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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Last post by TomDoan
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RATS 11: Free Trial Version

Last post by RK2509 « Sun Apr 05, 2026 9:17 pm
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by TomDoan » Wed Mar 27, 2013 12:39 pm » in RATS Product Announcements

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Kalman and residual variance

Last post by tclark « Fri Aug 30, 2013 5:23 pm
Replies: 2
by tclark » Fri Aug 30, 2013 4:08 pm

2 Replies

5102 Views

Last post by tclark
Fri Aug 30, 2013 5:23 pm
VAR Order Selection

Last post by Nabtheberliner « Wed Aug 28, 2013 6:03 pm
Replies: 3
by Nabtheberliner » Wed Aug 28, 2013 12:52 pm

3 Replies

6352 Views

Last post by Nabtheberliner
Wed Aug 28, 2013 6:03 pm
Using same estimated VAR over different samples.

Last post by TomDoan « Thu Aug 15, 2013 5:41 pm
Replies: 1
by macro_man » Thu Aug 15, 2013 5:34 pm

1 Replies

4039 Views

Last post by TomDoan
Thu Aug 15, 2013 5:41 pm
BVARBuildPriorMN

Last post by TomDoan « Wed Aug 14, 2013 5:47 pm
Replies: 3
by AhmedSahlool » Wed Aug 14, 2013 11:11 am

3 Replies

5593 Views

Last post by TomDoan
Wed Aug 14, 2013 5:47 pm
Structural Residuals

Last post by TomDoan « Tue Aug 13, 2013 5:07 pm
Replies: 3
by rzulfadin » Mon Aug 12, 2013 8:25 pm

3 Replies

5637 Views

Last post by TomDoan
Tue Aug 13, 2013 5:07 pm
independent Normal-Wishart prior

Last post by AhmedSahlool « Fri Aug 09, 2013 10:17 am
Replies: 18
by AhmedSahlool » Thu Jul 04, 2013 3:14 pm
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2
18 Replies

26562 Views

Last post by AhmedSahlool
Fri Aug 09, 2013 10:17 am
Comparing SVAR results in RATS with Eviews

Last post by TomDoan « Mon Jul 22, 2013 9:40 am
Replies: 7
by alvarezcc » Fri Aug 05, 2011 1:48 pm

7 Replies

11777 Views

Last post by TomDoan
Mon Jul 22, 2013 9:40 am
Panel VAR

Last post by RomainR « Fri Jul 19, 2013 2:31 pm
Replies: 4
by RomainR » Fri Jul 19, 2013 8:48 am

4 Replies

7167 Views

Last post by RomainR
Fri Jul 19, 2013 2:31 pm
Short and Long Run Identification in Bayesian VAR

Last post by TomDoan « Thu Jun 27, 2013 12:05 pm
Replies: 1
by AhmedSahlool » Thu Jun 27, 2013 7:55 am

1 Replies

4683 Views

Last post by TomDoan
Thu Jun 27, 2013 12:05 pm
the critical values for the OIR restriction test in SVAR

Last post by res84529 « Tue Jun 18, 2013 9:13 pm
Replies: 8
by res84529 » Sun Apr 28, 2013 4:21 am

8 Replies

11956 Views

Last post by res84529
Tue Jun 18, 2013 9:13 pm
Date of applying a shock on VECM

Last post by TomDoan « Mon Jun 10, 2013 10:24 am
Replies: 1
by fadimohamed » Mon Jun 10, 2013 7:34 am

1 Replies

4467 Views

Last post by TomDoan
Mon Jun 10, 2013 10:24 am
Global VAR

Last post by TomDoan « Thu Jun 06, 2013 3:58 pm
Replies: 3
by emi_kinf » Sun Jun 02, 2013 12:14 pm

3 Replies

7236 Views

Last post by TomDoan
Thu Jun 06, 2013 3:58 pm
Time Varying VAR with Errors Hetero and Exogenous Variables

