Are you planning on adding the likelihood ratio (LR) statistic as an option for the lag selection criteria and/or the ability to manually set the lag length?
Search found 3 matches
Search found 3 matches • Page 1 of 1
- Tue Nov 29, 2016 12:12 pm
- Forum: Add-in Support
- Topic: Spectral Granger Causality Test*
- Replies: 12
- Views: 8295
Hi, I seem to be having a similar issue with the VAR Test error message. I'm not sure what I'm doing wrong since I'm just working with a very simple case between two data series, labeled series11 and series12 in the attached temp_data.WF1 file. Both series, as well as series21 and series22, are log ...
- Fri Nov 04, 2016 12:50 pm
- Forum: Estimation
- Topic: Dynamic conditional correlation multivariate GARCH
- Replies: 75
- Views: 77249
Hi, It is not abundantly clear if the DCC-GARCH add-in uses the corrected form the model (as presented in Aelli (2013) - Dynamic Conditional Correlation: On Properties and Estimation.) Can you confirm if the DCC-GARCH add-in uses the corrected cDCC-GARCH? If not, are there any plans to update the ad...