Search found 19 matches

by mayxanh
Tue Jun 28, 2011 1:11 pm
Forum: Econometric Discussions
Topic: Cointegration
Replies: 1
Views: 823

Cointegration

Could anyone please help to answer to this question? I would like to know if cointegration can exist between stationary I(0) and integrated I(1) variables? The Johansen cointegration tests assume all variables are I(1). If any variable is I(0), is it true that the beta-coefficient of this variable m...
by mayxanh
Fri May 27, 2011 8:27 am
Forum: Estimation
Topic: Markov switching model
Replies: 30
Views: 35366

Re: Markov switching model

Thank you trubador


Aqua,

Could you please to post your workfile? Mine is close, not perfect.
Are you working with simulated data or real data?

Thank you.
by mayxanh
Sat May 21, 2011 7:54 pm
Forum: Bug Reports
Topic: Quant Andrew Tests for unknown structural breaks
Replies: 1
Views: 1437

Quant Andrew Tests for unknown structural breaks

The invocation of this test will cause Eviews to be crashed if the ARIMA has the MA component (i.e. q>0).

Attached is my workfile.

Thank you in advance for any explanation
by mayxanh
Sun May 15, 2011 4:25 pm
Forum: Bug Reports
Topic: Johansen Cointegration test
Replies: 4
Views: 3217

Re: Johansen Cointegration test

Hi Gareth,

You mean my workfile or the workfile of the tutorial? This tutorial I download from the internet, so that I don't have a workfile. Do you need my workfile?

Thank you
by mayxanh
Sun May 15, 2011 1:26 am
Forum: Estimation
Topic: Impulse function of a VEC
Replies: 0
Views: 582

Impulse function of a VEC

There are no standard error calculation for impulse function of a VEC ... I would like to know if this feature has not been implemented or it is impossible to compute the standard error?
Thank you
by mayxanh
Sun May 15, 2011 1:18 am
Forum: Bug Reports
Topic: Johansen Cointegration test
Replies: 4
Views: 3217

Re: Johansen Cointegration test

Hi Gareth, I am using Eviews 7.1, built April 7, 2010. The version of Eviews that give both intercept and trend estimate in the cointegration equation, I don't know. I attach the tutorial with the Eviews output, page 29-31. When I use the version 7.1, I don't get the same output layout (trend + inte...
by mayxanh
Sat May 14, 2011 6:04 pm
Forum: Bug Reports
Topic: Johansen Cointegration test
Replies: 4
Views: 3217

Johansen Cointegration test

I don't know whether this is a bug, but when I apply a Johansen Cointegration test with specification c, e, I find no intercept and/or trend in the normalized cointegration coefficient, while the intercept is found in the output for specification b, and only trend found on the output for specificati...
by mayxanh
Sat May 14, 2011 5:56 pm
Forum: Estimation
Topic: Markov switching model
Replies: 30
Views: 35366

Re: Markov switching model

Can someone explain to me why the size of the transition matrix is (!ns,!ns) where ns > 2 I think the dimension of the transition matrix should be equal to the number of states which is 2 in this case. if !ns = !nr^(!nl+1), then how to fill in the matrix if the number of lag is more than 1? Thank yo...
by mayxanh
Sat May 14, 2011 5:50 pm
Forum: Estimation
Topic: Markov switching model
Replies: 30
Views: 35366

Re: Markov switching model

Thank you so much for your help.

I am much appreciated
by mayxanh
Fri Apr 08, 2011 5:52 am
Forum: Estimation
Topic: Impulse response to Cholesky 1% shock
Replies: 13
Views: 20311

Re: Impulse response to Cholesky 1% shock

Thank you trubador

T
by mayxanh
Thu Apr 07, 2011 11:59 am
Forum: Estimation
Topic: Markov switching model
Replies: 30
Views: 35366

Re: Markov switching model

Hi trubador, I would like to use your MS(2)AR(1) to do the forecasting. However, when I retrieve the model and solve for it, I only get the fitted series for the residuals, the density function, the conditional probability. Could trubador or someone please to show me how to compute the fitted values...
by mayxanh
Thu Apr 07, 2011 11:51 am
Forum: Estimation
Topic: Impulse response to Cholesky 1% shock
Replies: 13
Views: 20311

Re: Impulse response to Cholesky 1% shock

Hi trubador,

I am building a VAR model of the form LOG (X) LOG(Y) LOG(Z)

Then if I get the impulse function with one unit shock, the graph titled "Response of LOG(X) to LOG(Y)" should be interpreted as: response of X to 1% shock of Y?


Thank you very much.


T
by mayxanh
Thu Apr 07, 2011 5:25 am
Forum: Add-in Support
Topic: BVARs yet again
Replies: 16
Views: 8482

Re: BVARs yet again

Hi Gareth, Esther,

Thanks a lot for your help. Another question I would like to ask is that you use OLS to estimate the BVAR? The VAR system is also estimated by OLS? Thanks again.
by mayxanh
Tue Apr 05, 2011 8:55 pm
Forum: Add-in Support
Topic: BVARs yet again
Replies: 16
Views: 8482

Re: BVARs yet again

Hi Esther,

Another question I would like to ask is how to select the lag length for a BVAR? In a VAR system, we can use Information criterion to automatically select the lag length. How's about BVAR?


Thank you
by mayxanh
Tue Apr 05, 2011 8:24 pm
Forum: Add-in Support
Topic: BVARs yet again
Replies: 16
Views: 8482

Re: BVARs yet again

Hi Esther, Thank you for your explanation. Regarding the problem with the makemodel, I find out that the problem arise from the usage of D(x)(-1) as the variable so that the @word function does not return the correct word. It first returns D(x) then (-1) instead of returning the whole string D(x)(-1...

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