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
- 2327 Views
- Last post by moderator
Wed Mar 27, 2013 12:39 pm
- RATS 8.2: Free Trial Version
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- change in Correlation Structure
by AhmedSahlool » Wed Apr 18, 2012 5:33 am - 0 Replies
- 164 Views
- Last post by AhmedSahlool
Wed Apr 18, 2012 5:33 am
- change in Correlation Structure
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- VAR Lag Determination With Volatility Length
by AhmedSahlool » Thu Apr 12, 2012 8:50 am - 3 Replies
- 415 Views
- Last post by TomDoan
Thu Apr 12, 2012 9:47 pm
- VAR Lag Determination With Volatility Length
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- VAR Volatitity Shifts
by AhmedSahlool » Wed Apr 11, 2012 8:33 am - 1 Replies
- 256 Views
- Last post by TomDoan
Wed Apr 11, 2012 11:37 am
- VAR Volatitity Shifts
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- Example of VECM with BQ restrictions and Error Bands
by macro_man » Sun Jan 29, 2012 11:23 pm - 7 Replies
- 1874 Views
- Last post by TomDoan
Wed Mar 21, 2012 9:57 am
- Example of VECM with BQ restrictions and Error Bands
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- VAR impulses with some coefficients constrained to be zero
by tavera » Thu Mar 08, 2012 11:25 am - 3 Replies
- 520 Views
- Last post by tavera
Fri Mar 09, 2012 1:47 am
- VAR impulses with some coefficients constrained to be zero
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- VAR with time-varying parameters and stochastic volatility
by tavera » Wed May 18, 2011 8:50 am
- 3 Replies
- 1246 Views
- Last post by touremam
Fri Jan 27, 2012 4:57 am
- VAR with time-varying parameters and stochastic volatility
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- Limiting the vertical scale of irfs from SVAR
by res84529 » Mon Dec 19, 2011 6:22 am
- 6 Replies
- 1546 Views
- Last post by TomDoan
Sat Jan 07, 2012 10:25 am
- Limiting the vertical scale of irfs from SVAR
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- Generalized Impulse Responses
by guillaume » Thu Jul 02, 2009 4:36 am - 5 Replies
- 4553 Views
- Last post by TomDoan
Fri Jan 06, 2012 8:34 am
- Generalized Impulse Responses
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- Near VAR with Long-Run Restrictions
by macro_man » Sun May 23, 2010 2:03 pm - 5 Replies
- 1053 Views
- Last post by TomDoan
Fri Dec 30, 2011 4:20 pm
- Near VAR with Long-Run Restrictions
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- About historical decomposition
1, 2 by YWZHENG » Thu Aug 04, 2011 12:03 pm
- 16 Replies
- 2154 Views
- Last post by moderator
Wed Dec 14, 2011 11:49 pm
- About historical decomposition
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- How one SD shock can be converted into percentage shock
by bhupal » Thu Jan 15, 2009 5:24 am - 14 Replies
- 3522 Views
- Last post by TomDoan
Mon Dec 12, 2011 12:11 pm
- How one SD shock can be converted into percentage shock
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- levels versus first difference
by equestion » Wed Feb 02, 2011 3:42 pm - 13 Replies
- 2258 Views
- Last post by moderator
Mon Dec 12, 2011 9:27 am
- levels versus first difference
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- simulation
1, 2by iloverats » Tue Apr 12, 2011 1:48 am - 19 Replies
- 2031 Views
- Last post by TomDoan
Fri Dec 02, 2011 1:28 pm
- simulation
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- Impulse response function and decomposition
by chiade » Mon Nov 28, 2011 7:17 am - 1 Replies
- 627 Views
- Last post by TomDoan
Wed Nov 30, 2011 4:34 pm
- Impulse response function and decomposition
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- Interpretation of TVAR results
by nazif » Wed Nov 23, 2011 6:07 pm - 1 Replies
- 697 Views
- Last post by TomDoan
Wed Nov 30, 2011 3:55 pm
- Interpretation of TVAR results
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- Impulse Response of "GROUP Y" to Shock in "GROUP X"
by bok1234 » Fri Nov 18, 2011 7:39 am - 3 Replies
- 1107 Views
- Last post by TomDoan
Mon Nov 21, 2011 3:09 pm
- Impulse Response of "GROUP Y" to Shock in "GROUP X"
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- Specific shock: Impulse Response Functions
by mj_sydney » Mon Dec 20, 2010 8:46 pm - 6 Replies
- 1597 Views
- Last post by emdlf
Fri Nov 18, 2011 2:48 pm
- Specific shock: Impulse Response Functions
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- Use of Monte Carlo simulation / bootstrapping
by cecedi » Thu Nov 17, 2011 10:55 am - 1 Replies
- 424 Views
- Last post by TomDoan
Thu Nov 17, 2011 2:17 pm
- Use of Monte Carlo simulation / bootstrapping
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- Rolling Forecast and rolling VAR
by hichbenn » Fri Nov 11, 2011 5:55 am - 3 Replies
- 570 Views
- Last post by jonasdovern
Fri Nov 11, 2011 11:29 am
- Rolling Forecast and rolling VAR
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- The estimation of SVAR
by res84529 » Mon Oct 31, 2011 7:28 pm
- 3 Replies
- 670 Views
- Last post by TomDoan
Wed Nov 02, 2011 11:19 am
- The estimation of SVAR
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- VECM with Long-Run Restriction
by macro_man » Sun Oct 23, 2011 6:53 pm - 3 Replies
- 816 Views
- Last post by TomDoan
Mon Oct 24, 2011 5:08 pm
- VECM with Long-Run Restriction
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- MonteSUR for VECM
by macro_man » Tue Oct 18, 2011 1:02 pm - 1 Replies
- 333 Views
- Last post by TomDoan
Tue Oct 18, 2011 2:37 pm
- MonteSUR for VECM
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- Bootstrapped Confidence Intervals VECM
by cecedi » Fri Sep 16, 2011 10:27 am
- 3 Replies
- 1465 Views
- Last post by TomDoan
Fri Oct 14, 2011 11:51 am
- Bootstrapped Confidence Intervals VECM
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- Multivariate Granger Causality
1, 2 by Dedder » Sun Feb 28, 2010 5:27 am
- 17 Replies
- 4270 Views
- Last post by TomDoan
Thu Oct 13, 2011 11:37 am
- Multivariate Granger Causality
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