Search found 2 matches

by harpreet_kaur
Sun Jul 21, 2019 10:46 pm
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 41
Views: 31556

Re: Diebold-Yilmaz index

Hi, i have applied Diebold model in Eview9 to check return spillover among five return series ( daily data, around 3000 observation). I have some queries 1. Endogenous variable should be stationary? 2. On the basis of lag length criteria, appropriate lag is 1 (SC) and 4( AIC, HQ). When in run Diebo...
by harpreet_kaur
Sat Jul 20, 2019 1:36 am
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 41
Views: 31556

Re: Diebold-Yilmaz index

Hi, i have applied Diebold model in Eview9 to check return spillover among five return series ( daily data, around 3000 observation). I have some queries 1. Endogenous variable should be stationary? 2. On the basis of lag length criteria, appropriate lag is 1 (SC) and 4( AIC, HQ). When in run Diebol...

Go to advanced search