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Variables limitation in VAR models
Posted: Mon Apr 04, 2016 10:53 am
by Roman
Hi Guys,
There is a limitation of 30 endogenous variables for VAR models (including BVAR). Is there a way to turn that off ?
If not, what do you recommend to overcome that ?
Thank you.
Regards,
Roman
Re: Variables limitation in VAR models
Posted: Mon Apr 04, 2016 11:04 am
by EViews Gareth
It cannot currently be turned off. We will look into expanding it for future versions.
Re: Variables limitation in VAR models
Posted: Mon Apr 04, 2016 12:46 pm
by Roman
Hi Gareth,
Thanks for prompt reply. It is quite urgent for me to have that feature.
Do you think you could release this feature in a patch ?
Re: Variables limitation in VAR models
Posted: Mon Apr 04, 2016 12:56 pm
by EViews Gareth
No.
If you're just interested in simple VAR estimation, you could estimate in a system.
Re: Variables limitation in VAR models
Posted: Mon Apr 04, 2016 1:31 pm
by Roman
Unfortunately it is the BVAR I am interested in (need to shrink the system).
The only alternative that I see is calling R functions from the MSBVAR package...
Re: Variables limitation in VAR models
Posted: Mon Apr 04, 2016 2:15 pm
by EViews Gareth
Yep.