Asymmetric ECM

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1ci
Posts: 24
Joined: Tue May 07, 2013 7:56 am

Asymmetric ECM

Postby 1ci » Tue May 07, 2013 9:11 am

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!

trubador
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Joined: Thu Nov 20, 2008 12:04 pm

Re: Asymmetric ECM

Postby trubador » Wed May 08, 2013 3:21 am

You can try Enders and Siklos (2001) cointegration and threshold adjustment procedure: viewtopic.php?f=23&t=5604

1ci
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Joined: Tue May 07, 2013 7:56 am

Re: Asymmetric ECM

Postby 1ci » Wed May 08, 2013 6:30 am

thank you for your response but I don't know how and cannot open TARCOINT add-in; - can you help me, please?

trubador
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Re: Asymmetric ECM

Postby trubador » Wed May 08, 2013 7:26 am

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...

1ci
Posts: 24
Joined: Tue May 07, 2013 7:56 am

Re: Asymmetric ECM

Postby 1ci » Wed May 08, 2013 7:52 am

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

trubador
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Re: Asymmetric ECM

Postby trubador » Thu May 09, 2013 12:08 am

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.

1ci
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Joined: Tue May 07, 2013 7:56 am

Re: Asymmetric ECM

Postby 1ci » Thu May 09, 2013 2:53 am

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!

1ci
Posts: 24
Joined: Tue May 07, 2013 7:56 am

Re: Asymmetric ECM

Postby 1ci » Fri May 10, 2013 6:17 am

can I define it like this: ΔPt*(ΔPt>0) ΔPt*(ΔPt<0) ?
Thank you.

1ci
Posts: 24
Joined: Tue May 07, 2013 7:56 am

Re: Asymmetric ECM

Postby 1ci » Sun May 12, 2013 2:48 am

can anybody help me please..?

trubador
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Re: Asymmetric ECM

Postby trubador » Sun May 12, 2013 1:08 pm

Correct. For a more general use you can also try the following:

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.

1ci
Posts: 24
Joined: Tue May 07, 2013 7:56 am

Re: Asymmetric ECM

Postby 1ci » Mon May 13, 2013 8:48 am

thank you very much!


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