Search found 8 matches

by Reynaldo2007
Fri May 03, 2019 7:15 pm
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 105
Views: 90498

Re: Gregory-Hansen Cointegration Test

Dear all, Does this prg file for the gregory hansen test allow for the inclusion of exogenous variables (like dummies for crisis, for example)?
by Reynaldo2007
Mon May 01, 2017 3:14 am
Forum: Econometric Discussions
Topic: About Dickey Fuller ADF test
Replies: 0
Views: 856

About Dickey Fuller ADF test

Hello, I am performing ADF in Eviews and my question is about the significance of the constant in the specification of the ADF when I include the constant. The output is in the attached jpg. Here, my question is, Can I interpret the 0.5342 p-value of the constant (C) as the real p-value for the cons...
by Reynaldo2007
Sat Aug 06, 2016 11:53 pm
Forum: Econometric Discussions
Topic: Variance Decomposition in Eviews
Replies: 0
Views: 1237

Variance Decomposition in Eviews

Hello, I am performing cointegration analysis using Eviews and the DOLS estimator in the cointegrating equation. After saving the residuals of this equation (they are stationary then the variables are cointegrated), I estimated the short run equation including the lagged error term, one lag of the d...
by Reynaldo2007
Wed Aug 03, 2016 7:09 pm
Forum: Econometric Discussions
Topic: Discrepancy between a VAR and a VECM
Replies: 6
Views: 1437

Re: Discrepancy between a VAR and a VECM

Dear dakila, lot of thanks for your attention and help. I already found the source of the problems. It was very very simple. The point is that the VECM allows for one year more in the data (2011). When I estimate the VECM with data until 2010 the results are exactly the same. My only problem was tha...
by Reynaldo2007
Wed Aug 03, 2016 4:47 pm
Forum: Econometric Discussions
Topic: Discrepancy between a VAR and a VECM
Replies: 6
Views: 1437

Re: Discrepancy between a VAR and a VECM

sorry, what I mean is that because i am using DOLS the sample reduces to 57 and I save 57 observations of the error term. Then when I estimate the VECM it is estimated with 57 observations because is limited by the error terms observations. When I build the VECM with a lag in all the variables (incl...
by Reynaldo2007
Wed Aug 03, 2016 4:34 pm
Forum: Econometric Discussions
Topic: Discrepancy between a VAR and a VECM
Replies: 6
Views: 1437

Re: Discrepancy between a VAR and a VECM

Very much thank you for your reply. I have 61 observations that when I apply DOLS the sample use to be 56 or 57
by Reynaldo2007
Tue Aug 02, 2016 8:01 pm
Forum: Econometric Discussions
Topic: Discrepancy between a VAR and a VECM
Replies: 6
Views: 1437

Discrepancy between a VAR and a VECM

Hello, I am performing cointegration analysis using Eviews and the DOLS estimator in the cointegrating equation. After saving the residuals of this equation (they are stationary then the variables are cointegrated), I estimated the short run equation including the lagged error term, one lag of the d...
by Reynaldo2007
Sun Jan 17, 2016 8:09 pm
Forum: Data Manipulation
Topic: Seasonal Adjustmetn
Replies: 4
Views: 2140

I have problems performing X13 Seasonal Adjustment

At first, very much thank you and congratulations for your work. I have leant a lot in the Eviews Forums web pages. I want to perform a Seasonal Adjustment when I follow Proc/Seasonal Adjustment/Census X-13... and the "X-13 Options" window appears and click in X-13 built in regressors I ha...

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