Search found 90 matches

by NicolasR
Tue Feb 14, 2023 5:51 pm
Forum: Add-in Support
Topic: Non invertible MA(Q)*
Replies: 0
Views: 64654

Non invertible MA(Q)*

The identification of MA(q) processes using second order techniques (such as OLS, ML and Box-Jenkins) estimates the invertible representation and ignores the non-invertible representations of a time series. This add-in seeks to simulate and find the data generating mechanism of all representations o...
by NicolasR
Thu Jan 20, 2022 6:03 am
Forum: Add-in Support
Topic: Cross spectral analysis*
Replies: 0
Views: 15532

Cross spectral analysis*

This add-in performs cross spectral analysis between a group of time series. This cross spectral functions allows estimating covariances and correlations in the frequency domain. It also allows to know if one series anticipates or leads the other (in a similar way to Granger causality) and in what m...
by NicolasR
Wed Feb 24, 2021 9:05 am
Forum: Program Repository
Topic: An old estimator of the autocorrelation coefficient (***)
Replies: 0
Views: 13755

An old estimator of the autocorrelation coefficient (***)

Hello, This program estimates the usual (HAT) autocorrelation coefficient (already supported by Eviews) and estimates the autocorrelation using the "STAR" estimator p(tau)*. The only difference with HAT estimator, is that the STAR divides by (T-Tau), the HAT divides by T. Both have the sam...
by NicolasR
Wed Feb 24, 2021 8:40 am
Forum: Add-in Support
Topic: Spectral Granger Causality Test*
Replies: 14
Views: 50258

Re: Spectral Granger Causality Test*

Hello, In the orginal paper of Breitung and Candelon (2006), they develop the test in a time series context i.e. for VAR. I guess that it is not straigth forward to implement the test in a panel, maybe the add-in will run if you have panel data, but I would be very careful to interpret the results. ...
by NicolasR
Tue Dec 17, 2019 8:29 am
Forum: Add-in Support
Topic: STAR*
Replies: 52
Views: 106494

Re: STAR*

Hi,

To see some examples you can take a look to the eviews add-in documentation. With the current version of eviews you can use a built-in procedure to estimate STAR models.

Regards,
by NicolasR
Thu Jul 26, 2018 9:19 am
Forum: Add-in Support
Topic: Canova Hansen*
Replies: 0
Views: 10845

Canova Hansen*

This thread is about the Canova Hansen add-in which performs seasonal unit root test. The add-in can handle monthly and quarterly data. The test can be considered as the KPSS version of a seasonal unit root test. With the null hypothesis of stationarity. Comments and suggestions of the add-in are we...
by NicolasR
Thu Jul 05, 2018 5:28 pm
Forum: Add-in Support
Topic: STAR*
Replies: 52
Views: 106494

Re: STAR*

Hi,

You can not add the lags using that command. You must type each lag individually.

Regards,
by NicolasR
Mon May 21, 2018 7:25 pm
Forum: Add-in Support
Topic: HEGY*
Replies: 7
Views: 18046

Re: HEGY*

Hello everyone,

Currently I'am working on a research regarding time series with seasonal unit roots and I need some time series with these porperty. I wonder if you know any time series with these features, independently of its frequency. Thanks.

Regards,
by NicolasR
Thu Dec 21, 2017 6:08 pm
Forum: Add-in Support
Topic: STAR*
Replies: 52
Views: 106494

Re: STAR*

Hello,

I guess that the estimation of your gamma parameter is large enough, hence you can use a discrete TAR model and it is not necessary to perform a LSTAR estimation.

Regards,
by NicolasR
Fri Nov 03, 2017 10:31 am
Forum: Program Repository
Topic: Perron (1989) Breakpoint Unit Root Test
Replies: 0
Views: 16831

Perron (1989) Breakpoint Unit Root Test

Hi, The following code perform the Perron (1989) unit root test for time series with structural breaks. In the code the case 1 is defined as a level break, case 2 as a trend break and case 3 as a leven and trend break. 'Nicolas Ronderos Pulido '-------------------------------------------------------...
by NicolasR
Thu Oct 12, 2017 10:17 am
Forum: Add-in Support
Topic: MGARCH Tests*
Replies: 0
Views: 7266

MGARCH Tests*

This thread is about MGARCH tests add-in which performs tests to detect the absence of multivariate ARCH effects on the residuals of VAR or VEC model. The tests can also be used to detect remaining multivariate ARCH effects after the estimation of a MGARCH model (Diagonal VECH, CCC or BEKK) in a sys...
by NicolasR
Wed Oct 11, 2017 11:12 am
Forum: Programming
Topic: bilinear model
Replies: 2
Views: 4104

Re: bilinear model

You can do it with the Logl object or with NLS.
by NicolasR
Wed Oct 11, 2017 11:10 am
Forum: Add-in Support
Topic: STAR*
Replies: 52
Views: 106494

Re: STAR*

Hi,

I have design the add-in in such a way that the intercept must be included in the model. But you can easily do that in the STAR EViews 10 procedure.

Good luck!
by NicolasR
Fri Aug 25, 2017 5:02 pm
Forum: Program Repository
Topic: Portmanteau for VAR(p)
Replies: 0
Views: 16691

Portmanteau for VAR(p)

Just as an academic exercise the following code performs the estimation of the multivariate Ljung Box test for VAR already available in eviews. Best regards, 'Nicolás Ronderos Pulido - Time series analysis 'Test: Portmanteau for VAR(p) 'Lutkepohl (2005) 'H0: no autocorrelation until lag h '---------...
by NicolasR
Wed Mar 29, 2017 1:19 pm
Forum: Add-in Support
Topic: HEGY*
Replies: 7
Views: 18046

Re: HEGY*

Hi, You can calculate the frecuency from the equation w=2*pi*f where f is given in cycles per time unit (in the add-in I report the inverse 1/f i.e. in time units per cycle) you want the w frequency. For the frequencys you posted: - (2 month per cycle) w=2*pi*f w=2*pi*(1/2) w=pi - (4 month per cycle...

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