SHORTANDLONG: RATS procedure to compute factor covariance matrix with short and long run restrictions

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Computes a factorization of sigma with a combination of short and long run restrictions. It can only be applied to just-identified parameterizations where the restrictions are zero restrictions. If you have an underidentified parameterization, you can compute the "RPERP" matrix which maps free parameters into the loading matrix.

Language: RATS
Requires: RATS 6.20
Keywords: VAR; short and long run restrictions (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/shortandlong.src (text/plain)

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