Search found 85 matches

by NicolasR
Thu Dec 15, 2016 8:38 am
Forum: Add-in Support
Topic: Spectral Granger Causality Test*
Replies: 12
Views: 11451

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: 11451

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: 2897

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: 11451

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: 50
Views: 27723

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: 50
Views: 27723

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: 11451

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: 11451

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...
by NicolasR
Tue Jun 14, 2016 12:56 pm
Forum: Add-in Support
Topic: Spectral Granger Causality Test*
Replies: 12
Views: 11451

Spectral Granger Causality Test*

This add-in calculates a Spectral Granger Causality Test based on Breitung and Candelon (2006), the test decompose the causality relations in the spectrum of frequencies which can be attributed to short run and long run causality relations. You can find the add-in help document and the example data ...
by NicolasR
Tue May 24, 2016 7:36 am
Forum: Add-in Support
Topic: STAR*
Replies: 50
Views: 27723

Re: STAR*

The final test that one should always do is to compare the linear model with the nonlinear in terms of adjustment, if the nonlinear one gives you better results you should keep it. Regarding the stationarity of the transition variable, since you apply a funcion which codomine is bounded the resultin...
by NicolasR
Sat May 21, 2016 3:47 pm
Forum: Add-in Support
Topic: STAR*
Replies: 50
Views: 27723

Re: STAR*

I looks like that the optimization algorithm does not reach convergence. You can try different strarting values. When I have no idea what values, what I usually do is to try random numbers for the starting values and I keep the ones that reach the best values of some criteria (BIC, AIC, R2,SSR). If ...
by NicolasR
Sat May 21, 2016 3:24 pm
Forum: Add-in Support
Topic: STAR*
Replies: 50
Views: 27723

Re: STAR*

Maybe. To check how your transition function behaves you can select the option "Evaluation of the transition function" and this will give you the values that your transition function takes. If the function only takes two values then you will have a TAR model. Do you want the model to calcu...
by NicolasR
Wed May 11, 2016 6:06 pm
Forum: Add-in Support
Topic: STAR*
Replies: 50
Views: 27723

Re: STAR*

Hi, In STAR models the transition function determines the regime. Therefore with a STAR model you estimate as many regimes as values that your transition function takes. The threshold "c", the "Gamma" (In the add-in documentation notation) and the transition variable determines t...
by NicolasR
Wed Jan 20, 2016 2:18 pm
Forum: Programming
Topic: Logl SVAR
Replies: 1
Views: 700

Logl SVAR

Hi,

Is there a command to extact the value of the logl of a SVAR model? I've looked but I could not find it. Thanks.

Best regards,
by NicolasR
Tue Jan 19, 2016 10:00 am
Forum: Add-in Support
Topic: HEGY*
Replies: 7
Views: 7508

Re: HEGY*

Hi ecofin, Thanks for your suggestions, number 1,2,3 and 5 are straightforward to implement. But for the moment you can obtain the p-value using the Monte Carlo option (for your request number 1) and run the regression with the same specification as showed in the spool (for your request number 5). D...

Go to advanced search