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Now I am carrying the Wilcoxon rank sum test to find out whether the correlation of two series is diential in two periods. I read some answer in the forum but still not sure how to test the equility of correlation in two periods. For example, 1990-2000 and 2001-2010. :D

Anyone could help?

I try but the result is strange. The Std.Error, Z-statistic and Prob are "NA".

Hi. I need to estimate the following state space model: Y(t) = A*Y(t-1) + B*Z(t) + v(t) Z(t) = D*Z(t-1) + e(t) Z(t) is a vector of unobservable factors. Y(t-1) is the lag of Y(t). A is a diagonal matrix: a1, 0, 0 0, a2, 0 0, 0, a3 Assume that Y(t) is the GDP of the UK, France and Germany, respective...

I am running two different variables in EViews using the Cross-Correlogram function.I want to know how this function can tell whether the first variable is a leading indicator of the second variable. Could any one explain the following result? Really appreciate the help! Date: 07/25/13 Time: 11:18 S...

Hi! Now I am analysing the change of correlation between two series during year 1995 to 2012. I find that the rolling correlation could explain the evolution of correlation over time. But I don't know how to do it in Eviews. I search the forum and know "genr corr1 = @movcor(gdp, trade, 10)"...

Hi! I estimate a set of equation simultaneously in the "system" object. But the estimated results do not contain "Akaike info criterion" or "Schwarz criterion". No matter I use ordinary least squares, weighted least squares or seemingly unrelated regression as estimatio...

Hey! I am trying to estimate the following regression using seemingly unrelated regression: y(1,t) = c(1) + c(2)* y (1,t-1) + c(3) * y(1, t-2) + c(4) * x(t-1) + c(5)* x(t-2) y(2,t) = c(6) + c(7)* y (2,t-1) + c(8) * y(2, t-2) + c(9) * x(t-1) + c(10)*x(t-2) Each equation includes the lag of its own an...

hi, I am working on a dynamic factor model. I try to use the state-space model to figure out a common factor for GDP of different countries. The model I use is: Y(t) = A*Y(t-1) +B*F(t) +u(t) F(t) = C*F(t-1) + e(t) The F(t) is the dynamic factor model(unobservable), I enter the following code in the ...