Would anyone help me find a code or how to estimate a VAR model with parameter sign restrictions?
If anyone have this code in any other softwares, PLEASE, dont hesitate to share it with me
Search found 5 matches
- Fri Feb 22, 2013 4:04 am
- Forum: Estimation
- Topic: A parameter sign restrictions in VAR models
- Replies: 0
- Views: 2112
- Tue Sep 20, 2011 8:38 am
- Forum: Programming
- Topic: rolling forecasting
- Replies: 4
- Views: 6625
Re: rolling forecasting
thank you my friend,
I got you but I think I will have the program myself as there is nothing ready for now
thx alot
I got you but I think I will have the program myself as there is nothing ready for now
thx alot
- Tue Sep 20, 2011 8:10 am
- Forum: Programming
- Topic: rolling forecasting
- Replies: 4
- Views: 6625
Re: rolling forecasting
Can you please send me a link for this topic.
I didn't get your idea, please would you tell me more details?
I mean I need to have the whole VAR if I have to calculate forecasting for any variable.
Thx alot
I didn't get your idea, please would you tell me more details?
I mean I need to have the whole VAR if I have to calculate forecasting for any variable.
Thx alot
- Tue Sep 20, 2011 6:52 am
- Forum: Suggestions and Requests
- Topic: In sample and out of sample test
- Replies: 4
- Views: 31205
Re: In sample and out of sample test
Let's say your data sample is 1995q1 2010q4 If I want to test a model used for forecasting, I would estimate it for a sub-sample that leaves me with enough out-of-sample observations, such as 1995q1 2006q4. For in-sample test, estimate the equation, and check the statistics like RMSE, MAE, etc, tha...
- Tue Sep 20, 2011 3:58 am
- Forum: Programming
- Topic: rolling forecasting
- Replies: 4
- Views: 6625
rolling forecasting
Hello dear friends, I wish I can get a response to my query: I would like to estimate a VAR model from 1997q1 to 2010q1, then calculate the RMSE from 2007q1 to 2010q1 for three horizons: 1, 2 and 3 quarters ahead. Eg. I have to estimate the VAR from 1997q1 to 2006q4, then calculate the forecasting f...