AECM

[anto2209]

Dear all,

after getting the results from TAR and MTAR estimation, how can I tell eviews to estimate an AECM?

I read the other discussion but i didn't find the description of the code...

Thank You in advance,

bests

[EViews Rebecca]

In what context are you trying to estimate an AECM?

[anto2209]

Dear Rebecca,

first of all thank you for your reply.

I'm not sure to understand what you mean with in which context..

Thank you again,

Federico

[EViews Rebecca]

It will help me point you in the right direction if I know what you are trying to accomplish.

[anto2209]

Hi Rebecca,

sure, thank you. I estimated a (Consistent)M-TAR model for two prices (and 5 exogenous variables, one shift dummy and four impulses) and results indicate the existence af asymmetries and cointegration between the two series. Now, I'd like to estimate the AECM (relative to the MTAR) in order to investigate short run dynamics, but I don't know how to generate positive and negative ECT. In case this would be possible, the next question would be how to display IRFs for positive and negative shocks, in order to show the asymmetric adjustment.
I attached the workfile for if it could be of any help. "mtarcons" is the model to which I refer.

Thanks in advance,

bests

[EViews Rebecca]

What you're asking goes beyond our normal help. Did you produce your current results using the TARCOINT add-in? If so I suggest going to the add-in section of the forum and asking your question there.

[anto2209]

Thank you Rebecca,

I posted the same questions in the Add-in section.

Bests

F