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Hi Guys! When estimating a model with HAC standard errors, there are certain Whitening and Kernel options. Can anyone point me to a student-friendly manual of what these things are and how the choice is made?

Hello First, I would like to ask if there is any way to reduce serial correlation in my residuals. I am applying the DOLS methodology and by manipulating the leads and lags, I achieve the correlogram that is at the end of this post. The second question is, whether that much correlation as the one I ...

Thank you, Gareth! So tstat is what the VECM has generated, and degrees of freedom would be N-1, correct?

I am running a VECM model, but it does not provide the p-values for my coefficients. I noticed similar threads, where the suggestions are to use the function @tdist. I would like to know how exactly to apply this function. Thank you!

Hello guys, I am trying to run a panel DOLS estimation with a constant term, but I do not know how to do it. When I write C as a dependent variable, I do not get a coefficient for it, however, I really need one in order for my results to make sense. Is this possible using the DOLS methodology, and h...

Hi, everyone!

If a variable has a unit root at the 5% level, but not at the 10% level, is it correct to say that this implies that it is weakly stationary? Or I just regarder as a non-stationary variable?

I am not sure whether this would work for me. Please excuse me for the question, but I am well withing the last hours of my deadline, and I need to estimate a model that I have attached to the comment. There, Rvt(d) is the daily realized volatility for a given period, Rvt(w) is the weekly (5 days) a...

A different problem comes up now, however. Once I've converted the series in different pages, how do I build a model using the series from each page? When I try to do it the regular way, I get "series not defined" for the series that are on a different page.

Thanks Gareth, the tutorial is great :)

Hi, everyone! I have intra-day hourly squared returns of a stock and I need to aggregate it in order to get daily, weekly and monthly RV. First, I would like to ask whether there is a way to do this directly in EView by applying somekind of a command on my hourly series. And also, is it possible to ...

Actually I just found out that I should type a name for a series in the optional GARCH field and I get what I wanted. In this case the questions remaining is what proxy for volatility should be compared to the forecast and also I would like to ask whether running the model on intra-day data makes se...

Hi, everyone! I am using the student version of EViews 7 to write a paper, where I need to compare the volatility forecast of a GARCH (1,1) model to the actual volatility. For the purpose I have a sample of hourly returns (stock) for 9 months, I did the model based on the first 6 months (just intrad...