Dear ALL,
I have a question concerning the ECM - how can I estimate the positive and negative changes of these models?
So how can I transform a symmetric Error Correction Model into an asymmetric ECM?
Please help!
Asymmetric ECM
Moderators: EViews Gareth, EViews Moderator
Re: Asymmetric ECM
You can try Enders and Siklos (2001) cointegration and threshold adjustment procedure: viewtopic.php?f=23&t=5604
Re: Asymmetric ECM
thank you for your response but I don't know how and cannot open TARCOINT add-in; - can you help me, please?
Re: Asymmetric ECM
First, make sure that EViews version 7.1 or higher is installed on your machine. Just download the add-in and run the installation program. A folder named "tarcoint" will be added probably to ...\Documents\EViews Addins. Read the instructions in the tarcoint.pdf file...
Re: Asymmetric ECM
I just got the EViews 6.0 version :/ is it possible to send me the pdf-file? I have to run this model, please help me. E-Mail: bircig@gmail.com
Re: Asymmetric ECM
You can unzip and retrieve the file, but it will not be much of a help since it explains how to use the add-in.
Re: Asymmetric ECM
thank you.. I think its not possible to open the file..
Can you probably explain how to separate a variable into two different variables? like ∆PCt into ∆PC+ and ∆PC−?? in order to check the relation of the independent variable to positive changes (increase of PC) and negative changes (decrease of PC)??
Thank you!
Can you probably explain how to separate a variable into two different variables? like ∆PCt into ∆PC+ and ∆PC−?? in order to check the relation of the independent variable to positive changes (increase of PC) and negative changes (decrease of PC)??
Thank you!
Re: Asymmetric ECM
can I define it like this: ΔPt*(ΔPt>0) ΔPt*(ΔPt<0) ?
Thank you.
Thank you.
Re: Asymmetric ECM
Correct. For a more general use you can also try the following:
For instance, you might want to replace 0 with NA.
Please refer to the manual for more details.
Code: Select all
series dpc_plus = @recode(d(pc)>0,d(pc),0)
series dpc_minus = @recode(d(pc)<0,d(pc),0)
For instance, you might want to replace 0 with NA.
Please refer to the manual for more details.
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