Net oil price (non-linear specification)

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ArtQz
Posts: 6
Joined: Tue Jul 19, 2016 5:18 am

Net oil price (non-linear specification)

Postby ArtQz » Tue Jul 19, 2016 5:38 am

Hi,

I am working on my masters dissertation and I have to analyse the effect of oil price shocks on the stock market returns. I'm trying to build Net Oil Price Increase (NOPI) variable in Eviews and run Var model.

NOPI = max(0, log(op)t - max(log(op)t-1,...,log(op)t-6)
Where op- is oil price

The mode is introduced by Hamilton (1996).

Also, how can I get asymmetric specification of oil price shocks:

dlog(opp)=max(0,dlog(op))
dlog(opn)=min(0,dlog(op))

Where dlog(opp) represents the positive oil price changes, and dlog(opn) represents the negative changes.

How can I translate this into Eviews language?



Kind regards,
Maksim

trubador
Did you use forum search?
Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: Net oil price (non-linear specification)

Postby trubador » Tue Jul 19, 2016 6:08 am


ArtQz
Posts: 6
Joined: Tue Jul 19, 2016 5:18 am

Re: Net oil price (non-linear specification)

Postby ArtQz » Tue Jul 19, 2016 6:15 am

Yes, I have seen this topic. But it doesn't work and I obtain only zeros

johnMM
Posts: 1
Joined: Mon Jun 26, 2017 7:57 am

Re: Net oil price (non-linear specification)

Postby johnMM » Wed Aug 02, 2017 10:30 am

Probably no one looking at the thread now but, regardless, see:
viewtopic.php?f=18&t=7967&p=28008&hilit=asymmetric#p28008

sam86
Posts: 2
Joined: Wed Jan 03, 2018 10:50 am

Re: Net oil price (non-linear specification)

Postby sam86 » Mon Jan 15, 2018 1:28 pm

net oil price increase. It compares the
price of oil each quarter with the maximum value observed during the preceding
four quarters. If the value for the current quarter exceeds the previous year's
maximum, the percentage change over the previous year's maximum is plotted.
If the price of oil in quarter t is lower than it had been at some point during the
previous four quarters, the series is defined to be zero for date t

how is possible to translate that to eviews


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