Search found 85 matches

by NicolasR
Thu Jul 26, 2018 9:19 am
Forum: Add-in Support
Topic: Canova Hansen*
Replies: 0
Views: 328

Canova Hansen*

This thread is about the Canova Hansen add-in which performs seasonal unit root test. The add-in can handle monthly and quarterly data. The test can be considered as the KPSS version of a seasonal unit root test. With the null hypothesis of stationarity. Comments and suggestions of the add-in are we...
by NicolasR
Thu Jul 05, 2018 5:28 pm
Forum: Add-in Support
Topic: STAR*
Replies: 50
Views: 19760

Re: STAR*

Hi,

You can not add the lags using that command. You must type each lag individually.

Regards,
by NicolasR
Mon May 21, 2018 7:25 pm
Forum: Add-in Support
Topic: HEGY*
Replies: 7
Views: 5166

Re: HEGY*

Hello everyone,

Currently I'am working on a research regarding time series with seasonal unit roots and I need some time series with these porperty. I wonder if you know any time series with these features, independently of its frequency. Thanks.

Regards,
by NicolasR
Thu Dec 21, 2017 6:08 pm
Forum: Add-in Support
Topic: STAR*
Replies: 50
Views: 19760

Re: STAR*

Hello,

I guess that the estimation of your gamma parameter is large enough, hence you can use a discrete TAR model and it is not necessary to perform a LSTAR estimation.

Regards,
by NicolasR
Fri Nov 03, 2017 10:31 am
Forum: Program Repository
Topic: Perron (1989) Breakpoint Unit Root Test
Replies: 0
Views: 605

Perron (1989) Breakpoint Unit Root Test

Hi, The following code perform the Perron (1989) unit root test for time series with structural breaks. In the code the case 1 is defined as a level break, case 2 as a trend break and case 3 as a leven and trend break. 'Nicolas Ronderos Pulido '-------------------------------------------------------...
by NicolasR
Thu Oct 12, 2017 10:17 am
Forum: Add-in Support
Topic: MGARCH Tests*
Replies: 0
Views: 1104

MGARCH Tests*

This thread is about MGARCH tests add-in which performs tests to detect the absence of multivariate ARCH effects on the residuals of VAR or VEC model. The tests can also be used to detect remaining multivariate ARCH effects after the estimation of a MGARCH model (Diagonal VECH, CCC or BEKK) in a sys...
by NicolasR
Wed Oct 11, 2017 11:12 am
Forum: Programming
Topic: bilinear model
Replies: 2
Views: 603

Re: bilinear model

You can do it with the Logl object or with NLS.
by NicolasR
Wed Oct 11, 2017 11:10 am
Forum: Add-in Support
Topic: STAR*
Replies: 50
Views: 19760

Re: STAR*

Hi,

I have design the add-in in such a way that the intercept must be included in the model. But you can easily do that in the STAR EViews 10 procedure.

Good luck!
by NicolasR
Fri Aug 25, 2017 5:02 pm
Forum: Program Repository
Topic: Portmanteau for VAR(p)
Replies: 0
Views: 911

Portmanteau for VAR(p)

Just as an academic exercise the following code performs the estimation of the multivariate Ljung Box test for VAR already available in eviews. Best regards, 'Nicolás Ronderos Pulido - Time series analysis 'Test: Portmanteau for VAR(p) 'Lutkepohl (2005) 'H0: no autocorrelation until lag h '---------...
by NicolasR
Wed Mar 29, 2017 1:19 pm
Forum: Add-in Support
Topic: HEGY*
Replies: 7
Views: 5166

Re: HEGY*

Hi, You can calculate the frecuency from the equation w=2*pi*f where f is given in cycles per time unit (in the add-in I report the inverse 1/f i.e. in time units per cycle) you want the w frequency. For the frequencys you posted: - (2 month per cycle) w=2*pi*f w=2*pi*(1/2) w=pi - (4 month per cycle...
by NicolasR
Tue Mar 21, 2017 7:23 am
Forum: Add-in Support
Topic: STAR*
Replies: 50
Views: 19760

Re: STAR*

shadi71h wrote:hi
how can i do mrstar in eviews?
i can do star but cant mr star


With the STAR add-in you can not.
by NicolasR
Tue Mar 21, 2017 7:21 am
Forum: Add-in Support
Topic: STAR*
Replies: 50
Views: 19760

Re: STAR*

Hi, I am getting an error message these days when I try to run the STAR package. This just recently started. I cannot figure out why this problem is occurring, as the package was working fine just yesterday. Hi, It is because the LM_1 statistical is negative, It has never happened to me. Could you ...
by NicolasR
Tue Feb 28, 2017 11:00 am
Forum: Add-in Support
Topic: Spectral Granger Causality Test*
Replies: 12
Views: 8173

Re: Spectral Granger Causality Test*

The second suggestion would be more general for any lag desierd by the user, but the first will be easy to implement in the current version of the add-in. Thanks for the idea, I will see what I can do.

Regards,
by NicolasR
Thu Dec 29, 2016 9:20 am
Forum: Programming
Topic: VAR order P
Replies: 2
Views: 882

Re: VAR order P

Perfect, thanks.
by NicolasR
Thu Dec 29, 2016 9:11 am
Forum: Programming
Topic: VAR order P
Replies: 2
Views: 882

VAR order P

Hi,

Is there a command to obtain the order p of the VAR(p)? Or maybe the number of parameters of the VAR?

Thanks.

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