VAR Code for 3-year Net Increase
Posted: Tue Aug 20, 2013 2:21 am
Hello-
I am running a VAR using quarterly data, lag length of 5 quarters, where the dependent variables are: d(lgdp) [differenced log GDP] and d(loil) [differenced log oil prices].
As an additional, exogenous variable, I would like to add lags of an oil-price increase measure, call it o#. This measure is specified such that o# denotes the amount that log oil prices in quarter x exceed their value over the past 12 quarters, and if they do not exceed this peak value, then o# takes on a value of zero.
Is there any way to specify this in Eviews, or is this something I should do in Excel?
Please let me know if I can clarify my procedure at all--otherwise thanks very much for your help!
I am running a VAR using quarterly data, lag length of 5 quarters, where the dependent variables are: d(lgdp) [differenced log GDP] and d(loil) [differenced log oil prices].
As an additional, exogenous variable, I would like to add lags of an oil-price increase measure, call it o#. This measure is specified such that o# denotes the amount that log oil prices in quarter x exceed their value over the past 12 quarters, and if they do not exceed this peak value, then o# takes on a value of zero.
Is there any way to specify this in Eviews, or is this something I should do in Excel?
Please let me know if I can clarify my procedure at all--otherwise thanks very much for your help!