Testing this hypothesis
Posted: Thu Mar 31, 2011 7:43 pm
hey all,
i am given this hypothesis to test using eviews. it goes like:
"test the effect of inflation on stock returns depends on if the inflation is either going up or down".
Now i was wondering which models should i use?
MTAR, TAR or Consistent MTAR? And how would i go in tackling the question, like for eg, specifying the threshold parameters etc.
Thanks
i am given this hypothesis to test using eviews. it goes like:
"test the effect of inflation on stock returns depends on if the inflation is either going up or down".
Now i was wondering which models should i use?
MTAR, TAR or Consistent MTAR? And how would i go in tackling the question, like for eg, specifying the threshold parameters etc.
Thanks