Dear all,
I wonder whether there is a (simple) solution to my problem: basically, I
want to estimate a cointegrated VAR model with reduced rank. Clearly this
is easily done in PcGive - is it possible to use the PcGive Ox jobs
somehow to do this in an Ox job of my own? I am able to estimate the
model when there is full rank using the eigen() function, but I do not
know how to restrict the eigenvalues to zero in order to estimate the
model with reduced rank.
Any help most appreciated, best wishes,
James.
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