I am interested in impulse response analysis, variance decomposition and granger causality in EViews 10. However, my variables exhibit cointegration of order 2 as well as integration of the form I(2), I(1), I(0). Thus, the ususal reduced form VAR is inappropriate for inference. I would like to avoid VECMs as their impulse responses are often persistent rather than dying out in the long run. Therefore, I tried a lag-augmented VAR as suggested by Toda and Yamamoto (1995) but found that I do not have enough observations for the extra lags required. My sample covers 18 years of monthly data for 6 different variables.
I came across Peter Phillips‘ so-called fully modified (fm) VAR approach , which extends FMOLS and was shown to be applicable in my case. I was, however, unable to find any practical guide on how to implement this approach in EViews 10 - or any other program for that matter.
Does someone know how to implement FM-VARs (or any other suitable alternative) in EViews?
Any guidance will be much appreciated.
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
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