## Search found 32 matches

Sun May 20, 2018 7:46 pm
Forum: Estimation
Topic: Threshold Vector Autoregression
Replies: 0
Views: 1445

### Threshold Vector Autoregression

Hi I know that Eviews has the threshold regression package, which can be used for single equation threshold autoregressions (TAR), but can it handle vectors? I have two equations which I believe to be correlated. So I'd like to estimated a TVAR. Is there an Eviews package for this? I'm aware of the ...
Sun May 06, 2018 12:48 pm
Forum: Estimation
Topic: Toda and Yamamoto causality test
Replies: 19
Views: 17195

### Re: Toda and Yamamoto causality test

sam SAM wrote:I do not know where the problem is (at home)!!!

Looking to help out as I know how frustrating it can be. But I don't understand your comment. You mean you can't find the instructions?
Sun May 06, 2018 12:46 pm
Forum: Estimation
Topic: Toda and Yamamoto causality test
Replies: 19
Views: 17195

### Re: Toda and Yamamoto causality test

Hello thank you very much I feel that the site is not updated? Cordially I don't understand why you would need the blog post to be updated. The method has not changed since year 1995. The blog lays out very clear instructions on how to step by step implement the T-Y method. You don't even need to p...
Sun May 06, 2018 9:06 am
Forum: Estimation
Topic: Toda and Yamamoto causality test
Replies: 19
Views: 17195

### Re: Toda and Yamamoto causality test

Good Morning, Hello, Please, It's true this remark: Toda-Yammamoto procedure requires that the maximum order of integration among the variables should not exceed the lags of the initial VAR? Best wishes There is a great blog post that explains the T-Y approach very clearly. Search Dave Giles profes...
Tue Mar 28, 2017 10:17 am
Forum: Programming
Topic: How can I quickly create weekly dummy variables?
Replies: 2
Views: 1499

### Re: How can I quickly create weekly dummy variables?

EViews Gareth wrote:@expand(@datepart(@date, "WW"), @dropfirst)

This works very well. Thank you!
Tue Mar 28, 2017 10:06 am
Forum: Programming
Topic: How can I quickly create weekly dummy variables?
Replies: 2
Views: 1499

### How can I quickly create weekly dummy variables?

Hi,

I have weekly data and I'm interesting in introducing weekly dummies to examine for seasonality. I tried using @expand(@week, @dropfirst) but I get an error message. Is there some other way to do this?
Tue Mar 28, 2017 10:03 am
Topic: STAR*
Replies: 52
Views: 44649

### Re: STAR*

Hi, I am getting an error message these days when I try to run the STAR package. This just recently started. I cannot figure out why this problem is occurring, as the package was working fine just yesterday. Hi, It is because the LM_1 statistical is negative, It has never happened to me. Could you ...
Sun Mar 12, 2017 11:03 am
Forum: Programming
Topic: Generating Random Starting Values
Replies: 1
Views: 1207

### Generating Random Starting Values

Hi I'm trying to randomly generate 16 starting values for a nonlinear MRSTAR. I understand that starting values can be specified by the following: param c(1) scalar c(2) scalar c(3) scalar c(4) scalar c(5) scalar c(6) scalar c(7) scalar c(8) scalar c(9) scalar c(10) scalar c(11) scalar c(12) scalar ...
Fri Mar 10, 2017 9:51 am
Topic: STAR*
Replies: 52
Views: 44649

### Re: STAR*

Hi,

I am getting an error message these days when I try to run the STAR package. This just recently started. I cannot figure out why this problem is occurring, as the package was working fine just yesterday.
Wed Mar 08, 2017 2:38 pm
Forum: Programming
Topic: Squared difference of each element in a vector
Replies: 2
Views: 1908

### Re: Squared difference of each element in a vector

Thank you Matt!
Wed Mar 08, 2017 9:52 am
Forum: Programming
Topic: Squared difference of each element in a vector
Replies: 2
Views: 1908

### Squared difference of each element in a vector

Hi I'm sorry this is such a basic question, but I cannot find the answer in Eviews help forum. I have a 1x10 vector of eigenvalues and I have a scalar mean of those eigenvalues. For each element of the vector, I'd like to subtract the mean, square the difference and sum the squared differences. In M...
Tue Jul 26, 2016 3:29 am
Forum: Econometric Discussions
Topic: Negative LM statistic in testing for autocorrelation
Replies: 0
Views: 1265

### Negative LM statistic in testing for autocorrelation

I am attempting some testing of adequacy in the post estimation of a STAR model. Specifically I'm attempting to test for the presence of no autocorrelation using the methods of Eitrheim and Terasvirta (1996). This is a Serial Correlation LM test which is Chi-squared distributed. Summary of methods f...
Mon Jul 25, 2016 7:57 pm
Topic: STAR*
Replies: 52
Views: 44649

### Re: STAR*

Dear Nicolas, I am attempting some testing of adequacy in the post estimation of my STAR model. Specifically I'm attempting to test for the presence of no autocorrelation using the methods of Eitrheim and Terasvirta (1996). This is a Serial Correlation LM test which is Chi-squared distributed. Howev...
Wed May 25, 2016 10:59 am
Forum: Programming
Topic: generate a vector of random values
Replies: 3
Views: 2584

### Re: generate a vector of random values

EViews Glenn wrote:@rnorm works best for element assignment. To fill the entire vector in one go, use

Code: Select all

`nrnd(vec)`

as in

Code: Select all

`vector(10) anrnd(a)`

Thank you this is very efficient in my program!
Tue May 24, 2016 5:24 pm
Topic: STAR*
Replies: 52
Views: 44649

### Re: STAR*

The final test that one should always do is to compare the linear model with the nonlinear in terms of adjustment, if the nonlinear one gives you better results you should keep it. Regarding the stationarity of the transition variable, since you apply a funcion which codomine is bounded the resulti...