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
Search found 3 matches
- Thu Jun 06, 2013 2:47 am
- Forum: Estimation
- Topic: How to estimate a random walk model?
- Replies: 18
- Views: 50648
- Wed May 01, 2013 4:30 am
- Forum: Programming
- Topic: Fluctuation test
- Replies: 0
- Views: 1785
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
thanks in advance
- Mon Aug 06, 2012 5:53 am
- Forum: Estimation
- Topic: Threshold AR Models
- Replies: 15
- Views: 36439
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
does anyone know the commands?
thanks in advance