TVP-VAR Nakajima

Can Nakajima TVP VAR handle more than 3 variables? It seems that asvar command gets stucked at 3 always.

Answer 1

[SAI SRUJAN]

Hi Martin Arazi,

I understand that you are facing an issue with the "asvar" command and trying to determine if Nakajima TVP VAR can handle more than three variables.

Kindly refer to the following MATLAB Answer thread which should provide you with valuable insights on how to proceed further.

TVP-VAR model - MATLAB Answers - MATLAB Central (mathworks.com)