Can somebody help me on how to run How to run CCF based causality in mean and variance test (Cheung and Ng) test in Stata for weekly data for the understanding relationship between oil prices and stock market at a sectoral level (sub-indices)
The reference paper academic paper where this technique is used is - https://www.sciencedirect.com/scienc...59056016302702
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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