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by gpriest1412
Fri Jan 13, 2017 1:06 am
Forum: Econometric Discussions
Topic: Critical Value for Cointegration test
Replies: 0
Views: 749

Critical Value for Cointegration test

Dear Friends, how to calculate the Critical values in cointegartion test? The user guide says " Critical values are available for up to k=10 series. Also note that the critical values depend on the trend assumptions and may not be appropriate for models that contain other deterministic regresso...
by gpriest1412
Mon Nov 14, 2016 12:55 am
Forum: Add-in Support
Topic: Any way to combine the midas and vec?
Replies: 0
Views: 1222

Any way to combine the midas and vec?

I see there is a method called MFVAR, which is mixed frequency VAR. However, is there any way to combine midas and vec?
by gpriest1412
Mon Feb 01, 2016 1:57 am
Forum: Add-in Support
Topic: Favar QUESTION
Replies: 39
Views: 7216

Re: Favar QUESTION

There is example file (favar_ex.prg) and instruction pdf file in the FAVAR add-in folder. Hi,Dakila, your suggestion is helpful. I am trying to follow the instruction to apply the FAVAR. However, I did the exactly same as the favar_ex, the software replied me with "factor01 is not the same len...
by gpriest1412
Sun Jan 31, 2016 6:34 pm
Forum: Add-in Support
Topic: Favar QUESTION
Replies: 39
Views: 7216

Favar QUESTION

I am doing a FAVAR analysis. I have a group of X variables and Y. But I am not sure how to fill the form. Anyone can give me an example?
Thank you very much!

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