Last post by AhmedSahlool « Thu May 30, 2013 4:29 am
Replies: 2
by AhmedSahlool » Tue May 28, 2013 10:17 am

2 Replies

5392 Views

Last post by AhmedSahlool
Thu May 30, 2013 4:29 am
full identification-FEVD problem

Last post by KOBE24 « Wed May 22, 2013 2:36 pm
Replies: 2
by KOBE24 » Wed May 22, 2013 12:42 pm

2 Replies

6318 Views

Last post by KOBE24
Wed May 22, 2013 2:36 pm
BQDoDraws for more than 2 variables

Last post by TomDoan « Thu May 02, 2013 11:18 am
Replies: 4
by ursula » Wed Jul 01, 2009 12:56 pm

4 Replies

7814 Views

Last post by TomDoan
Thu May 02, 2013 11:18 am
Extract Structural Shocks from the FAVAR

Last post by TomDoan « Fri Apr 19, 2013 12:11 pm
Replies: 3
by sschenatntu » Tue Apr 16, 2013 9:28 am

3 Replies

6084 Views

Last post by TomDoan
Fri Apr 19, 2013 12:11 pm
Recursived Forecast VAR Model

Last post by TomDoan « Tue Apr 02, 2013 11:23 am
Replies: 11
by Trankied » Wed Mar 27, 2013 1:28 am

11 Replies

13110 Views

Last post by TomDoan
Tue Apr 02, 2013 11:23 am
volatility spillover

Last post by ibrahim « Fri Mar 22, 2013 3:20 pm
Replies: 9
by ibrahim » Wed Mar 20, 2013 3:48 pm

9 Replies

12099 Views

Last post by ibrahim
Fri Mar 22, 2013 3:20 pm
Interpreting Impulse Responses coming out of RWZ approach

Last post by TomDoan « Sat Mar 02, 2013 8:45 am
Replies: 1
by AmateurRatsUser » Sat Mar 02, 2013 5:26 am

1 Replies

5229 Views

Last post by TomDoan
Sat Mar 02, 2013 8:45 am
Sign restrictions with non-recursive decomposition

Last post by TomDoan « Fri Feb 01, 2013 8:28 am
Replies: 11
by AmateurRatsUser » Sun Jan 06, 2013 9:57 am

11 Replies

16304 Views

Last post by TomDoan
Fri Feb 01, 2013 8:28 am
How to save residuals of a mutilivariate estimation

Last post by g_defi « Mon Jan 28, 2013 7:11 am
Replies: 2
by g_defi » Fri Jan 25, 2013 9:55 am

2 Replies

6263 Views

Last post by g_defi
Mon Jan 28, 2013 7:11 am
Testing overidentifying SVAR models

Last post by bonilla « Wed Jan 23, 2013 3:59 am
Replies: 2
by bonilla » Tue Jan 22, 2013 4:55 pm

2 Replies

5371 Views

Last post by bonilla
Wed Jan 23, 2013 3:59 am
Dummy Implementation of Minnesota Prior

Last post by tclark « Fri Dec 21, 2012 8:27 am
Replies: 4
by dareios82 » Thu Dec 06, 2012 3:08 pm

4 Replies

9871 Views

Last post by tclark
Fri Dec 21, 2012 8:27 am
IRF table in Blanchard and Quah code?

Last post by TomDoan « Wed Dec 12, 2012 6:00 pm
Replies: 1
by marko3499 » Wed Dec 12, 2012 11:42 am

1 Replies

4296 Views

Last post by TomDoan
Wed Dec 12, 2012 6:00 pm
Variance Decomposition in SVAR

Last post by TomDoan « Tue Nov 13, 2012 8:19 am
Replies: 6
by WALLE » Thu Jul 28, 2011 10:49 pm

6 Replies

9946 Views

Last post by TomDoan
Tue Nov 13, 2012 8:19 am

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