EViews.com

Dear all,

I just wanted to ask if there is a code available somewhere for computing asymmetric impulse response functions in Eviews.

As it is possible to estimate threshold cointegration models it would be of great help.

Thanks,

bests

Dear Trubador, Thank you for your answer. It would be great to have not to recode, but in running a single equation how do I specify the above and below threshold variables? I tried to do the following (for a M-TAR model) 1. Saving the residuals from the Engle Granger first step for cointegration re...

Dear Trubador, I'm asking for AIC/SBC because in some works these IC were used for determining the best fitting model among TAR, consistent TAR, M-TAR and consistent M-TAR. Is the modified code available in the forum or do I have to recode it myself? (I have no idea about how to do it). Thank you ve...

Dear all, I am estimating TAR and MTAR (with threshold=0 and consistent) for two prices. My question is if it is possible to make Eviews displaying the value of the AIC/SIC for each model I estimated. Thank you in advance, Bests Yes, it is possible. However, as I really do not see any particular use...

Dear all,

I am estimating TAR and MTAR (with threshold=0 and consistent) for two prices.

My question is if it is possible to make Eviews displaying the value of the AIC/SIC for each model I estimated.

Thank you in advance,

Bests

Thank you Dakila for the interesting and useful link

Dear All, One quick question about Bai Perron: I am dealing with three commodity prices at different places and I want to test for cointegration. The period analysed spanned from 1994 to 2012, weekly prices. Now, I would understand if and when there is a structural break in the model. How do I have ...

Dear All, I'd like to ask the community over the use of dummy variables in cointegration frameworks and subsequently in TAR and MTAR models. It is quite usual finding some structural breaks when analysing commodity prices nowadays, e.g. due to the world crisis in 2007 and the rose of oil price in 20...

In order to investigate short run dynamics of the model (therefore the IRFs) I need to build up the AECM, and the two ECT+ and ECT- have to be different, otherwise there is no asymmetric adjustment, right? If it could be of any help, the main reference is the work of Abdulai (2002) "Using thres...

Any suggestion?

Thank you Rebecca,

I posted the same questions in the Add-in section.

Bests

F

Dear all, I estimated a (Consistent)M-TAR model for two prices (and 5 exogenous variables, one shift dummy and four impulses) and results indicate the existence af asymmetries and cointegration between the two series. Now, I'd like to estimate the relative AECM in order to investigate short run dyna...

Hi Rebecca, sure, thank you. I estimated a (Consistent)M-TAR model for two prices (and 5 exogenous variables, one shift dummy and four impulses) and results indicate the existence af asymmetries and cointegration between the two series. Now, I'd like to estimate the AECM (relative to the MTAR) in or...

Dear Rebecca,

first of all thank you for your reply.

I'm not sure to understand what you mean with in which context..

Thank you again,

Federico

Dear all,

after getting the results from TAR and MTAR estimation, how can I tell eviews to estimate an AECM?

I read the other discussion but i didn't find the description of the code...

Thank You in advance,

bests