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Hi, I am estimating a time series regression model in which the dependent variable is stock returns and the two independent variables are exchange rate changes and market index returns. Independent variables are highly correlated. In this case If i estimate GARCH model, how should i test/account for...

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Hi, I am estimating a time series regression model in which the dependent variable is stock returns and the two independent variables are exchange rate changes and market index returns. Independent variables are highly correlated. In this case If i estimate GARCH model, how should i test/account for...

Thanks a lot for reply.

Hi i am running a monthly time series regression with stock return of firm as a dependent variable and independent variables are exchange rate changes and market portfolio return. all variables are stationary. It is well known that the one of the assumptions of regression is that the errors should b...

hi all

I am using a VECM to model the exchange rate and the interrelated macro variables. How can i get the structural innovations/pure shocks from the regression residuals by using choleski method.

Plz help and thanks in advance.

hi i have used Newey and West standard errors to correct serial correlation and heteroskadasticity for my regression model. Still when i perform LM test it reports the existence of second order autocorrelation. Why is this happening? Are NW std errors not sufficient to eliminate the serial correlati...

Hi I have estimated regression equations for 652 sample firms by using LOOP and saved in the workfile by following program: For !i=1 to 652 equation e{!i}.ls(cov=hac) y{!i} c X1 X2 next Now the next task I want to do is to check each equation for LM test. I run the following program for that: For !i...

hi I have a system of seven macroeconomic variables. Five of them are I(1) for which i have got 3 cointegrating equations by jahenson cointegration test. The other two variables are I(0). Now plz suggest what should be the treatment of these I(0) variables to estimate VECM. Should i put them as exog...

hi Plz suggest how to save output of several tables from a workfile into a single table. I run program which performs ADF unit root test for 652 firms and save the different tables in workfile. is it possible to extract only t statistics and p value from various tables and save these into a single t...

Many Thanks for quick reply. I am able to do that.

i run the following program to estimate the regression equation for each of 652 firms: For !i=1 to 652 equation e{!i}.ls(cov=hac) y{!i} c x1 x2 next It automatically saves 652 equations in the workfile. How could i extract the beta coefficients, std errors and their respective p-values from each equ...

I have to use macroeconomic model to forecast Exchange rate using VAR. My aim is to capture the residuals/innovations by regressing exchange rate on macroeconomic variables using VAR. I have six variables. Two variables are I(0), two are I(1), and two are I(2). Exchange rate is also I(1). Now before...

Thank you very much for the quick reply. The error was because of the space after uroot. i have corrected it.

It is showing the error message:
(adf, const, dif=0) is not defined in "uroot(adf, const, dif=0) y1"

Please help.