Search found 379 matches

by dakila
Fri Dec 11, 2015 6:14 am
Forum: Programming
Topic: Factor Augmented VAR Analysis
Replies: 14
Views: 19426

Re: Factor Augmented VAR Analysis

There is example file (favar_ex.prg) in the FAVAR add-in folder which replicates figure 2 of Bernanke, Boivin and Eliatsz (2005).
by dakila
Sun Dec 06, 2015 12:45 am
Forum: Programming
Topic: Making Time Series Data Stationary
Replies: 4
Views: 3203

Re: Making Time Series Data Stationary

For example, Perron (1989) showed that failure to allow for an existing break leads to a bias that reduces the ability to reject a false unit root null hypothesis.
by dakila
Sat Dec 05, 2015 5:55 pm
Forum: Programming
Topic: Making Time Series Data Stationary
Replies: 4
Views: 3203

Re: Making Time Series Data Stationary

1. I think you are right for the difference command. 2. Of course, it will be changed. You just removed the stochastic trend from your data (enrollment). This means your data mean and variance is not time varying (not constant). Difference command explanation: d(enrollment) = enrollment - enrollment...
by dakila
Wed Nov 25, 2015 6:45 am
Forum: Programming
Topic: Factor Augmented VAR Analysis
Replies: 14
Views: 19426

Re: Factor Augmented VAR Analysis

Please download FAVAR package from EViews Add-In page (http://www.eviews.com/Addins/addins.shtml)

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