Search found 3 matches

by alphaomega
Thu Feb 09, 2017 7:33 pm
Forum: Add-in Support
Topic: Spectral Granger Causality Test*
Replies: 12
Views: 8011

Re: Spectral Granger Causality Test*

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?

Thanks!
by alphaomega
Tue Nov 29, 2016 12:12 pm
Forum: Add-in Support
Topic: Spectral Granger Causality Test*
Replies: 12
Views: 8011

Re: Spectral Granger Causality Test*

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 ...
by alphaomega
Fri Nov 04, 2016 12:50 pm
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 75
Views: 75940

Re: Dynamic conditional correlation multivariate GARCH

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...

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