c***i
发帖数: 45 | 1 用proc varmax fit VECM model 时如果估计的参数不significant。有办法将其
restrain to 0 吗？ 我知道如果是VAR model，可以用RESTRICT statement. 但是这个
不使用于VECM model. Thanks. |
t****g
发帖数: 120 | 2 Unfortunately, the answer is NO. |
c***i
发帖数: 45 | 3 那么如果有多个time series, 除了假设weak exogeneity, 还有什么方法可以解决over
-parameterization issue 和insignificant parameter issue呢？
【在 t****g 的大作中提到】
: Unfortunately, the answer is NO.
|
t****g
发帖数: 120 | 4 I don't know any quick way, other than restrictions on VECM parameters
directly, to deal with your issues... |
c***i
发帖数: 45 | 5 In SAS, is there a way to apply restrictions on VECM parameters? Are you
talking about H and J matrix? How to restrict the AR parameters in VECM
models in SAS? Thanks!
【在 t****g 的大作中提到】
: I don't know any quick way, other than restrictions on VECM parameters
: directly, to deal with your issues...
|
t****g
发帖数: 120 | 6 The problem is that currently you cannot set restrictions on AR parameters
in VECM models in SAS. If you know any software supports such features,
please let me know. |
