Dear Gareth,
I tried to create a code to achieve three purposes:
1. Estimate rolling trace statistic
2) Estimate rolling "adjustment coefficients" of a VEC model.
3) Estimate rolling LR statistic for testing Weak Exogeneity of the ECM term in the VEC model.
Sir, while the code is working fine for the above stated requirements, I have one more requirement:
To store the standard errors and t-stat of these "rolling adjustment coefficients". I am not able to do this. I will be very obliged if you could please help me with this.
Thanks a ton!
Rolling Cointegration
Moderators: EViews Gareth, EViews Moderator
Rolling Cointegration
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Rolling Cointegration
The adjustment coefficient (alpha) (A(1,1) in my case). As defined on Pg. 575 of Eviews 8 Users Guide II.
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Rolling Cointegration
You can probably get the standard errors from the coefficient standard errors matrix, v.@coefcov. You'll have to calculate the t-stats manually.
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Re: Rolling Cointegration
Dear Gareth,
I'm using similar code but for a larger sample (4157 observations, 8 variables) and smaller rolling window (500). Unfortunately the program does not run till the end of the sample, it turns "near singular matrix" error after 1100 replications. Do I have to define the matrix in a different manner? The same error is occurred when I use "pgupta" code
I'm using similar code but for a larger sample (4157 observations, 8 variables) and smaller rolling window (500). Unfortunately the program does not run till the end of the sample, it turns "near singular matrix" error after 1100 replications. Do I have to define the matrix in a different manner? The same error is occurred when I use "pgupta" code
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Re: Rolling Cointegration
Then why it breaks out the code after 1100 replications, when normally it should perform 3657 replications. However, I've noticed that the break it varies if I change either number of variables or size of rolling window. Any support is more than welcome!
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13306
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Re: Rolling Cointegration
Your data probably results in a singular matrix.
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