The RATS Software Forum

I'm looking for a code where I can impose sign parameters restricitons on VAR models. I found this way to do it for a simple regression: "To impose a positive sign on coefficient of y(t-1) write y(t)=(exp(a)))*y(t-1)+...You then need to use a non-linear regression program to estimate a. For neg...

Thank you very much for the code my friend. In fact, I want to run all VAR model by combining three variables: so I will have to run three VAR models of 2 variables and one VAR with one variable. But I'm thinking about n variables, so you can imagine how many VAR models I need to run. I know there i...

Hello, I'm a new member in this forum. May you please excuse me if my questions exist already here, but please let me know where can I have some useful answers? 1. I estimated a VAR model with quarterly data; I wanna run rolling forecasts (dynamic forecasting) from 2008q1 to 2011q4. The problem is t...