Search found 6 matches

by vaibhavapj
Sat Jun 01, 2019 4:54 am
Forum: Econometric Discussions
Topic: ARCH LM Test not giving proper results
Replies: 0
Views: 213

ARCH LM Test not giving proper results

Hello, We are facing an issue with the getting no ARCH effect in the "niftyr" series which i am not able to understand since stock market series always have hetroskedecity. Please advice where things are gone wrong why hetroskedecity is not getting confirmed ? MS excel file attached, where...
by vaibhavapj
Fri May 03, 2019 10:36 pm
Forum: Data Manipulation
Topic: How to get p values alongside VAR/VECM results in same window
Replies: 2
Views: 529

Re: How to get p values alongside VAR/VECM results in same window

Thanks.

But i feel atleast the first issue must be there in the software by default. This is very important and used widely.
by vaibhavapj
Fri May 03, 2019 12:06 am
Forum: Data Manipulation
Topic: How to get p values alongside VAR/VECM results in same window
Replies: 2
Views: 529

How to get p values alongside VAR/VECM results in same window

Hello, When we apply VAR/VECM we only get the coefficient value and standard error. Then we to have separately run a process to get the p values also. How can i get all these in one process to save time and get better output Also, is it possible that if we have say 1 variable crude and we have to ru...
by vaibhavapj
Fri Feb 22, 2019 4:19 am
Forum: Estimation
Topic: BIVARIATE GARCH BEKK
Replies: 25
Views: 6290

Re: BIVARIATE GARCH BEKK

Hello Guys,

How can we run a square matrix BEKK model in Eviews. I know there is a diagonal Bekk button , but i want to run the square matrix version to check relationship between oil and stock markets
by vaibhavapj
Fri Feb 22, 2019 1:29 am
Forum: Estimation
Topic: Causality in MEAN and Variance Test in Eviews 10
Replies: 0
Views: 521

Causality in MEAN and Variance Test in Eviews 10

Can somebody help me on how to run How to run CCF based causality in mean and variance test (Cheung and Ng) test in Stata for weekly data for the understanding relationship between oil prices and stock market at a sectoral level (sub-indices) The reference paper academic paper where this technique i...
by vaibhavapj
Tue Feb 19, 2019 11:01 am
Forum: Econometric Discussions
Topic: Multivariate GARCH-BEKK
Replies: 1
Views: 453

Re: Multivariate GARCH-BEKK

Hello,

Request you to please share some video links to understand what is Bekk model and DCC model and then how to perform in eviews please

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