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Opened 12 years ago

Last modified 12 years ago

#1637 accepted task

Package VarModel

Reported by: Jorge Owned by: Jorge
Priority: normal Milestone: TOL Packages
Component: Math Version: 3.1
Severity: normal Keywords:
Cc:

Description

Implement a tol package to specify an estimate VAR models. It should be able to do:

  • maximum likelihood estimation for unrestricted and VEC forms
  • extract residuals as a set of Serie in orden to make easier it visualization
  • test cointegration rank
  • autoregression orden estimation
  • IRF computation
  • forecasting
  • forecast error decomposition

Change History (16)

comment:1 Changed 12 years ago by Jorge

Status: new → accepted

comment:2 Changed 12 years ago by Jorge

(In [5588]) refs #1637, constant Serie must be computed on the correct TimeSet

comment:3 Changed 12 years ago by Jorge

(In [5606]) #refs #1637, implemented RRR as described by Hamilton

comment:4 Changed 12 years ago by Jorge

(In [5607]) #refs #1637, fixing LLK computation, fixing VEC to VAR conversion when p = 1, setting names to the result depending on the names of the modeled series

comment:5 Changed 12 years ago by Jorge

(In [5617]) refs #1637, fixed a bug in the LLK computation of a VEC model, implementing the trace likelihood ratio test of Johansen, in order to do rank selection based on this statistic it is need a way to compute the critical values from a brownian motion distribution.

comment:6 Changed 12 years ago by Jorge

(In [5618]) refs #1637, supporting documentation

comment:7 Changed 12 years ago by Jorge

(In [5619]) refs #1637, the test code invoke the trace statistic computation

comment:8 Changed 12 years ago by Jorge

(In [5620]) refs #1637, document containing the critical values for Johansen test

comment:9 Changed 12 years ago by Jorge

(In [5678]) refs #1637, set name to forecast components

comment:10 Changed 12 years ago by Jorge

(In [5679]) refs #1637, on cointegration test

comment:11 Changed 12 years ago by Jorge

(In [5680]) refs #1637, renaming pdf

comment:12 Changed 12 years ago by Jorge

(In [5682]) refs #1637, implementing the stability test based on the eigenvalues of the matrix from the equivalent VAR(1) companion form.

comment:13 Changed 12 years ago by Jorge

(In [5683]) refs #1637, the test must be done on the absolute value of the eigenvalues

comment:14 Changed 12 years ago by Jorge

(In [5684]) refs #1637, documentation for package 'vars' from R

comment:15 Changed 12 years ago by Jorge

(In [5938]) refs #1637, sobre valores críticos en el test de cointegración

comment:16 Changed 12 years ago by Jorge

(In [5939]) refs #1637, incrementamos versión, se añade el método GetMaxLLK a VarEst, se especifica el tipo Matrix a las llamadas de la función Sub

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