Page 1 of 1
Permanent-transitory decomposition
Posted: Fri May 03, 2013 3:11 pm
by SeaWill
I've estimated a VECM and would like to do a Gonzalo Granger's (GG) decomposition to extract the permanent component of my dependent variable. Does anybody have the programming code....i will setle for the BN decomposition if GG is not possible in eviews.
Re: Permanent-transitory decomposition
Posted: Mon May 06, 2013 12:06 am
by trubador
If you decide to proceed with Beveridge-Nelson decomposition, then you can download an EViews add-in from here:
http://forums.eviews.com/viewtopic.php?f=23&t=4531
Re: Permanent-transitory decomposition
Posted: Tue May 14, 2013 9:35 am
by SeaWill
Appreciate the feedback. So i'm using Eviews7. I tried to download the add-in but its returning an 'invalid thread' message. Is it because my eviews is too old...if so do you have a b-n decomp add-in for Eviews7
Re: Permanent-transitory decomposition
Posted: Tue May 14, 2013 1:23 pm
by SeaWill
EviewsGarth indicated that i need eviews 7.1 and above to use the add in. I will try to manually code the B-N Decomp. Thx
Re: Permanent-transitory decomposition
Posted: Tue May 14, 2013 1:26 pm
by trubador
Re: Permanent-transitory decomposition
Posted: Tue May 14, 2013 7:02 pm
by SeaWill
Great! I upgraded and downloaded the add-in. Thanks much!
