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EViews 11: DHF seasonal unit root test
Posted: Fri Mar 08, 2019 10:07 am
by ecofin
Hi for all,
Could you Add DHF seasonal unit root in the next edition with unit root test (for educational and teaching in class).
Re: EViews 11: DHF seasonal unit root test
Posted: Fri Mar 08, 2019 12:23 pm
by EViews Mirza
Hi! At the moment we've chosen to only support HEGY, Likelihood HEGY, Canova-Hansen, and the Variance Ratio seasonal unit root tests. Following Ghysels, Lee, and Noh (1994) we've decided against initial support for the DHF test. This is by no means a permanent decision and we may in fact decide to support the latter in coming EViews iterations, but at the moment it's a lower priority objective.
Re: EViews 11: DHF seasonal unit root test
Posted: Sat Mar 09, 2019 1:16 pm
by ecofin
Hi!,
1-ok!.
2-Another question: can eviews 11 estimate ARFIMA-GARCH, if i understand the function @fracdiff(s,n), can be useful to estimate ARFIMA-GARCH, and another fractional differential models.
Re: EViews 11: DHF seasonal unit root test
Posted: Sat Mar 09, 2019 1:27 pm
by EViews Gareth
Not built in