Search found 9 matches

by linluoau
Mon Aug 29, 2022 10:31 pm
Forum: Econometric Discussions
Topic: Cointegration test
Replies: 1
Views: 3965

Cointegration test

Hi
I have got this test result after testing for cointegration between inflation and import prices. My question is how come EViews says there are two cointegrations in these two variables? Does this mean there is no cointegration between the two? Thanks
Screenshot 2022-08-30 132658.png
Screenshot 2022-08-30 132658.png (29.69 KiB) Viewed 3955 times
by linluoau
Thu Aug 27, 2020 6:06 am
Forum: Estimation
Topic: Leverage of observation
Replies: 2
Views: 5969

Re: Leverage of observation

http://www.eviews.com/help/content/testing-Stability_Diagnostics.html#ww183859 http://www.eviews.com/help/content/testing-Stability_Diagnostics.html#ww183937 Thanks Gareth. I found if I use the original residuals, the residual range is too narrow. However, if I use the rstudent adjusted residuals i...
by linluoau
Wed Aug 26, 2020 6:50 am
Forum: Estimation
Topic: Leverage of observation
Replies: 2
Views: 5969

Leverage of observation

Hi
Can anyone tell me if EViews provides the leverage of observation? I want to adjust residuals for bootstrapping. Someone told me the adjustment is necessary because the normal residuals are too narrow.
many thanks
Linden
by linluoau
Wed Aug 26, 2020 6:49 am
Forum: Programming
Topic: Leverage of observation
Replies: 0
Views: 8224

Leverage of observation

Hi
Can anyone tell me if EViews provide the leverage of observation? I want to adjust residuals for bootstrapping. Someone told me the adjustment is necessary because the normal residuals are too narrow.
many thanks
Linden
by linluoau
Mon Oct 28, 2019 7:56 pm
Forum: Econometric Discussions
Topic: EC estimation
Replies: 0
Views: 7875

EC estimation

Hi Helpers Suppose I have a number of I(0) and I(1) variables, of which are cointegrated in some order. I am only interested in building a model for one I(1) variable, which means I only need to estimate a single rather than a vector of equations. My question is if I can use the ec command to do thi...
by linluoau
Thu Oct 24, 2019 12:43 am
Forum: Econometric Discussions
Topic: Johansen cointegration test
Replies: 0
Views: 8318

Johansen cointegration test

Hi Helpers I was trying to test for cointegration for two variables. But I got the following results. Can someone explain how this is possible? Does this mean there is no cointegration between the two? Thank you Sample (adjusted): 9/01/1998 6/01/2019 Included observations: 84 after adjustments Trend...
by linluoau
Mon May 27, 2019 6:01 am
Forum: Estimation
Topic: State Space modelling
Replies: 2
Views: 3715

State Space modelling

Hi All I have asked this before but got no reply. I want to estimate nairu with a state space model. The model is specified as sspace ssnairu ssnairu.append cpi = c(11)*cpie+c(12)*cpi(-1)+c(13)*cpi(-2)+c(14)*cpi(-3)+c(15)*ulc(-1)+c(16)*((rue-nairu)/rue)+c(17)*d(rue(-1))/rue+c(18)*(pm(-1)-pm(-2))+[va...
by linluoau
Mon May 13, 2019 4:48 am
Forum: Econometric Discussions
Topic: Estimating NAIRU using state space model
Replies: 0
Views: 2762

Estimating NAIRU using state space model

Hi Can someone please help me on my estimation of nairu using state space model. The models are sspace ssnairu ssnairu.append cpi = c(11)*cpie+c(12)*cpi(-1)+c(13)*cpi(-2)+c(14)*cpi(-3)+c(15)*ulc(-1)+c(16)*((rue-nairu)/rue)+c(17)*d(rue(-1))/rue+c(18)*(pm(-1)-pm(-2))+[var=exp(c(110))] ssnairu.append u...
by linluoau
Fri Apr 26, 2019 6:30 pm
Forum: Estimation
Topic: Help for state space modelling
Replies: 0
Views: 2814

Help for state space modelling

Hi Can someone help me with my NAIRU estimation. I tried to code the model as follows sspace ssnairu 'ssnairu.append cpi = c(2)*cpihp+c(3)*cpi(-1)+c(4)*cpi(-2)+c(5)*cpi(-3)+c(6)*ulc(-1)+c(7)*((rue-nairu)/rue)+c(8)*d(rue(-1))/rue+c(9)*(pm(-1)-pm(-2)) 'ssnairu.append ulc = c(10)*cpihp+c(11)*cpi(-1)+c(...

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