Search found 11 matches

by qn3
Sat Dec 08, 2012 9:04 pm
Forum: Estimation
Topic: GARCH (1,1), mean equation
Replies: 0
Views: 1237

GARCH (1,1), mean equation

Hi i am follwing a paper to run cointegration and vector error correction model : 11.jpg after that the paper --> 22.jpg i think the paper treat the error correction model as the mean equation.. the problem is that i have no idea on how to specify VECMmean equation in eviews. instead, i proc-> make ...
by qn3
Thu Nov 08, 2012 4:04 pm
Forum: Add-in Support
Topic: BaiPerron (Bai-Perron breakpoint test - Requires R)
Replies: 111
Views: 79653

Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

thank you so much JimForest,
by qn3
Thu Nov 08, 2012 2:45 pm
Forum: Add-in Support
Topic: BaiPerron (Bai-Perron breakpoint test - Requires R)
Replies: 111
Views: 79653

Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

i have install R (http://cran.r-project.org/bin/windows/base/) and eviews into computers, after xopen(r) i got error message: fail to install R. what can I do?
by qn3
Wed Nov 07, 2012 10:34 pm
Forum: Add-in Support
Topic: BaiPerron (Bai-Perron breakpoint test - Requires R)
Replies: 111
Views: 79653

Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

JimForest wrote:Yeah, well you are testing for a structural break in the residuals of a regression of that form.


Thank you !
if price series is stock price, do I need to log the series before using this addin?
by qn3
Wed Nov 07, 2012 7:10 pm
Forum: Add-in Support
Topic: BaiPerron (Bai-Perron breakpoint test - Requires R)
Replies: 111
Views: 79653

Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

JimForest wrote:If you want to test for a structural break in the mean, I would suggest you just regress the dependent variable on a constant.


hi If i want to test for strucutual breaks in trend and constant, can i regress both?

y c @trend ?
by qn3
Wed Nov 07, 2012 6:46 pm
Forum: Add-in Support
Topic: BaiPerron (Bai-Perron breakpoint test - Requires R)
Replies: 111
Views: 79653

Re: BaiPerron (Bai-Perron breakpoint test - Requires R)

Hi all,

Is the BaiPerron only detect the breakpoints? I mean it does not provide unit root test right?

If I need to do unit root test on time series that have one or more than one breaks, what should i do?

Thx!
by qn3
Tue Nov 06, 2012 11:50 pm
Forum: Add-in Support
Topic: PPURoot (Perron 1997 unit root test)
Replies: 19
Views: 26543

Re: PPURoot (Perron 1997 unit root test)

wonder that the addin is test on 'log(price)' or 'price' series? thx
by qn3
Wed Oct 03, 2012 11:51 pm
Forum: Econometric Discussions
Topic: Two cointegration equation result for only a pair of data???
Replies: 1
Views: 1366

Re: Two cointegration equation result for only a pair of dat

I have the same problem, two series.. two cointegrating relations, why nobody can answer this question........
by qn3
Sat Sep 29, 2012 8:17 pm
Forum: Econometric Discussions
Topic: Johansen’s Cointegration Test: cointegrating equation
Replies: 2
Views: 2819

Re: Johansen’s Cointegration Test: cointegrating equation

hello,
Tope wrote:hello,


is there any references for such conclusion? thank you ... I find two cointegration relationship with two variables in my results, n i have google the evidences for a long time, but have not find the references LOL
by qn3
Sat Sep 29, 2012 8:00 pm
Forum: Add-in Support
Topic: PPURoot (Perron 1997 unit root test)
Replies: 19
Views: 26543

Re: PPURoot (Perron 1997 unit root test)

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by qn3
Wed Aug 29, 2012 10:24 pm
Forum: Estimation
Topic: cointegration test for time series at time t and t+1
Replies: 1
Views: 1225

cointegration test for time series at time t and t+1

Hi all, I am currently doing Johansen's conintegration test, suppose sample period is 2000/10/10 to 2010/10/10 for both variable x and y. I need to test both the cointegration for same-day data " x(t) and y (t)" , and cointegration for different-day data "x(t+1) and y(t)", i know...

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