VARs (Vector Autoregression Models)
Questions and discussions on Vector Autoregressions
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- RATS 8.2: Free Trial Version
by moderator » Tue Sep 25, 2012 5:10 pm - 0 Replies
- 2355 Views
- Last post by moderator
Wed Mar 27, 2013 12:39 pm
- RATS 8.2: Free Trial Version
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- Finite Long-Run Restrictions
by macro_man » Wed Oct 06, 2010 4:59 pm
- 6 Replies
- 921 Views
- Last post by macro_man
Fri Oct 08, 2010 4:16 pm
- Finite Long-Run Restrictions
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- Check stationarity of VAR
by dennis0125hk » Mon Jun 22, 2009 9:31 am - 9 Replies
- 1667 Views
- Last post by TomDoan
Wed Oct 06, 2010 9:28 am
- Check stationarity of VAR
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- Both dynamic and static forecast?
by luching » Thu Sep 23, 2010 12:50 pm - 4 Replies
- 702 Views
- Last post by luching
Tue Sep 28, 2010 10:28 am
- Both dynamic and static forecast?
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- Identifying two technology shocks using long-run restricti
by huk_2010 » Fri Sep 17, 2010 3:21 pm - 2 Replies
- 642 Views
- Last post by huk_2010
Sun Sep 19, 2010 3:52 pm
- Identifying two technology shocks using long-run restricti
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- VAR Heteroskedasticity-consistent standard errors
by comac » Thu Sep 09, 2010 2:47 am - 2 Replies
- 592 Views
- Last post by comac
Fri Sep 10, 2010 1:45 am
- VAR Heteroskedasticity-consistent standard errors
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- Small sample bias in VARs
by comac » Thu Sep 09, 2010 2:35 am - 2 Replies
- 587 Views
- Last post by comac
Fri Sep 10, 2010 1:36 am
- Small sample bias in VARs
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- Problem with SVAR
by terrya » Thu Sep 02, 2010 10:30 pm - 2 Replies
- 504 Views
- Last post by terrya
Fri Sep 03, 2010 3:19 pm
- Problem with SVAR
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- Campbell and Shiller JPE 1987
by sekar2010 » Fri Aug 27, 2010 4:19 am - 1 Replies
- 484 Views
- Last post by TomDoan
Fri Aug 27, 2010 11:36 am
- Campbell and Shiller JPE 1987
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- Variance Decomposition with Sign restrictions
by KOBE24 » Mon Aug 09, 2010 4:08 pm - 5 Replies
- 1059 Views
- Last post by KOBE24
Wed Aug 11, 2010 12:48 pm
- Variance Decomposition with Sign restrictions
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- Impulse Responses
by Shenelle » Sat Aug 07, 2010 7:32 am - 1 Replies
- 659 Views
- Last post by TomDoan
Sat Aug 07, 2010 2:49 pm
- Impulse Responses
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- Factor Model
by luching » Tue Jul 13, 2010 2:16 pm - 1 Replies
- 557 Views
- Last post by TomDoan
Tue Jul 13, 2010 2:51 pm
- Factor Model
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- Rigobon,Sack(2003)'s VAR
by rotweiller » Sun Oct 26, 2008 9:07 pm
- 6 Replies
- 1876 Views
- Last post by TomDoan
Thu Jul 08, 2010 8:56 am
- Rigobon,Sack(2003)'s VAR
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- Historical Decomposition & Counterfactual Simulation
by TomDoan » Mon Apr 05, 2010 1:10 pm
- 4 Replies
- 1799 Views
- Last post by TomDoan
Thu Jun 17, 2010 2:52 pm
- Historical Decomposition & Counterfactual Simulation
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- Error Correction Model (Non-Standard)
by moderator » Tue Jun 15, 2010 3:53 pm - 0 Replies
- 738 Views
- Last post by moderator
Tue Jun 15, 2010 3:53 pm
- Error Correction Model (Non-Standard)
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- MONTESUR, revised
by TomDoan » Mon Jun 07, 2010 10:44 pm
- 0 Replies
- 836 Views
- Last post by TomDoan
Mon Sep 17, 2012 3:23 pm
- MONTESUR, revised
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- Accumulated Responses
by luxu1983 » Mon Jun 07, 2010 10:13 am - 1 Replies
- 503 Views
- Last post by TomDoan
Mon Jun 07, 2010 2:01 pm
- Accumulated Responses
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- Empirical distribution of Beta
by comac » Wed May 26, 2010 4:21 am
- 9 Replies
- 1241 Views
- Last post by comac
Fri May 28, 2010 6:36 am
- Empirical distribution of Beta
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- Saving confidence bands
by ylijohtaja » Mon Nov 16, 2009 6:06 am
- 3 Replies
- 1635 Views
- Last post by TomDoan
Thu May 27, 2010 10:43 am
- Saving confidence bands
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- Dynamic Forecast with VECM
by Poppelwops » Thu May 20, 2010 6:57 am - 3 Replies
- 1142 Views
- Last post by moderator
Mon May 24, 2010 2:17 pm
- Dynamic Forecast with VECM
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- Retrieve Structural resids
by zkontolemis » Wed May 05, 2010 12:40 pm - 1 Replies
- 818 Views
- Last post by TomDoan
Wed May 05, 2010 3:09 pm
- Retrieve Structural resids
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- Bernanke & Mihov QJE 1998 replication
by TomDoan » Sun Aug 30, 2009 9:28 pm
- 4 Replies
- 1086 Views
- Last post by TomDoan
Fri Apr 30, 2010 3:27 pm
- Bernanke & Mihov QJE 1998 replication
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- A Cumulative Variance Decomposition?
by macro_man » Wed Apr 28, 2010 8:40 pm - 1 Replies
- 641 Views
- Last post by TomDoan
Thu Apr 29, 2010 8:13 am
- A Cumulative Variance Decomposition?
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- How to set up the Jeffreys Prior for VECM?
by dennis0125hk » Tue May 26, 2009 3:12 am - 5 Replies
- 1380 Views
- Last post by TomDoan
Wed Apr 21, 2010 6:58 am
- How to set up the Jeffreys Prior for VECM?
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- how to specify a "non-fundamental" shock in SVAR
by zxlstoner » Sun Apr 18, 2010 9:03 pm
- 10 Replies
- 1975 Views
- Last post by zxlstoner
Tue Apr 20, 2010 8:07 pm
- how to specify a "non-fundamental" shock in SVAR
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