Search found 7 matches

Fri Mar 29, 2019 3:11 pm
Forum: Econometric Discussions
Topic: Johansen test. Rejection question
Replies: 0
Views: 558

Johansen test. Rejection question

Hi, im running a Johansen test for 3 variables. Hypothesized Trace 0.05 No. of CE(s) Eigenvalue Statistic Critical Value Prob.** None * 0.113798 36.44193 29.79707 0.0074 At most 1 0.047404 13.48796 15.49471 0.0981 At most 2 * 0.022175 4.260661 3.841466 0.0390 If i take a 5% significance. Then im rej...
Wed Mar 20, 2019 5:30 pm
Forum: Econometric Discussions
Replies: 2
Views: 395

Its not clear what you're asking here. Are you asking why a VAR's automatic lag selection is different from a single series' unit root test's automatic lag selection? If so, they're not comparable. The VAR has multiple series, the unit root only has one. The ADF test includes differences of the var...
Wed Mar 20, 2019 4:31 pm
Forum: Econometric Discussions
Replies: 2
Views: 395

Hi, can someone tell me how does eviews calculate this optimal lag for example with Schwarz criterion. Im asking this because when i do the VAR Lag Order Selection Criterio it gives me a different number of lags. For example with the automatic lag selection SC it gives me 1 lags but with VAR Lag Ord...
Sat Apr 07, 2018 7:25 am
Forum: Estimation
Topic: using autoregressive moving average model for a regresion
Replies: 3
Views: 737

Re: using autoregressive moving average model for a regresion

EViews Gareth wrote:
neto333 wrote:Hi, is there a way to save the data from the ARMA model so i can use it for a regresion? Right what im doing is go to "actual, fitted, residual Table" and then copy the data.

Proc->make residuals

Why residuals?
Fri Apr 06, 2018 1:50 pm
Forum: Estimation
Topic: using autoregressive moving average model for a regresion
Replies: 3
Views: 737

using autoregressive moving average model for a regresion

Hi, is there a way to save the data from the ARMA model so i can use it for a regresion? Right now what im doing is go to "actual, fitted, residual Table" and then copy the data.
Fri Feb 23, 2018 10:14 am
Forum: Econometric Discussions
Topic: lags with dickey fuller test
Replies: 0
Views: 519

lags with dickey fuller test

Hi, in most manuals they say to just leave the lags as automatic but i want to understand how this works. If i for example have a montlhy series how many lags should i put and why?
Sat Feb 17, 2018 9:09 pm
Forum: Econometric Discussions
Topic: how do you test if a time series has deterministic trend?
Replies: 0
Views: 559

how do you test if a time series has deterministic trend?

Hi, if i have a time series and it shows that it has a trend, but i want to know if it is deterministic or stochastic trend.
Thank you.