Search found 17 matches
- Tue Aug 02, 2011 2:08 pm
- Forum: Econometric Discussions
- Topic: Regression
- Replies: 2
- Views: 3267
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...
- Thu Jul 28, 2011 1:46 pm
- Forum: Econometric Discussions
- Topic: what changes if I add an autoregressive AR(..) term?
- Replies: 1
- Views: 3404
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 ...
- Thu Jul 28, 2011 1:36 pm
- Forum: Econometric Discussions
- Topic: Is it a DSGE?
- Replies: 1
- Views: 2818
Re: Is it a DSGE?
It is. Gray (1984).
- Wed Jul 27, 2011 3:35 pm
- Forum: Econometric Discussions
- Topic: Read Cointegration table
- Replies: 1
- Views: 2936
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 (...
- Wed Jul 27, 2011 3:28 pm
- Forum: Econometric Discussions
- Topic: Is it a DSGE?
- Replies: 1
- Views: 2818
Is it a DSGE?
Is the Sargent (1977) extension of the Cagan (1956) model of hyperinflation a DSGE model?
- Fri Jun 24, 2011 2:53 pm
- Forum: Estimation
- Topic: VAR GARCH-M with BEKK
- Replies: 7
- Views: 10200
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...
- Fri Jun 24, 2011 2:52 pm
- Forum: Estimation
- Topic: multivariate garch
- Replies: 6
- Views: 7234
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...
- Wed Jun 22, 2011 1:26 pm
- Forum: Estimation
- Topic: multivariate garch
- Replies: 6
- Views: 7234
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.
- Wed Jun 22, 2011 1:25 pm
- Forum: Estimation
- Topic: VAR GARCH-M with BEKK
- Replies: 7
- Views: 10200
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)
- Fri Jun 17, 2011 12:36 pm
- Forum: Estimation
- Topic: multivariate garch
- Replies: 6
- Views: 7234
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.
This would be like a VAR-with-GARCH-in-Mean.
- Fri Jun 17, 2011 12:08 pm
- Forum: Estimation
- Topic: Re: VECM estimation: How to determine significances
- Replies: 1
- Views: 4152
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...
- Thu Jun 02, 2011 7:00 am
- Forum: Estimation
- Topic: Re: VECM estimation: How to determine significances
- Replies: 1
- Views: 4152
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) ...
- Fri May 06, 2011 8:20 am
- Forum: Add-in Support
- Topic: FD filter question
- Replies: 1
- Views: 4767
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,...
- Fri May 06, 2011 5:53 am
- Forum: Program Repository
- Topic: Ideal Band Pass Filter For Stationary/Non-Stationary Series
- Replies: 18
- Views: 50971
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,...
- Tue Apr 05, 2011 1:32 pm
- Forum: Add-in Support
- Topic: fracdiff add-in
- Replies: 4
- Views: 6291
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!