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VAriance ratio test- Term paper

Posted: Sat Dec 11, 2010 4:00 pm
by olalekan
Please i need help on how to carry out a variance ratio test and estimate the half life to a quadratic function. i currently writing a term paper on Oil prices. It didnt reject the Unit root hypotesis but a plot of the price and trending showed sign of mean reversion.

i dont know how to use Eviews to carry out variance ratio test. I need help in this regards. i have attached my data.

i would also love to if only i can specify for kalman filter to forecast the future oil prices

i am using Eviews 6

VAriance ratio test- Term paper

Posted: Sat Dec 11, 2010 4:51 pm
by EViews Gareth
EViews 6 doesn't have variance ratio tests built in. You'll need EViews 7.

Re: VAriance ratio test- Term paper

Posted: Sun Dec 12, 2010 1:21 pm
by olalekan
thanks Gareth. i have Eviews7 installed too. how do i carry out variance ratio test using Eviews 7.

Also, can you kindly take me through the kalman filter?

thanks