Search found 77 matches

by NicolasR
Fri Aug 25, 2017 5:02 pm
Forum: Program Repository
Topic: Portmanteau for VAR(p)
Replies: 0
Views: 161

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: 6
Views: 3338

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: 44
Views: 13522

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: 44
Views: 13522

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: 5222

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: 349

Re: VAR order P

Perfect, thanks.
by NicolasR
Thu Dec 29, 2016 9:11 am
Forum: Programming
Topic: VAR order P
Replies: 2
Views: 349

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.
by NicolasR
Thu Dec 15, 2016 8:38 am
Forum: Add-in Support
Topic: Spectral Granger Causality Test*
Replies: 12
Views: 5222

Re: Spectral Granger Causality Test*

If the p value of the test is under the significance level the hypothesis that a series X does not cause a series Y in the frequency wj is rejected. Also a graph with the label var1_var2 means that the variable var1 is the dependent and var2 the independent, therefore the hypothesis is that var2 doe...
by NicolasR
Wed Nov 30, 2016 4:06 pm
Forum: Add-in Support
Topic: Spectral Granger Causality Test*
Replies: 12
Views: 5222

Re: Spectral Granger Causality Test*

Hi, You are not doing anything wrong, it is because what I mention in my previous post. You have two options, increase the maximum number lags or select the AIC criteria, in the case that any of this work ir means that a VAR(p) with p>2 it is not suggested to be fitted to the data and the test can n...
by NicolasR
Fri Oct 28, 2016 9:20 am
Forum: Econometric Discussions
Topic: How to interpret Panel Unit Root test result?
Replies: 2
Views: 1254

Re: How to interpret Panel Unit Root test result?

Hi, The LLC test estimates a single coefficient of the lagged variables to perform the unit root test while the IPS test estimates one coefficient of the lagged variables for each series and then calculates the test with those. For what i remember the LLC has a diferent distribution than the ADF. Re...
by NicolasR
Fri Sep 16, 2016 6:22 am
Forum: Add-in Support
Topic: Spectral Granger Causality Test*
Replies: 12
Views: 5222

Re: Spectral Granger Causality Test*

Hi, Because the test is based in two linear restrictions and you can not perfom a Wald (or an F) test if the number of restriccions in greater than the number of parameters, and since you are testing if the past of one variable (all its lags) at some frequency Granger-cause another variable 2>p wher...
by NicolasR
Thu Aug 04, 2016 8:05 am
Forum: Add-in Support
Topic: STAR*
Replies: 44
Views: 13522

Re: STAR*

I am conducting research on the real exchange rates of 28 countries against the us dollar. I am using ESTAR model to test for PPP and I would greatly appreciate some help. I am using a starting values for the vector coefficients of 0.5. Do you think that can work fine? Why in running the LSTR and E...
by NicolasR
Thu Aug 04, 2016 7:29 am
Forum: Add-in Support
Topic: STAR*
Replies: 44
Views: 13522

Re: STAR*

Dear Nicolas, I am attempting some testing of adequacy in the post estimation of my STAR model. Specifically I'm attempting to test for the presence of no autocorrelation using the methods of Eitrheim and Terasvirta (1996). This is a Serial Correlation LM test which is Chi-squared distributed. Howe...
by NicolasR
Thu Aug 04, 2016 6:52 am
Forum: Add-in Support
Topic: Spectral Granger Causality Test*
Replies: 12
Views: 5222

Re: Spectral Granger Causality Test*

Hi,

Yes, only the p-values and the frequencys are saved. For what do you need the statistical?

Regards,
by NicolasR
Thu Jun 23, 2016 3:18 pm
Forum: Add-in Support
Topic: Spectral Granger Causality Test*
Replies: 12
Views: 5222

Re: Spectral Granger Causality Test*

Hi Trubador, In the test you can apply the Toda and Yamamoto result. Nevertheless theoretically, to estimate a traditional spectrum conditions must be achived, some of them are related to a second order stationary process. By they way, great blog about your recent add-in, seems to be a better strate...

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