Search found 3 matches

by Stataman
Mon Jul 20, 2020 5:22 am
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 50
Views: 48518

Re: Diebold-Yilmaz index

Hi, I am performing the Diebold-Yilmaz spillover index using the Add-In. The results are consistent for the TOTAL spillover idex. However, the output does not generate the Net splillover index. One could just substract the two matrix output (To matrix - From Matrix) to obtain the NET SPILLOVER, howe...
by Stataman
Thu Jul 16, 2020 3:07 am
Forum: Econometric Discussions
Topic: rolling correlation
Replies: 15
Views: 13687

Re: rolling correlation

Hi. First of all thank you for letting me being a member of this forum. I would like to know if we must work with STATIONARY data (making for instance the 1º difference and testing unit roots) whenever we are going to calculate the rolling correlation between two variables with the command : genr co...
by Stataman
Thu Jul 16, 2020 2:56 am
Forum: Add-in Support
Topic: Diebold-Yilmaz index
Replies: 50
Views: 48518

Re: Diebold-Yilmaz index

Hi, I am new in this forum. I am working on my dissertation and I came across with this methodology (Diebold-Yilmaz index) that i found specially interesting. Maybe it is a silly question but I would like to know if we must work with STATIONARY data (making for instance the 1º difference and testing...

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