Search found 3 matches

by nzarra
Thu Jun 06, 2013 2:47 am
Forum: Estimation
Topic: How to estimate a random walk model?
Replies: 18
Views: 28311

Re: How to estimate a random walk model?

hi guys,

Does d(y)=c(1) give the random walk with drift? if so, how can the random walk without drift be driven?

many thanks
by nzarra
Wed May 01, 2013 4:30 am
Forum: Programming
Topic: Fluctuation test
Replies: 0
Views: 851

Fluctuation test

Hello everyone... I am doing a PhD paper on forecasting exchange rate with respect to commodities prices. What I need to do at the moment is running the fluctuation test proposed by Giacomini and Rossi (2010). I appreciate if anyone could help me out with programming the test.

thanks in advance
by nzarra
Mon Aug 06, 2012 5:53 am
Forum: Estimation
Topic: Threshold AR Models
Replies: 15
Views: 24830

Re: Threshold AR Models

im doing my dissertation on PPP and urgently need the codes to run three-regim TAR(1) model. btw i got three variables.
does anyone know the commands?

thanks in advance

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