Search found 83 matches

by NicolasR
Mon May 21, 2018 7:25 pm
Forum: Add-in Support
Topic: HEGY*
Replies: 7
Views: 4634

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: 48
Views: 18073

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: 385

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: 733

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: 442

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: 48
Views: 18073

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: 687

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: 4634

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: 48
Views: 18073

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: 48
Views: 18073

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: 7397

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: 744

Re: VAR order P

Perfect, thanks.
by NicolasR
Thu Dec 29, 2016 9:11 am
Forum: Programming
Topic: VAR order P
Replies: 2
Views: 744

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: 7397

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: 7397

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...

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