Replies

8307 Views

Last post by TomDoan
Mon Sep 26, 2011 1:35 pm

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