Search found 64 matches
- Mon Mar 10, 2014 9:00 am
- Forum: Estimation
- Topic: Outlier detection in Eviews 7?
- Replies: 9
- Views: 12737
Re: Outlier detection in Eviews 7?
I mean in general I am not sure how to correct the data, do you think only excluding the outlier can be an appropriate solution?
- Sun Mar 09, 2014 4:36 pm
- Forum: Estimation
- Topic: Outlier detection in Eviews 7?
- Replies: 9
- Views: 12737
Re: Outlier detection in Eviews 7?
Depends on the type of nonlinearity. Influence statistics will still be of use where you can estimate your model via NLS. In case of Markov-type switching or GARCH-type conditional variance models, however, they will not work. Outliers are specific to the model at hand regardless of the linearity a...
- Thu Mar 06, 2014 3:14 am
- Forum: Econometric Discussions
- Topic: Error distribution in GARCH models
- Replies: 6
- Views: 9379
Re: Error distribution in GARCH models
First of all, the mean equation is not stationary. You can add exogenous variables or use autoregressive lags to ensure the stationarity. If GARCH(1,1) model is still not able to capture the serial correlation, then it might call for a use of higher order model. This is usually the sign of time var...
- Tue Mar 04, 2014 8:26 am
- Forum: Estimation
- Topic: Outlier detection in Eviews 7?
- Replies: 9
- Views: 12737
Re: Outlier detection in Eviews 7?
Yes, it is. But it may require extensive programming. I also suggest the following approach: http://www.economics.ox.ac.uk/Nuffield-College-Economics-Working-Papers/outlier-detection-in-garch-models Thanks Trubador, the Influence Statistics that are built in Eviews to detect the outliers are suitab...
- Tue Mar 04, 2014 6:47 am
- Forum: Estimation
- Topic: Outlier detection in Eviews 7?
- Replies: 9
- Views: 12737
Re: Outlier detection in Eviews 7?
Hi Trubador, is it possible to perform outlier detection in GARCH type models with Eviews? for example based on Franses (1999) method... Im using Eviews 8, thank you.
- Mon Mar 03, 2014 3:53 pm
- Forum: Econometric Discussions
- Topic: Regularity condition in GARCH models
- Replies: 3
- Views: 4641
Re: Regularity condition in GARCH models
It corresponds to E(c1t,c2t), which is equal to gamma11*gamma21 under certain conditions. If you are interested, you can also refer to Ling, S. and McAleer, M. (2002). "Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models. Econometric Theory, v. ...
- Mon Mar 03, 2014 11:25 am
- Forum: Econometric Discussions
- Topic: Regularity condition in GARCH models
- Replies: 3
- Views: 4641
Re: Regularity condition in GARCH models
I read the paper by Trasvirta (1997) who explain how to calculate the fourth moment structure for GARCH(2,2) models but in the formula there is one thing that I dont undrestand, I attach the paper here, in that paper, equation number 36 is what I need, I undrestand it but my i dont know what is gama...
- Mon Mar 03, 2014 9:53 am
- Forum: Econometric Discussions
- Topic: Regularity condition in GARCH models
- Replies: 3
- Views: 4641
Regularity condition in GARCH models
Hi, I want to test if regularity condition is satisfied in my GARCH models or not, as I know in a GARCH(1,1) model (Alpha+beta)<1 verifies the second moment condition and (3*Alpha^2+2(alpha*beta)+Alpha*beta)<1 vefiries the fourth moment condition. But the problem is that I am estimating GARCH(2,1) a...
- Thu Feb 27, 2014 7:03 am
- Forum: Program Repository
- Topic: Gregory-Hansen Cointegration Test
- Replies: 109
- Views: 421543
Re: Gregory-Hansen Cointegration Test
Hi Trabadur, would you please tell me in this test number of observation matter? for example my data sample contains 5000 observations, can I use Gregory and Hansen test?
Thank you in advance
Thank you in advance
- Wed Feb 26, 2014 2:01 am
- Forum: Econometric Discussions
- Topic: Error distribution in GARCH models
- Replies: 6
- Views: 9379
Re: Error distribution in GARCH models
First of all, the mean equation is not stationary. You can add exogenous variables or use autoregressive lags to ensure the stationarity. If GARCH(1,1) model is still not able to capture the serial correlation, then it might call for a use of higher order model. This is usually the sign of time var...
- Tue Feb 25, 2014 2:23 am
- Forum: Econometric Discussions
- Topic: Error distribution in GARCH models
- Replies: 6
- Views: 9379
Re: Error distribution in GARCH models
GARCH is a flexible model and therefore there is no way to detect errors (if any) without seeing other diagnostics. You should either share the workfile along with your specifications or provide more output. Thank you very much for your reply. Here I attach my workfile, I am estimating volatility f...
- Mon Feb 24, 2014 10:57 am
- Forum: Econometric Discussions
- Topic: Error distribution in GARCH models
- Replies: 6
- Views: 9379
Error distribution in GARCH models
Hi, I have a question regarding to the chosing error distribution for ARCH/GARCH type models. As I know, if a time series has fat tail, then it is not normally distributed and students t error distribution is more appropriate for that, but in my data when I estimate the volatility with students t I ...
- Thu Feb 13, 2014 4:21 am
- Forum: Data Manipulation
- Topic: continuous future contracts
- Replies: 35
- Views: 22579
Re: Create continuous future contracts
My last comment was that I thanked you, it works perfectly and Im trying to modify it to the whole sample. I dont know how the above comment appeared here (about being more precise) it was one of your comments that you told me before but I really dont know how it appears here again :D thanks again I...
- Wed Feb 12, 2014 7:53 am
- Forum: Data Manipulation
- Topic: continuous future contracts
- Replies: 35
- Views: 22579
Re: Create continuous future contracts
[quote="EViews Glenn"]Thanks. I think you're still going to have to be more precise about what you want done.
- Tue Feb 11, 2014 9:12 am
- Forum: Data Manipulation
- Topic: continuous future contracts
- Replies: 35
- Views: 22579
Re: Create continuous future contracts
Thank you very much for you help.