Recursive Estimation of CVs

A forum for questions and answers regarding the CATS cointegration procedure
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pmig
Posts: 2
Joined: Tue Jan 23, 2007 2:37 am

Recursive Estimation of CVs

Unread post by pmig »

Is there any way for cointegrating systems of more than 9 variables to be recursively estimated? When performig the recursive estimation according to the standard CATS procedure the message informs that the Cointegration space recursive estimation is allowed for systems containing up to 9 variables.

Thank you.
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