Search found 2 matches
- Sun Jul 21, 2019 10:46 pm
- Forum: Add-in Support
- Topic: Diebold-Yilmaz index
- Replies: 70
- Views: 256228
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...
- Sat Jul 20, 2019 1:36 am
- Forum: Add-in Support
- Topic: Diebold-Yilmaz index
- Replies: 70
- Views: 256228
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...