## Search found 12 matches

Tue Sep 05, 2017 3:12 pm
Forum: Econometric Discussions
Topic: I(1),I(0) and cointegration
Replies: 3
Views: 817

### Re: I(1),I(0) and cointegration

You can include it in the short run dynamics but no in the long run. So you exclude it from the equation in levels (which will estimate the error corretion term) and include it in the equation in differences. If it's a VAR, eviews allows you to impose restrictions in the VECM matrices.
Sun Sep 03, 2017 8:13 pm
Forum: Econometric Discussions
Topic: VAR/VECM for panel data
Replies: 12
Views: 2622

### Re: VAR/VECM for panel data

Just one suggestion: you can easily make Eviews add-ins based on your codes. It will inrease the usage of them and citation of your papers. Just an update. I've corrected the glitch and now it's compatible with Eviews 10: https://github.com/omercadopopular/cgoes/blob/master/piketty/pedroni%20(eview...
Wed Aug 30, 2017 10:54 pm
Forum: Econometric Discussions
Topic: How to interpret results for Impulse, Granger
Replies: 3
Views: 709

### Re: How to interpret results for Impulse, Granger

Yes, only (d) is significant at periods 1-4.
Tue Aug 29, 2017 10:36 pm
Forum: Econometric Discussions
Topic: Transfer Function [?] - Time Series Comparing
Replies: 1
Views: 523

### Re: Transfer Function [?] - Time Series Comparing

Spline is really making your dynamics look weird: .
Tue Aug 29, 2017 6:39 pm
Forum: Econometric Discussions
Topic: How to interpret results for Impulse, Granger
Replies: 3
Views: 709

### Re: How to interpret results for Impulse, Granger

(1) how do I interpret whether my impulse response is (in)significant? If zero is outside the red-dashed band, it is statistically significant for a give confidence level. (2) And how do I know if its at a 1% or % level? It needs to be clear in the paper. If I recall the standard in Eviews is to sh...
Tue Aug 29, 2017 6:32 pm
Forum: Econometric Discussions
Topic: GARCH day of the week
Replies: 1
Views: 526

### Re: GARCH day of the week

The (-5) you saw in other papers probably is just controlling for the endogenous variable on same weekday of the previous week, and then trying to measure if, on average, the returns increase or decrease on a given weekday. The first thing you need to do is to check if your errors are serially corre...
Mon Aug 28, 2017 4:10 pm
Forum: Econometric Discussions
Topic: Pooled data
Replies: 2
Views: 628

### Re: Pooled data

Possibility: you could demean (or normalize) the data for each yearly sample (to make sure you're accounting for any common time effects) and then lump it together as a single cross-section.
Mon Aug 28, 2017 12:12 pm
Forum: Econometric Discussions
Topic: VAR/VECM for panel data
Replies: 12
Views: 2622

### Re: VAR/VECM for panel data

Gareth is helping me with that. Thanks!
Mon Aug 28, 2017 11:32 am
Forum: Econometric Discussions
Topic: SVAR IRFs, filtering and cointegration questions
Replies: 1
Views: 583

### Re: SVAR IRFs, filtering and cointegration questions

If you find evidence of cointegration b/w the I(1) variables (use the Johanson cointegration test, for instance), you can run a VECM imposing a restriction in the alpha and beta matrices to zero (meaning that those variables that do not have a unit root will be in the short-run but not in the long r...
Mon Aug 28, 2017 11:08 am
Forum: Econometric Discussions
Topic: VAR/VECM for panel data
Replies: 12
Views: 2622

### Re: VAR/VECM for panel data

I'll get access to the new eviews, work on it in the coming weeks and post it back here.
Sat Aug 26, 2017 2:12 pm
Forum: Econometric Discussions
Topic: VAR/VECM for panel data
Replies: 12
Views: 2622

### Re: VAR/VECM for panel data

Which one? GMM/IV or Pedroni? I'm still working with Eviews 7, but reportedly it works with Eviews 9. Maybe the new update made it incompatible. Would you care to report the error message?
Thu Aug 24, 2017 8:07 pm
Forum: Econometric Discussions
Topic: VAR/VECM for panel data
Replies: 12
Views: 2622

### Re: VAR/VECM for panel data

I've written two different (and rather user friendly) Panel VAR programs: > using Arellano-Bond equations: https://github.com/omercadopopular/cgoes/blob/master/institutions/vargmm%20(generalized).prg > using Pedroni's heterogeneous Panel VARs: https://github.com/omercadopopular/cgoes/blob/master/pik...