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Thank you for trying. Would you say it's back to the drawing board (that is, estimating a different model), or is a different specification called for (but within the same model/framework)? Just curious to know what your experience might suggest...

I was writing it by hand so I may have left out a parenthesis. Here's the real one. d(ue) = c(1) + c(2)*d(ue(-1))+c(3)*d(ue(-2))+c(4)*d(ue(-3))+c(5)*d(ue(-4))+c(6)*d(ue(-7))+c(7)*d(ue(-8))+c(8)*d(ue(-9))+c(9)*d(ue(-10))+c(10)*d(ue(-11))+c(11)*d(ue(-12))+(c(12)*d(ue(-1))+c(13)*d(ue(-2))+c(14)*d(ue(-3...

Thank you Gareth. Here it is.

Hello, I am attempting to model the unemployment rate via the logistic STAR model described in Terasvirta’s 1994 article from the Journal of the American Statistical Association. The first step involves estimating an AR equation with a number of lags sufficient to yield white noise error terms; in t...

Hello, I'm trying to test for linearity against STAR models via lagrange multiplier procedure of Luukkonen, et. al. (1988). When estimating a VAR eviews has menu options for Wald coefficien restriction tests and Logl-type procedures, but none for an LM test. In reading the manual I found that calcul...

Thanks for your response. I'm estimating a univariate VAR as a first step to testing for linearity, in turn to see whether a smooth transition AR model is appropriate. The @droplast command worked, but if I also wanted to drop June (month 6), how would I input a code for that?

Just a quick econometrics query: when creating date dummies, say monthly, wouldn't you need 11 dummies as opposed to 12 to avoid what's commonly called the 'dummy variable trap'? This seems to be the case since using the @expand(@monthly) command yielded to a pop-up saying that a near-singular matri...