rolling variance decomposition
Posted: Thu Mar 24, 2016 4:21 am
Hi!
I want to estimate a VAR model with a rolling forecast error variance in order to capture spillover effects each year.
Can anyone help me how to apply it on EVIEWS?
Thank you in advance!
Evangelos
I want to estimate a VAR model with a rolling forecast error variance in order to capture spillover effects each year.
Can anyone help me how to apply it on EVIEWS?
Thank you in advance!
Evangelos