Time Varying VAR Model

[AhmedSahlool]

Hi,

I hope this finds you fine,

I try to apply the procedure tvarset, but I get always the message "## OP3. This Instruction Does Not Have An Option LAG"

Do you have an idea how could I solve this problem.

Thank you in advance,

Ahmed Sahloul

[TomDoan]

You'll have to show me what the @tvarset instruction is that you're trying to use.

[AhmedSahlool]

TVARSET(LAGS =1, SEFACTOR = 0.9, TIGHT= 0,2)
# CYCTOT CycToTD CYCRGDP LER Inflation1

[AhmedSahlool]

Could you find out where is the problem?

Am I applying the procedure in wrong way?

[TomDoan]

TVARSET(LAGS =1, SEFACTOR = 0.9, TIGHT= 0,2)
# CYCTOT CycToTD CYCRGDP LER Inflation1

That should be

@TVARSET(LAGS =1, SEFACTOR = 0.9, TIGHT= 0,2)
# CYCTOT CycToTD CYCRGDP LER Inflation1

TVARSET without the @ is trying to do the TVARYING instruction.

You also need to have TIGHT=0.2 not 0,2