Search found 3 matches

by redversjones
Wed Jun 05, 2019 4:03 am
Forum: Estimation
Topic: Variable in cointegrating vector but not VAR
Replies: 0
Views: 141

Variable in cointegrating vector but not VAR

I am attempting to add a variable to the cointegrating vector, but for it to not feature in the VAR. Can anybody please advise on how this might be done as I have not come across it before. See 'Financial liberalisation' variable restriction in this Bank of England blog estimation. https://bankunder...
by redversjones
Mon Dec 17, 2018 9:55 am
Forum: Programming
Topic: ROC / AUROC / AUC integration
Replies: 0
Views: 285

ROC / AUROC / AUC integration

Hi Are there any plans to add Received Operating Characteristics (ROC) and the Area Under the ROC curve (AUROC/AUC) into the main program? I appreciate there is the View/Expectation-Prediction Evaluation module which is useful , and a couple of threads on here for coding a program to do this, but as...
by redversjones
Tue Dec 19, 2017 10:50 am
Forum: Programming
Topic: Expanding window HP cycle
Replies: 0
Views: 461

Expanding window HP cycle


Is it possible to create a time series of an expanding window/one-sided HP cycle? I have seen code for a rolling window but am struggling to convert to an expanding version.

Any help would be greatly appreciated,

Thank you.

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