Dears
I want to run the Mishkin (1983) test with Eviews 7. This needs a program with programming tools in Eviews. Can you help me?
Thanks
Abbas Aflatooni
E-mail: abbasaflatooni@gmail.com
Mishkin Test
Moderators: EViews Gareth, EViews Jason, EViews Moderator, EViews Matt
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13307
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Mishkin Test
My very quick look seems to indicate that it is simply a case of estimating a system with two equations in it, then doing a Wald test (the original paper says an LR test, but a Wald test will do) on whether alpha1 = alpha1*. Something like this (with generated data):
Code: Select all
create u 100
series ret=nrnd
series earn=nrnd
rnd(c) 'generate random starting values
system s
s.append earn=c(1)+c(2)*earn(-1)
s.append ret = c(3)*(earn-c(1)-c(4)*earn(-1))
s.ls 'estimate system
s.wald c(2)=c(4) 'do Wald test of a1=a1*
Follow us on Twitter @IHSEViews
Re: Mishkin Test
Dears,
At firs I think that the Wald test is correct but it is not a correct respones. I wrote the following program, now (LR test). is it work correctly, please?
Thank you
@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@
create u 100
series ret=nrnd
series earn=nrnd
rnd(c) 'generate random starting values
equation regobs.ls returns c earnings(-1)
scalar n=@regobs
system mysys1
mysys1.append earnings=c(1)+c(2)*earnings(-1)
mysys1.append returns=c(3)*(earnings-c(4)-c(5)*earnings(-1))
mysys1.sur
sym ssru=mysys1.@ssr(1)*mysys1.@ssr(2)
system mysys2
mysys2.append earnings=c(1)+c(2)*earnings(-1)
mysys2.append returns=c(3)*(earnings-c(4)-c(2)*earnings(-1))
mysys2.sur
sym ssrc1=mysys2.@ssr(1)*mysys2.@ssr(2)
scalar Mishkin1 = 2*n*log(@det(ssrc1)/@det(ssru))
table(4,4) result
setcell(result,1,1, "Mishkin Test by Aflatooni")
setline(result,2)
setcell(result,3,1,"Mishkin1=")
setcell(result,3,2,Mishkin1)
setcell(result,3,3,"p-value = ")
setcell(result,3,4,1-@cchisq(Mishkin1,1))
setline(result,4)
show result
@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@
At firs I think that the Wald test is correct but it is not a correct respones. I wrote the following program, now (LR test). is it work correctly, please?
Thank you
@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@
create u 100
series ret=nrnd
series earn=nrnd
rnd(c) 'generate random starting values
equation regobs.ls returns c earnings(-1)
scalar n=@regobs
system mysys1
mysys1.append earnings=c(1)+c(2)*earnings(-1)
mysys1.append returns=c(3)*(earnings-c(4)-c(5)*earnings(-1))
mysys1.sur
sym ssru=mysys1.@ssr(1)*mysys1.@ssr(2)
system mysys2
mysys2.append earnings=c(1)+c(2)*earnings(-1)
mysys2.append returns=c(3)*(earnings-c(4)-c(2)*earnings(-1))
mysys2.sur
sym ssrc1=mysys2.@ssr(1)*mysys2.@ssr(2)
scalar Mishkin1 = 2*n*log(@det(ssrc1)/@det(ssru))
table(4,4) result
setcell(result,1,1, "Mishkin Test by Aflatooni")
setline(result,2)
setcell(result,3,1,"Mishkin1=")
setcell(result,3,2,Mishkin1)
setcell(result,3,3,"p-value = ")
setcell(result,3,4,1-@cchisq(Mishkin1,1))
setline(result,4)
show result
@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@
Re: Mishkin Test
Dears,
At firs I think that the Wald test is correct but it is not a correct respones. I wrote the following program, now (LR test). is it work correctly, please? (Final Version)
Thank you
@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@
create u 100
series returns=nrnd
series earnings=nrnd
rnd(c) 'generate random starting values
equation regobs.ls returns c earnings(-1)
scalar n=@regobs
system mysys1
mysys1.append earnings=c(1)+c(2)*earnings(-1)
mysys1.append returns=c(3)*(earnings-c(4)-c(5)*earnings(-1))
mysys1.sur
sym ssru=mysys1.@ssr(1)*mysys1.@ssr(2)
system mysys2
mysys2.append earnings=c(1)+c(2)*earnings(-1)
mysys2.append returns=c(3)*(earnings-c(4)-c(2)*earnings(-1))
mysys2.sur
sym ssrc1=mysys2.@ssr(1)*mysys2.@ssr(2)
scalar Mishkin1 = 2*n*log(@det(ssrc1)/@det(ssru))
table(4,4) result
setcell(result,1,1, "Mishkin Test by Aflatooni")
setline(result,2)
setcell(result,3,1,"Mishkin1=")
setcell(result,3,2,Mishkin1)
setcell(result,3,3,"p-value = ")
setcell(result,3,4,1-@cchisq(Mishkin1,1))
setline(result,4)
show result
@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@
At firs I think that the Wald test is correct but it is not a correct respones. I wrote the following program, now (LR test). is it work correctly, please? (Final Version)
Thank you
@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@
create u 100
series returns=nrnd
series earnings=nrnd
rnd(c) 'generate random starting values
equation regobs.ls returns c earnings(-1)
scalar n=@regobs
system mysys1
mysys1.append earnings=c(1)+c(2)*earnings(-1)
mysys1.append returns=c(3)*(earnings-c(4)-c(5)*earnings(-1))
mysys1.sur
sym ssru=mysys1.@ssr(1)*mysys1.@ssr(2)
system mysys2
mysys2.append earnings=c(1)+c(2)*earnings(-1)
mysys2.append returns=c(3)*(earnings-c(4)-c(2)*earnings(-1))
mysys2.sur
sym ssrc1=mysys2.@ssr(1)*mysys2.@ssr(2)
scalar Mishkin1 = 2*n*log(@det(ssrc1)/@det(ssru))
table(4,4) result
setcell(result,1,1, "Mishkin Test by Aflatooni")
setline(result,2)
setcell(result,3,1,"Mishkin1=")
setcell(result,3,2,Mishkin1)
setcell(result,3,3,"p-value = ")
setcell(result,3,4,1-@cchisq(Mishkin1,1))
setline(result,4)
show result
@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13307
- Joined: Tue Sep 16, 2008 5:38 pm
Mishkin Test
Methodology seems about right, although I think you might want to restrict the constant to be the same in the two equations, rather than letting them differ.
I'm also not sure you're calculating the SSRs correctly.
I'm also not sure you're calculating the SSRs correctly.
Follow us on Twitter @IHSEViews
Who is online
Users browsing this forum: No registered users and 25 guests