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GLOBALVAR: RATS program to demonstrate estimation of a global VAR

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  • Tom Doan

    (Estima)

Programming Language

Abstract

Example of estimation of a "global VAR". Pesaran, M. H., Schuermann, T., and Weiner, S. M. (2004). "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Journal of Business & Economic Statistics, vol 22, no 2, pp 129–162.

Suggested Citation

  • Tom Doan, 2026. "GLOBALVAR: RATS program to demonstrate estimation of a global VAR," Statistical Software Components RTJ00036, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rtj00036
    Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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    File URL: https://estima.com/procedures/globalvar.rprj
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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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