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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...

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 ...

It is. Gray (1984).

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 (...

Is the Sargent (1977) extension of the Cagan (1956) model of hyperinflation a DSGE model?

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...

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...

It seems that you can do things like that in RATS (I've also found some code in GAUSS), with VAR-GARCH models.

It seems that you can do things like that in RATS (I've also foun some code in GAUSS)

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.

: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...

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) ...

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,...

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,...

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