Search found 17 matches

by SnakeCharmerII
Tue Aug 02, 2011 2:08 pm
Forum: Econometric Discussions
Topic: Regression
Replies: 2
Views: 1376

Re: Regression

Yes, it is 100% right. Maybe you’re going to have kind of large estimated parameters, let’s say Y in millions of pesos and a Beta-hat for unemployment equal to -20. So a 1% increase in unemployment, decreases Y by 20 millons of pesos. I would suggest also to use a semi logarithmic regression, were Y...
by SnakeCharmerII
Thu Jul 28, 2011 1:46 pm
Forum: Econometric Discussions
Topic: what changes if I add an autoregressive AR(..) term?
Replies: 1
Views: 1704

Re: what changes if I add an autoregressive AR(..) term?

If you add AR and/or MA terms to your linear regression, your are estimating an ARMAX model. In order to do inference, your residuals should be gaussian white noise (GWN). So, 1) Adding AR and/or MA terms certanly would fix the autocorrelation problems, and maybe you can even get GWN errors to make ...
by SnakeCharmerII
Thu Jul 28, 2011 1:36 pm
Forum: Econometric Discussions
Topic: Is it a DSGE?
Replies: 1
Views: 1238

Re: Is it a DSGE?

It is. Gray (1984).
by SnakeCharmerII
Wed Jul 27, 2011 3:35 pm
Forum: Econometric Discussions
Topic: Read Cointegration table
Replies: 1
Views: 1421

Re: Read Cointegration table

It depends on WHAT null hypothesis you are rejecting. I assume that you're talking of the Johansen test, so the null could be Ho (1): No cointegration Ho (2): At least 1 cointegration relationship Ho (3): At least 2 cointegration relationship ... So, if your variables were cointegrated with rank 1 (...
by SnakeCharmerII
Wed Jul 27, 2011 3:28 pm
Forum: Econometric Discussions
Topic: Is it a DSGE?
Replies: 1
Views: 1238

Is it a DSGE?

Is the Sargent (1977) extension of the Cagan (1956) model of hyperinflation a DSGE model?
by SnakeCharmerII
Fri Jun 24, 2011 2:53 pm
Forum: Estimation
Topic: VAR GARCH-M with BEKK
Replies: 7
Views: 5822

Re: VAR GARCH-M with BEKK

It seems that you can do things like that in RATS (I've also foun some code in GAUSS) You can do such things in EViews as well, but not as a built-in procedure. You have to use the LogL object along with some programming features of EViews. There are sample programs on similar issues in the "P...
by SnakeCharmerII
Fri Jun 24, 2011 2:52 pm
Forum: Estimation
Topic: multivariate garch
Replies: 6
Views: 3299

Re: multivariate garch

It seems that you can do things like that in RATS (I've also found some code in GAUSS), with VAR-GARCH models. You can do such things in EViews as well, but not as a built-in procedure. You have to use the LogL object along with some programming features of EViews. There are sample programs on simi...
by SnakeCharmerII
Wed Jun 22, 2011 1:26 pm
Forum: Estimation
Topic: multivariate garch
Replies: 6
Views: 3299

Re: multivariate garch

It seems that you can do things like that in RATS (I've also found some code in GAUSS), with VAR-GARCH models.
by SnakeCharmerII
Wed Jun 22, 2011 1:25 pm
Forum: Estimation
Topic: VAR GARCH-M with BEKK
Replies: 7
Views: 5822

Re: VAR GARCH-M with BEKK

It seems that you can do things like that in RATS (I've also foun some code in GAUSS)
by SnakeCharmerII
Fri Jun 17, 2011 12:36 pm
Forum: Estimation
Topic: multivariate garch
Replies: 6
Views: 3299

Re: multivariate garch

What about (1) estimating single GARCH models for each variable in the VAR vector, (2) generate a sigma variance (var, se OR log-var) series with the garch models, (3) add these sigmas to the VAR, as exogenous variables.

This would be like a VAR-with-GARCH-in-Mean.
by SnakeCharmerII
Fri Jun 17, 2011 12:08 pm
Forum: Estimation
Topic: Re: VECM estimation: How to determine significances
Replies: 1
Views: 2493

Re: VECM estimation: How to determine significances

:idea: Ok, I've done the following experiment: 1) I've estimated VECM models in STATA and in EVIEWS until I obtained nearly the same results in terms of s.e. and t-statistics 2) With these values, I've tried different statistical ways of calculating the p-values, by hand, until I got the same p-valu...
by SnakeCharmerII
Thu Jun 02, 2011 7:00 am
Forum: Estimation
Topic: Re: VECM estimation: How to determine significances
Replies: 1
Views: 2493

Re: VECM estimation: How to determine significances

Hi, I was wondering how to determine significance in the Cointegrating Eq of the VECM model, because only Standard errors in ( ) & t-statistics in [ ] appear in the output of Eviews. Searching in the forums, I read the suggestion of doing it by hand with, scalar tstat = @qtdist(1-(alpha/2),n-1) ...
by SnakeCharmerII
Fri May 06, 2011 8:20 am
Forum: Add-in Support
Topic: FD filter question
Replies: 1
Views: 2468

FD filter question

Hi, If the starting (or ending period) of the Corbae-Ouliaris FD filter can be specified in terms of a fraction of pi, why six (6) periods translates to 2/6=0.3333 radians instead of "pi/6" ? From where comes that number two (2)? :?: Thanks in advance and I'm sorry if my question is silly,...
by SnakeCharmerII
Fri May 06, 2011 5:53 am
Forum: Program Repository
Topic: Ideal Band Pass Filter For Stationary/Non-Stationary Series
Replies: 18
Views: 25598

Re: Ideal Band Pass Filter For Stationary/Non-Stationary Ser

Hi, If the starting (or ending period) of the Corbae-Ouliaris FD filter can be specified in terms of a fraction of pi, why six (6) periods translates to 2/6=0.3333 radians instead of "pi/6" ? From where comes that number two (2)? :?: Thanks in advance and I'm sorry if my question is silly,...
by SnakeCharmerII
Tue Apr 05, 2011 1:32 pm
Forum: Add-in Support
Topic: fracdiff add-in
Replies: 4
Views: 3093

Re: fracdiff add-in

Maybe thats the problem. I'm using a copy of eviews at work that seems to be not updated, Thanks anyway Gareth!

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