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If using EViews 8--is there any way to run a VAR utilising the Newey-West errror correction for autocorrelation and heteroskedasticity? Or must we run each equation via OLS , adjusting for HAC-Newey West?

Great-thank you.

For stability of the parameters I would like to use either of the Quandt-Andrews or Chow Breakpoint...
In addition, I would really like to see a rolling Wald-test for the joint hypothesis that all lagged prices in my equation jointly=0

Thanks-found the add-in for rolling regression. I would like to test the stability of the parameters, jointly, in a rolling regression-though only see the p values for individual coefficients when I do the roll. Have not been able to find anything on the forum relating to this. Is this something I c...

Hello All- I have estimated a quarterly VAR for 1948:1-2012:4. I would like to run a rolling regression for each of the VAR equations, i.e. from 1947:1-1977:1, 1947:2-1977:2...all the way through the end of the sample. I want to look at the p values of each of the coefficients and check for their st...

You were right in needing to include the parentheses--thanks.

Eviews allowed me to run the VAR w/out extra parentheses, though gave results I was not expecting and not sure they are accurate...just checking that my specification mentioned before is correct in measuring the magnitude of positive log-differences. dlog(o(-1))*dlog(o(-1))>0 dlog(o(-2))*dlog(o(-2))...

Okay, so in order to account for the magnitude of the effect of positive log-differenced oil on log-differenced GDP, would I then just input: dlog(o(-1))*dlog(o(-1))>0 dlog(o(-2))*dlog(o(-2))>0 And so on for each lag, into the "exogenous variables" box under the VAR specification tab?

Can someone confirm that this command: dlog(o)>0 is indeed =1 and so a dummy variable for the said specification, rather than a variable which measures the actual positive log-difference effect on GDP? Have gotten conflicting responses. Thanks

Hello- I am running a VAR using quarterly data, lag length of 5 quarters, where the dependent variables are: d(lgdp) [differenced log GDP] and d(loil) [differenced log oil prices]. As an additional, exogenous variable, I would like to add lags of an oil-price increase measure, call it o#. This measu...

-->Regarding the @all command: I want to run two VARs, where I've got differenced GDP[d(lgdp)] and differenced oil prices[d(loil)] (as they are) as endogenous variables. As additional exogenous variables, I need to include 1) log_difference_oil>0, and then a second VAR where 2)log_difference_oil<0. ...

EViews Gareth: I ran into an issue using the specification/code that you had posted here, regarding the oil price increases/decreases: I ran two separate VARs, both with log-differenced GDP and real oil prices as the endogenous variables. In addition, for each regression, I included lagged values if...

Right-I'm going to run several variations of this model (next will be to put it into a VAR) but am aware of the possibility of multicolinearity with that particular one-thanks for the heads up though. Your comments are much simpler to follow and make more sense than trying to create a dummy variable...

Brilliant-thanks very much. I would like to now include three oil price variables: dlog(oil) as it is; dlog(oil) >0; and dlog(oil)<0 Essentially, I am now looking to see the magnitude of each coefficient w/in the same regression. How best to specify this equations--I assume @all will not work in thi...

Thanks for your reply. I would like to do both: Firstly, I would only like to include those observations for which the log-difference is >0. For example, if in 1953Q:2 the log-difference is 0.14, I would like that observation to be included in the regression. If, instead, the log-difference is -0.14...