Search found 19 matches
- Tue Jun 28, 2011 1:11 pm
- Forum: Econometric Discussions
- Topic: Cointegration
- Replies: 1
- Views: 2405
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...
- Fri May 27, 2011 8:27 am
- Forum: Estimation
- Topic: Markov switching model
- Replies: 30
- Views: 56368
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.
Aqua,
Could you please to post your workfile? Mine is close, not perfect.
Are you working with simulated data or real data?
Thank you.
- Sat May 21, 2011 7:54 pm
- Forum: Bug Reports
- Topic: Quant Andrew Tests for unknown structural breaks
- Replies: 1
- Views: 3144
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
Attached is my workfile.
Thank you in advance for any explanation
- Sun May 15, 2011 4:25 pm
- Forum: Bug Reports
- Topic: Johansen Cointegration test
- Replies: 4
- Views: 6037
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
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
- Sun May 15, 2011 1:26 am
- Forum: Estimation
- Topic: Impulse function of a VEC
- Replies: 0
- Views: 1683
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
Thank you
- Sun May 15, 2011 1:18 am
- Forum: Bug Reports
- Topic: Johansen Cointegration test
- Replies: 4
- Views: 6037
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...
- Sat May 14, 2011 6:04 pm
- Forum: Bug Reports
- Topic: Johansen Cointegration test
- Replies: 4
- Views: 6037
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...
- Sat May 14, 2011 5:56 pm
- Forum: Estimation
- Topic: Markov switching model
- Replies: 30
- Views: 56368
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...
- Sat May 14, 2011 5:50 pm
- Forum: Estimation
- Topic: Markov switching model
- Replies: 30
- Views: 56368
Re: Markov switching model
Thank you so much for your help.
I am much appreciated
I am much appreciated
- Fri Apr 08, 2011 5:52 am
- Forum: Estimation
- Topic: Impulse response to Cholesky 1% shock
- Replies: 13
- Views: 33797
Re: Impulse response to Cholesky 1% shock
Thank you trubador
T
T
- Thu Apr 07, 2011 11:59 am
- Forum: Estimation
- Topic: Markov switching model
- Replies: 30
- Views: 56368
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...
- Thu Apr 07, 2011 11:51 am
- Forum: Estimation
- Topic: Impulse response to Cholesky 1% shock
- Replies: 13
- Views: 33797
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
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
- Thu Apr 07, 2011 5:25 am
- Forum: Add-in Support
- Topic: BVARs yet again
- Replies: 16
- Views: 18934
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.
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.
- Tue Apr 05, 2011 8:55 pm
- Forum: Add-in Support
- Topic: BVARs yet again
- Replies: 16
- Views: 18934
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
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
- Tue Apr 05, 2011 8:24 pm
- Forum: Add-in Support
- Topic: BVARs yet again
- Replies: 16
- Views: 18934
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...