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Asymmetric ECM
Posted: Tue May 07, 2013 9:11 am
by 1ci
Dear ALL,
I have a question concerning the ECM - how can I estimate the positive and negative changes of these models?
So how can I transform a symmetric Error Correction Model into an asymmetric ECM?
Please help!
Re: Asymmetric ECM
Posted: Wed May 08, 2013 3:21 am
by trubador
You can try Enders and Siklos (2001) cointegration and threshold adjustment procedure:
http://forums.eviews.com/viewtopic.php?f=23&t=5604
Re: Asymmetric ECM
Posted: Wed May 08, 2013 6:30 am
by 1ci
thank you for your response but I don't know how and cannot open TARCOINT add-in; - can you help me, please?
Re: Asymmetric ECM
Posted: Wed May 08, 2013 7:26 am
by trubador
First, make sure that EViews version 7.1 or higher is installed on your machine. Just download the add-in and run the installation program. A folder named "tarcoint" will be added probably to ...\Documents\EViews Addins. Read the instructions in the tarcoint.pdf file...
Re: Asymmetric ECM
Posted: Wed May 08, 2013 7:52 am
by 1ci
I just got the EViews 6.0 version :/ is it possible to send me the pdf-file? I have to run this model, please help me. E-Mail:
bircig@gmail.com
Re: Asymmetric ECM
Posted: Thu May 09, 2013 12:08 am
by trubador
You can unzip and retrieve the file, but it will not be much of a help since it explains how to use the add-in.
Re: Asymmetric ECM
Posted: Thu May 09, 2013 2:53 am
by 1ci
thank you.. I think its not possible to open the file..
Can you probably explain how to separate a variable into two different variables? like ∆PCt into ∆PC+ and ∆PC−?? in order to check the relation of the independent variable to positive changes (increase of PC) and negative changes (decrease of PC)??
Thank you!
Re: Asymmetric ECM
Posted: Fri May 10, 2013 6:17 am
by 1ci
can I define it like this: ΔPt*(ΔPt>0) ΔPt*(ΔPt<0) ?
Thank you.
Re: Asymmetric ECM
Posted: Sun May 12, 2013 2:48 am
by 1ci
can anybody help me please..?
Re: Asymmetric ECM
Posted: Sun May 12, 2013 1:08 pm
by trubador
Correct. For a more general use you can also try the following:
Code: Select all
series dpc_plus = @recode(d(pc)>0,d(pc),0)
series dpc_minus = @recode(d(pc)<0,d(pc),0)
For instance, you might want to replace 0 with NA.
Please refer to the manual for more details.
Re: Asymmetric ECM
Posted: Mon May 13, 2013 8:48 am
by 1ci
thank you very much!