Hi,
Can anyone help me with the above or at least point me in the right direction?
Thanks
Search found 4 matches
- Sat Mar 08, 2014 9:01 am
- Forum: Econometric Discussions
- Topic: Long Run VAR alpha and beta estimation
- Replies: 1
- Views: 2744
- Wed Mar 05, 2014 6:26 am
- Forum: Econometric Discussions
- Topic: Long Run VAR alpha and beta estimation
- Replies: 1
- Views: 2744
Long Run VAR alpha and beta estimation
Hi, I am using a VAR with 2 variables and 4 lags. I am combining the coefficients of these variables to get an overall alpha (a) and beta (B) value for in the form Y = (a) + (B)X In order to get the long run alpha, I am using the following formula: a = C/[1-a(1)-a(2)-a(3)-a(4)], where the alphas are...
- Fri Feb 21, 2014 5:56 am
- Forum: Estimation
- Topic: Rolling Window Estimation
- Replies: 2
- Views: 3368
Re: Rolling Window Estimation
Can anyone at all help with this?
- Wed Feb 19, 2014 3:56 pm
- Forum: Estimation
- Topic: Rolling Window Estimation
- Replies: 2
- Views: 3368
Rolling Window Estimation
Hi guys, I am looking to roll a VAR I am using, with the criteria as outlined in the attachment, rolling it from first VAR of 1980q1-1989q4 (10 year period), rolling it quarterly until 2003q3-2013q2.
Can anyone help with this?
Many thanks in advance.
Can anyone help with this?
Many thanks in advance.