Search found 4 matches

by tonidastier
Wed Dec 05, 2012 8:16 am
Forum: Econometric Discussions
Topic: Question regarding basic VAR Specification
Replies: 1
Views: 2884

Question regarding basic VAR Specification

Hello everybody, I got a short and hopefully easy to answer question: For a valid VAR one needs stationary time series? So I test for stationarity via a unit root test. The unit root test gives strong evidence, that the time series are stationary in the first difference. Now do I have to difference ...
by tonidastier
Tue Dec 04, 2012 7:15 am
Forum: Estimation
Topic: Johansen Cointegration test Critical Values; exogen variable
Replies: 1
Views: 2825

Johansen Cointegration test Critical Values; exogen variable

Hello Everybody, I want to conduct a Johansen Cointegration test with 2 endogenous and 3 exogenous variables. However the crtical values given by eviews7 are calculated assuming no exogenous variables. Can anyone give me a hint, where I can find critical values, that are adjusted for exogenous varia...
by tonidastier
Wed Nov 28, 2012 7:03 am
Forum: Econometric Discussions
Topic: Minimum Number of Observations VAR
Replies: 0
Views: 2575

Minimum Number of Observations VAR

Hi everybody, I need to analyse the relation between the inventory/sales-ratio and the z-score via a VAR, and to test for Granger Causality afterwards. I only have annual data from 1989 to 2005, i.e. 15 observations. Is this number of observations enough for providing valid results? I am quite insec...
by tonidastier
Mon Jun 04, 2012 2:26 pm
Forum: Econometric Discussions
Topic: Granger Causalitiy Test, Multivariate
Replies: 0
Views: 1919

Granger Causalitiy Test, Multivariate

Hello everybody,

I only own eviews 6, so I wanted to ask, if anybody can tell me, if there is a multivariate Granger Causality Test in Eviews 7.

That means, I have more variables than just X,Y. I have X,Y,Z,...

Thanks a lot,

Andi

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