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


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