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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...
- Thu Jul 16, 2020 3:07 am
- Forum: Econometric Discussions
- Topic: rolling correlation
- Replies: 15
- Views: 13687
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...
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...