Search found 2 matches

by vee
Sat Sep 08, 2012 3:54 am
Forum: Estimation
Topic: TAR model with cointegration
Replies: 1
Views: 3124

TAR model with cointegration

Hi - I Would like to estimate a TAR model with 3 variables (GDP and two sets of price series). The regime is determined by one of these price series - 'positive' regime when the price change is positive, and negative otherwise (i.e. threshold is zero). Grateful for an example on how to do this seper...
by vee
Wed Sep 05, 2012 6:30 am
Forum: Estimation
Topic: variables in VECM
Replies: 1
Views: 2994

variables in VECM

I would like to estimate a VECM with 6 variables - 2 of which are stationary, and the remaining 4 are integrated of order one I(1). I would like to keep the stationary variables unchanged when they enter the model, but eviews seems to automatically difference all endogenous variables. Is there a way...

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