Search found 12 matches
- Tue Sep 05, 2017 3:12 pm
- Forum: Econometric Discussions
- Topic: I(1),I(0) and cointegration
- Replies: 3
- Views: 4363
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: 13616
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: 4000
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: 2724
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: 4000
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: 2856
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: 3496
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: 13616
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: 2951
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: 13616
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: 13616
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: 13616
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...