Search found 7 matches

by kipfilet
Sun May 23, 2010 6:44 am
Forum: Programming
Topic: How can I retrieve statistics from a View of an object?
Replies: 7
Views: 16157

Re: How can I retrieve statistics from a View of an object?

Sorry, I'm not getting any error. It's just the Chow series that are not filled (just with N/As). I am sure I am doing something wrong with the way I specify the dates for the Chow test. workfile taylor m 1999m01 2008m12 smpl 1999m01 2008m12 equation eq03.ls eonia c infl_h indgap series(120) chow_re...
by kipfilet
Sat May 22, 2010 11:46 am
Forum: Programming
Topic: How can I retrieve statistics from a View of an object?
Replies: 7
Views: 16157

Re: How can I retrieve statistics from a View of an object?

Hey there, I want to extract F-statistics from Chow tables recursively (meaning I have to freeze around 130 tables and extract the F statistics). However, naturally, I get an error after the first one. Is there any command to close the table?
by kipfilet
Fri Nov 27, 2009 9:11 pm
Forum: Estimation
Topic: "Separating VARs"
Replies: 0
Views: 886

"Separating VARs"

I am currently estimating a 6-equation VAR. However, I am interested in estimating a AB type SVAR using only the last three equations of the VAR (i.e., I am only interested in the structural shocks implied in the last three equations). Is there anyway that I can "separate" the last 3 equat...
by kipfilet
Thu Nov 19, 2009 7:04 pm
Forum: Programming
Topic: Generate Recursive Dummy
Replies: 1
Views: 1296

Generate Recursive Dummy

Hello all. I am working with a monthly time series workfile, and am trying to detect the specific date of a structural break in a regression. In order to achieve that, I have thought of generating a dummy and estimating the OLS regression n times. At the first iteration, the dummy would take value 1...
by kipfilet
Tue Jul 21, 2009 1:24 am
Forum: Econometric Discussions
Topic: Dependent I(0) variable with I(1) regressors
Replies: 5
Views: 11401

Re: Dependent I(0) variable with I(1) regressors

Thank you very much for your reply. Indeed, the use of first differences is not very well supported by economic theory and, in this particular case, it makes the model's interpretation a bit awkward. Would it be a case of bad specification if I allowed the I(1) variables to remain in levels, while a...
by kipfilet
Mon Jul 13, 2009 2:09 am
Forum: Econometric Discussions
Topic: Dependent I(0) variable with I(1) regressors
Replies: 5
Views: 11401

Re: Dependent I(0) variable with I(1) regressors

First of all, I would like to thank you for your swift and insightful reply :) I have indeed tested for every kind of trends, to see if I could detect any kind of trend-stationarity, but the ADF tests always led me not to reject the hypothesis of unit roots in the series. Regarding tcfoot's comment,...
by kipfilet
Wed Jul 08, 2009 7:30 am
Forum: Econometric Discussions
Topic: Dependent I(0) variable with I(1) regressors
Replies: 5
Views: 11401

Dependent I(0) variable with I(1) regressors

I am currently undertaking some work on time series analysis and, while specifying a model and testing the dependent and independent variables for unit-roots and order of integration I got the following results: Dependent Variable ~ I(0) Two independent variables ~ I(0) Two independent variables ~ I...

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