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hi! i am using a bivariate VAR, and that means i have to impose one restriction on the long run matrix C. but theory i am testing says i need to impose the restriction that if we are looking at the coefficents of C: c11 c12 c21 c22 i have to impose that c12 = -c22. can i do that and how? c11 and c21...

Hello, I have the following money demand model as a VAr cash_SA gdp_SA savings_rate ATM_growth When I run the VEC, I get these results. However, shouldn´t all this coefficientes be negative in order to intepret them as error correction terms? CointEq1 -0.011958 0.000962 -3.02E-06 2.99E-06 (0.00605)...

Dear all, I am trying to run an OLS regression with time series data. My data turns out to be non-stationary at level; however it is stationary at the first difference (ADF). My issue is that when I run the regression with first difference variables the effect they have becomes insignificant. Where...

i need help please. when i write the code in the LogL object and try to run it, it says that the !nr is an illegal or reserved name in '!nr=2'
why is this happening?

if you look at VAR(p) model, the VEC representation of this model is p-1 (the p refers to the lags). so if you estimate first a VAR(1) model, this means that: Z(t)=a+b*Z(t-1)+e(t), where Z(t) is vector of the variables you are working with, a is the vector of constants, etc. the VEC representation o...

anyone, please: (

hi!

can i remove constant from the variance equation in garch modeling?
i can't find an option to remove it.. thank you

try different specifications, like garch(2,1) etc.

hello! i wanted to ask somebody, i am having trouble with finding out this: when i add variables into the variance equation, the estimated parameters... do i have to put a constraint on them, i.e. see if the estimated parameter is valid. because when you have a normal garch, without additional varia...

if there aren't any (or appear to be) individual effects, it means one shouldn't use random effects or FE cross-section? should one use FE time fixed? edit: oh and i have a question.. eveiws gave me the same result: hausman test statistic set to zero. but when i compute the test stat manualy, i got ...

I thought the index of industrial production was already inflation adjusted, but maybe my memory's off.

no, the data I have is gross data.

btw, do you know, if I should deflate first or deseason?

Hello! Need help, obviously :)) So, I want to deflate the monthly index of industrial production, and I have the monthly data on CPI, with base year 2005. Am I doing it right: Date - IIP - CPI (base=average of 2005) - divider - Real value of IIP 2007m01 - 88,7 - 102,7 - 1,027 - 86,37 so is it ok, ju...

It means that the random effects estimate of the cross-section variance term is zero, so that there is no evidence of individual effects in your data.

does this mean one should use random effects?

I was responding to the post by Econometrics_is_fun. I don't believe that EViews offers autocorrelation consistent standard errors in panels. You can, however, include an AR(1) term in the regression. oh, i am sorry. i thought you were respondig to mine comments :) the problem is, when i use ar(1) ...

The White cross section method corrects standard errors for heteroskedasticity. It does not correct for autocorrelation.

when you said no, i asked you how can i correct autocorr, i didn't ask you this (quoted).