Search found 8 matches

by Kahn
Sun Aug 28, 2016 12:50 am
Forum: Econometric Discussions
Topic: Gregory-Hansen and Threshold Cointegration
Replies: 1
Views: 1444

Gregory-Hansen and Threshold Cointegration

Hello, I have used the Johansen multivariate cointegration test to see whether a group of ten stock markets are cointegrated. However, I was wondering whether it would be possible to use the Gregory-Hansen and Enders-Siklos tests for structural-breaks and threshold adjustment on the entire system or...
by Kahn
Sun Aug 21, 2016 11:37 am
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 105
Views: 94663

Re: Gregory-Hansen Cointegration Test

Would it be valid to use the GH test for multiple series at once?
by Kahn
Thu Aug 04, 2016 4:58 pm
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 105
Views: 94663

Re: Gregory-Hansen Cointegration Test

Dear Trubador, Assuming we do find evidence of cointegration, how would we proceed with our analysis if we had to estimate a VECM? How would the structural break or regime change be modelled in EViews? Would it suffice to simply split the sample into two sub-periods and estimate two models? I apprec...
by Kahn
Wed Aug 03, 2016 6:05 am
Forum: Econometric Discussions
Topic: Markov Switching Models
Replies: 0
Views: 1006

Markov Switching Models

Hello, I am very new to studying Markov Regime Switching Models however require urgent help and would appreciate any help. Basically, when i estimate a switching model in Eviews for stock return data, I get decent estimates for the S&P 500. However, when I do the same for the FTSE Kuwait index I...
by Kahn
Tue Apr 12, 2016 8:06 pm
Forum: Estimation
Topic: VECM Equations
Replies: 0
Views: 1078

VECM Equations

Hello,

I have calculated a VECM which has two equations. Is it possible to open only one of these equations separately?
by Kahn
Mon Apr 11, 2016 3:17 am
Forum: Estimation
Topic: VECM With GARCH?
Replies: 4
Views: 2347

Re: VECM With GARCH?

That would lead to "generated regressors problem". You may try to migrate your VECM into the system framework and use the ARCH estimation. In order to do that, you should first identify and fix the long-run (cointegration) relationship via VEC and estimate all the remaining coefficients (...
by Kahn
Sun Apr 10, 2016 8:24 pm
Forum: Estimation
Topic: VECM With GARCH?
Replies: 4
Views: 2347

Re: VECM With GARCH?

Hello Again, After researching a bit more, some people have said that you may not be able to estimate such a model in EViews however my question now is that would it make sense to get one particular variable in the VECM system, say Delta R, and generate a new variable of Delta R but with GARCH error...
by Kahn
Sun Apr 10, 2016 6:37 am
Forum: Estimation
Topic: VECM With GARCH?
Replies: 4
Views: 2347

VECM With GARCH?

Hello, I have calculated a VECM model however I am now required to: 1) Re-estimating the VECM but with GARCH(1,1) errors and testing for asymmetries and conditional non-normalities 2) Again Re-Estimate but this time a GARCH with the mean equation consisting of a constant only I've tried multiple sea...

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