Hi, i was wondering how to split the error correction term (ECT)into positive and negative to test for asymmetry in Eviews (Granger and Lee)
Thank You
Search found 2 matches
- Fri Mar 13, 2015 7:40 am
- Forum: Econometric Discussions
- Topic: Splitting Error correction term into (+) and (-) components
- Replies: 0
- Views: 1434
- Thu Feb 05, 2015 8:42 pm
- Forum: Estimation
- Topic: TAR based on Enders and Granger (1998)
- Replies: 1
- Views: 2273
TAR based on Enders and Granger (1998)
Hi, does anyone know if i can do TAR as mentioned in Enders and Granger (1998) on eviews.
The dependent variable is PriceA and independent variable is PriceB. i have done the Engle-Granger Cointergation and now i need codes to do a threshold autoregression.
Thank you
The dependent variable is PriceA and independent variable is PriceB. i have done the Engle-Granger Cointergation and now i need codes to do a threshold autoregression.
Thank you