Structural VARIt's main objective is to estimate VAR models using various approaches. | |
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Structural VAR Ranking & Summary
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- License:
- Freeware
- Publisher Name:
- Anders Warne
- Operating Systems:
- Windows
- File Size:
- 10.1 MB
- Release Date:
- 2021-05-28 08:16:07
Structural VAR Tags
Structural VAR Description
At this stage I would like to advertise a program that I'm currently working on. It's main objective is to estimate VAR models using various approaches. That is, the software is intended to support: structural and reduced form VAR models, estimated with classical Maximum Likelihood or using Bayesian methods, with or without cointegration restrictions, allowing for both long run and contemporaneous identifying restrictions. For the classical approach, bootstrapping is available for most test statistics and estimated parameters as an alternative to relying entirely on asymptotic theory.
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