Thank you very much for the Input.
But for what reason can I ignore the p-value?
Search found 4 matches
- Wed Nov 25, 2015 11:25 am
- Forum: Estimation
- Topic: Serial correlation in EGARCH Model
- Replies: 6
- Views: 5440
- Tue Nov 24, 2015 9:09 am
- Forum: Estimation
- Topic: Serial correlation in EGARCH Model
- Replies: 6
- Views: 5440
Re: Serial correlation in EGARCH Model
I want to estimate an EGARCH(1,1) model. I have tried to put every information inside the file.
The basic mean equation should be: y = c + c1*x1 + … + c4*x4 + c5*d1 + … + c14*d9
The basic mean equation should be: y = c + c1*x1 + … + c4*x4 + c5*d1 + … + c14*d9
- Tue Nov 24, 2015 6:28 am
- Forum: Estimation
- Topic: Serial correlation in EGARCH Model
- Replies: 6
- Views: 5440
Re: Serial correlation in EGARCH Model
I´ve checked my dependent variable with ADF and KPSS tests. Both tests rejected non stationary Data.
- Mon Nov 23, 2015 5:27 am
- Forum: Estimation
- Topic: Serial correlation in EGARCH Model
- Replies: 6
- Views: 5440
Serial correlation in EGARCH Model
Hello, I am running an EGARCH (1,1) model on Eviews 8 and I´ve serious issues with serial correlation in the mean equation. I have two questions: 1. The p-values of the Correlogram are not valid. Is it an ordinary problem in Eviews-ARCH Models or is something special with my estimation or my data? B...