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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evaluation of forecasts under VAR

Last post by TomDoan « Fri Jan 05, 2018 9:33 am
Replies: 4
by sanjeev » Wed Aug 12, 2015 11:14 pm

4 Replies

9748 Views

Last post by TomDoan
Fri Jan 05, 2018 9:33 am
Variance Decompositions based on a Rolling VAR

Last post by TomDoan « Tue Dec 12, 2017 4:37 pm
Replies: 3
by ege_man » Tue Dec 12, 2017 7:57 am

3 Replies

8750 Views

Last post by TomDoan
Tue Dec 12, 2017 4:37 pm
TVP-VAR code error

Last post by TomDoan « Fri Dec 08, 2017 8:41 am
Replies: 6
by ege_man » Thu Nov 23, 2017 5:43 am

6 Replies

12911 Views

Last post by TomDoan
Fri Dec 08, 2017 8:41 am
Minnesota Prior in Near VAR

Last post by Jules89 « Mon Dec 04, 2017 2:57 pm
Replies: 3
by Jules89 » Fri Dec 01, 2017 10:30 am

3 Replies

8456 Views

Last post by Jules89
Mon Dec 04, 2017 2:57 pm
Sign Restriction with 30 observations?

Last post by umee « Mon Nov 27, 2017 12:56 pm
Replies: 8
by umee » Thu Sep 21, 2017 3:59 pm

8 Replies

14015 Views

Last post by umee
Mon Nov 27, 2017 12:56 pm
The 'Davies' Test

Last post by alexecon « Wed Nov 22, 2017 1:46 pm
Replies: 13
by alexecon » Tue Jan 24, 2017 6:52 am

13 Replies

23155 Views

Last post by alexecon
Wed Nov 22, 2017 1:46 pm
GIRFs for I-VAR

Last post by TomDoan « Wed Nov 22, 2017 11:19 am
Replies: 26
by Jules89 » Thu Nov 02, 2017 9:33 am
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26 Replies

51414 Views

Last post by TomDoan
Wed Nov 22, 2017 11:19 am
Gibbs Var with Minnesota Prior and Exogenous Variables

Last post by TomDoan « Mon Nov 20, 2017 9:51 am
Replies: 15
by Jules89 » Mon Oct 09, 2017 8:42 am
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Last post by TomDoan
Mon Nov 20, 2017 9:51 am
VAR Forecast with Exogenous Variable

Last post by Jules89 « Wed Nov 01, 2017 11:26 am
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by Jules89 » Wed Nov 01, 2017 8:13 am

4 Replies

10432 Views

Last post by Jules89
Wed Nov 01, 2017 11:26 am
A Small Query Regarding IRF in SVAR

Last post by TomDoan « Tue Oct 24, 2017 8:38 am
Replies: 5
by sanjeev » Mon Oct 16, 2017 4:40 am

5 Replies

10932 Views

Last post by TomDoan
Tue Oct 24, 2017 8:38 am
VEC to VAR

Last post by lizhengeconomic « Mon Oct 09, 2017 10:23 pm
Replies: 2
by lizhengeconomic » Sun Oct 08, 2017 9:08 pm

2 Replies

7306 Views

Last post by lizhengeconomic
Mon Oct 09, 2017 10:23 pm
importance of exogenous regressor in VAR

Last post by pfb382 « Tue Sep 26, 2017 1:42 pm
Replies: 13
by pfb382 » Wed May 31, 2017 7:31 am

13 Replies

21924 Views

Last post by pfb382
Tue Sep 26, 2017 1:42 pm
Impulse from exogenous regressor in VAR

Last post by TomDoan « Sun Sep 24, 2017 8:51 am
Replies: 7
by luching » Thu May 14, 2015 10:52 am

7 Replies

14228 Views

Last post by TomDoan
Sun Sep 24, 2017 8:51 am
Mountford-Uhlig

Last post by TomDoan « Sat Sep 16, 2017 12:40 pm
Replies: 1
by gabriel_rodriguez » Fri Sep 15, 2017 3:46 pm

1 Replies

15097 Views

Last post by TomDoan
Sat Sep 16, 2017 12:40 pm
montenearsvar.rpf

Last post by TomDoan « Fri Sep 08, 2017 9:58 pm
Replies: 1
by TG81 » Fri Sep 08, 2017 1:15 pm

1 Replies

6288 Views

Last post by TomDoan
Fri Sep 08, 2017 9:58 pm
Orthogonal Shocks Sign Restrictions

Last post by TomDoan « Wed Aug 09, 2017 7:46 am
Replies: 1
by Jules89 » Wed Aug 09, 2017 5:54 am

1 Replies

10384 Views

Last post by TomDoan
Wed Aug 09, 2017 7:46 am
Interpreting the Scale of IRF

Last post by TomDoan « Tue Aug 08, 2017 9:19 am
Replies: 7
by Jules89 » Fri Apr 28, 2017 8:15 am

7 Replies

13226 Views

Last post by TomDoan
Tue Aug 08, 2017 9:19 am
BVAR Minnesota Prior IRF

Last post by TomDoan « Wed Aug 02, 2017 5:10 pm
Replies: 19
by Jules89 » Wed Mar 29, 2017 6:00 am
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19 Replies

36742 Views

Last post by TomDoan
Wed Aug 02, 2017 5:10 pm
Diebold and Yilmaz (2012) crashes

Last post by TomDoan « Sat Jul 22, 2017 11:37 am
Replies: 1
by veryconfusedmgarch » Sat Jul 22, 2017 6:18 am

1 Replies

6106 Views

Last post by TomDoan
Sat Jul 22, 2017 11:37 am
Shock in exogenous variables in a SVAR

Last post by TomDoan « Wed Jun 28, 2017 10:44 am
Replies: 37
by torresgc » Tue Aug 09, 2011 10:47 am
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37 Replies

84113 Views

Last post by TomDoan
Wed Jun 28, 2017 10:44 am
Cointegration test in VCEM-X

Last post by TomDoan « Wed Jun 21, 2017 1:33 pm
Replies: 3
by BinhPham » Wed Jun 21, 2017 6:06 am

3 Replies

7796 Views

Last post by TomDoan
Wed Jun 21, 2017 1:33 pm
SVAR with cointegration restrictions a la Warne (1993)

Last post by pfb382 « Fri Jun 16, 2017 7:02 am

by pfb382 » Fri Jun 16, 2017 7:02 am

0 Replies

5490 Views

Last post by pfb382
Fri Jun 16, 2017 7:02 am
Bayesian Estimation of Exactly Identified SVAR

Last post by Jules89 « Wed Jun 07, 2017 11:07 am
Replies: 2
by Jules89 » Wed Jun 07, 2017 10:02 am

2 Replies

6582 Views

Last post by Jules89
Wed Jun 07, 2017 11:07 am
VAR with asymmetric error correction

Last post by onem « Fri May 19, 2017 9:21 am
Replies: 2
by onem » Thu May 18, 2017 10:07 am

2 Replies

7086 Views

Last post by onem
Fri May 19, 2017 9:21 am
Convergence Diagnostic in Bayesian VAR

Last post by TomDoan « Fri May 19, 2017 8:34 am
Replies: 9
by Jules89 » Wed May 03, 2017 8:10 am

9 Replies

13736 Views

Last post by TomDoan
Fri May 19, 2017 8:34 am

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