Search found 85 matches
- Thu Jul 26, 2018 9:19 am
- Forum: Add-in Support
- Topic: Canova Hansen*
- Replies: 0
- Views: 4417
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...
- Thu Jul 05, 2018 5:28 pm
- Forum: Add-in Support
- Topic: STAR*
- Replies: 50
- Views: 29478
Re: STAR*
Hi,
You can not add the lags using that command. You must type each lag individually.
Regards,
You can not add the lags using that command. You must type each lag individually.
Regards,
- Mon May 21, 2018 7:25 pm
- Forum: Add-in Support
- Topic: HEGY*
- Replies: 7
- Views: 8091
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,
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,
- Thu Dec 21, 2017 6:08 pm
- Forum: Add-in Support
- Topic: STAR*
- Replies: 50
- Views: 29478
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,
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,
- Fri Nov 03, 2017 10:31 am
- Forum: Program Repository
- Topic: Perron (1989) Breakpoint Unit Root Test
- Replies: 0
- Views: 2091
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 '-------------------------------------------------------...
- Thu Oct 12, 2017 10:17 am
- Forum: Add-in Support
- Topic: MGARCH Tests*
- Replies: 0
- Views: 3177
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...
- Wed Oct 11, 2017 11:12 am
- Forum: Programming
- Topic: bilinear model
- Replies: 2
- Views: 1040
Re: bilinear model
You can do it with the Logl object or with NLS.
- Wed Oct 11, 2017 11:10 am
- Forum: Add-in Support
- Topic: STAR*
- Replies: 50
- Views: 29478
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!
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!
- Fri Aug 25, 2017 5:02 pm
- Forum: Program Repository
- Topic: Portmanteau for VAR(p)
- Replies: 0
- Views: 2434
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 '---------...
- Wed Mar 29, 2017 1:19 pm
- Forum: Add-in Support
- Topic: HEGY*
- Replies: 7
- Views: 8091
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...
- Tue Mar 21, 2017 7:23 am
- Forum: Add-in Support
- Topic: STAR*
- Replies: 50
- Views: 29478
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.
- Tue Mar 21, 2017 7:21 am
- Forum: Add-in Support
- Topic: STAR*
- Replies: 50
- Views: 29478
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 ...
- Tue Feb 28, 2017 11:00 am
- Forum: Add-in Support
- Topic: Spectral Granger Causality Test*
- Replies: 12
- Views: 12108
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,
Regards,
- Thu Dec 29, 2016 9:20 am
- Forum: Programming
- Topic: VAR order P
- Replies: 2
- Views: 1323
Re: VAR order P
Perfect, thanks.
- Thu Dec 29, 2016 9:11 am
- Forum: Programming
- Topic: VAR order P
- Replies: 2
- Views: 1323
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.
Is there a command to obtain the order p of the VAR(p)? Or maybe the number of parameters of the VAR?
Thanks.