TVAR model and Tsay Test (1989)
Posted: Mon Oct 24, 2011 2:40 pm
Estimation TVAR Model and Tsay test would be included in future
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Re: TVAR model and Tsay Test (1989)
Posted: Mon Oct 24, 2011 2:47 pm
We need TAR before we get TVAR :D
Re: TVAR model and Tsay Test (1989)
Posted: Mon Oct 24, 2011 5:03 pm
Surely , but i need a TVAR and SBTVAR for my Phd Thesis 
Thus, i have to use the RATS
Thus, i have to use the RATS
Re: TVAR model and Tsay Test (1989)
Posted: Mon Oct 24, 2011 5:35 pm
Might be easier to install R and the tsDyn package (its free!). I just did that, and then ran this EViews code:
Which seemed to estimate a 2 lag, 3 variable TVAR nicely.
Code: Select all
create m 1990 2000
series y=nrnd
series x=nrnd
series z=nrnd
group g x y z
xopen(r)
xrun library("tsDyn")
xput(rtype=ts) g
xrun test<-TVAR(G, 2)
xrun print(test)
Re: TVAR model and Tsay Test (1989)
Posted: Tue Oct 25, 2011 3:23 pm
Calling the R package was so easy, we knocked up a quick Add-in that does it for you:
http://eviews.com/Addins/addins.shtml
http://eviews.com/Addins/addins.shtml
Re: TVAR model and Tsay Test (1989)
Posted: Wed Oct 26, 2011 9:23 am
i already did the download of the R programme, but i dont undestand anything. However, i went onto http://eviews.com/Addins/addins.shtml, but i cant open the file.
But i was thinking, if i do the exponential smoothing i will know the min of SSR, am i right?! then i can do the estimation a VAR Model until that Value and a VAR after this Value...
BUt it's impossible calculate the Grid Search of a Group of Variables, isn it?
regards
But i was thinking, if i do the exponential smoothing i will know the min of SSR, am i right?! then i can do the estimation a VAR Model until that Value and a VAR after this Value...
BUt it's impossible calculate the Grid Search of a Group of Variables, isn it?
regards
Re: TVAR model and Tsay Test (1989)
Posted: Wed Oct 26, 2011 9:54 am
You need EViews 7.2 to run the Add-in.
You're right though, you can't do the grid search.
You're right though, you can't do the grid search.
Re: TVAR model and Tsay Test (1989)
Posted: Wed Oct 26, 2011 10:20 am
i just have EViews 6... but in R , i guess that we cant do the Tsay test fo verify the Delays Parameters...I realy nead estimate a TVAR model for my thesis and i always thought it was possible estimate a TVAR in EViews...
Thus, i have to get the Eviews seven
Thank you
Thus, i have to get the Eviews seven
Thank you