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separate positive and negative returns (Granger Causality)
Posted: Sat Apr 11, 2015 2:49 am
by Nour88
Dear members,
Please help..
I want to test granger causality between 2 variables (CT and SP returns) in Eviews using VAR, just like this example.. I want to separate the positive and negative returns. How can I do it with Eviews? Is there a special command for this?
I would greatly appreciate it if you give me some suggestions.
Re: separate positive and negative returns (Granger Causalit
Posted: Sat Apr 11, 2015 7:27 am
by EViews Gareth
Set the sample such that it only contains positive values prior to running the test.
Re: separate positive and negative returns (Granger Causalit
Posted: Sat Apr 11, 2015 8:24 am
by startz
I think the OP wants both positives and negatives. Something like @recode(x>0,x,0) and @recode(x<0,x,0)
Re: separate positive and negative returns (Granger Causalit
Posted: Sun Apr 12, 2015 2:12 am
by Nour88
Thanks for your answers
It works and i created 2 variables (positive and negative returns).
Now, should I consider them as endogenous or exogenous variables?
Thanks in advance
Re: separate positive and negative returns (Granger Causalit
Posted: Sun Apr 12, 2015 8:33 am
by EViews Glenn
They're explanatory variables. You won't be able to use the built-in VAR, but you can estimate your spec using the system estimator.
Re: separate positive and negative returns (Granger Causalit
Posted: Mon Apr 13, 2015 1:41 pm
by Nour88
How can I write it please in Eviews?