Dear all,
I am trying to implement general-to-specific procedure to do VAR
modelling. From my understanding, PcGets is only designed for
equation-by-equation, not for vector system reduction. If I use PcGive
to implement general-to-specific approach manually, what is the general
procedure or what is the good reference guide? Can anybody share experience?
Thanks a lot!
jing chen
Columbia University
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