Search found 6 matches

by Wira
Tue Mar 01, 2011 9:34 am
Forum: Econometric Discussions
Topic: Zivot Andrew Add ins
Replies: 0
Views: 1137

Zivot Andrew Add ins

Dear Administrator, I was wondering if you could explain the result of add ins Zivot Andrew. I run that add ins and find the result reject H0: has a unit root with structural break. When I looked at the paper of Zivot Andrew, they explai the null hypothesis is without the the break, or exclude the b...
by Wira
Thu Sep 02, 2010 3:56 am
Forum: Econometric Discussions
Topic: cointegration with different levels of stationary
Replies: 16
Views: 28768

Bound cointegration Pesaran Program

Dear all,
Anybody has Eviews program of ARDL approach cointegration of Pesaran Shin and Smith (2001)?
Would you please share it? Thanks.
by Wira
Thu Aug 26, 2010 4:10 am
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 105
Views: 92193

Re: Gregory-Hansen Cointegration Test

Dear Eviews administrator, I was wondering if you could tell me what is the cointegration factor of Gregory Hansen test? I am thinking the result is like Johansen test result but it is not. The program results in only the break position and its statistical test. How many cointegration and the equati...
by Wira
Wed Jul 28, 2010 2:21 pm
Forum: Add-in Support
Topic: BaiPerron (Bai-Perron breakpoint test - Requires R)
Replies: 111
Views: 72460

Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Dear Gareth,
What about the equation with constant and a trend? Is it in line with Bai Perron (1998) algorithm or their theory?
Thanks.
by Wira
Wed Jul 28, 2010 9:28 am
Forum: Add-in Support
Topic: BaiPerron (Bai-Perron breakpoint test - Requires R)
Replies: 111
Views: 72460

Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Hi Gareth and everyone, I found the BP test can work with AR(1) equation, is it right? I found a paper Atkins(2002) that using AR(1) model. Is it different algorithm? Can we use equation with trend such as y=a0+a1@trend ? OR only a constant as a proxy of the mean such as y=a0 ? Please enlighten me. ...
by Wira
Thu Jul 22, 2010 1:35 pm
Forum: Suggestions and Requests
Topic: Bai-Perron structural break test
Replies: 7
Views: 9343

Re: Bai-Perron structural break test

Hi, could you please explain to me how to find the Bai Perron code of R? How to call it in Eviews? Sorry for this silly questions. I am a beginner in R. Thanks.

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