VARs-how to deal with inverted AR roots outside unit circle
Posted: Wed Sep 25, 2013 11:36 am
Hi,
any tips on how to deal with inverted AR roots of VAR lying outside the unit circle in the multivariate VAR (specifically, it is the application of Toda-Yamamoto procedure, i.e. the VAR is estimated with I(1) variables in levels)?
I tried to vary the number of lags (both add and remove) but to no avail. I was hoping I could resolve the problem with higher number of lags, however I have run out of available degrees of freedom in the model before the AR roots problem was solved.
It does not seem there is a structural break in the series.
Any tips?
any tips on how to deal with inverted AR roots of VAR lying outside the unit circle in the multivariate VAR (specifically, it is the application of Toda-Yamamoto procedure, i.e. the VAR is estimated with I(1) variables in levels)?
I tried to vary the number of lags (both add and remove) but to no avail. I was hoping I could resolve the problem with higher number of lags, however I have run out of available degrees of freedom in the model before the AR roots problem was solved.
It does not seem there is a structural break in the series.
Any tips?