Search found 2 matches
- 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...
- 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...
