Search found 4 matches
- Fri Oct 31, 2014 5:13 am
- Forum: VARs (Vector Autoregression Models)
- Topic: Block Exogeneity Test
- Replies: 14
- Views: 27969
Re: Block Exogeneity Test
I am also wondering about this question from above: "2.i think this do not make sense when i resampling the x and y through the bootstrapping, the ecm also shifts because the ecm is the residual of (x=b*y+e)". Is is possible to include an equation to also bootstrap the ecm or include an id...
- Tue Oct 07, 2014 11:51 am
- Forum: Structural Breaks and Switching Models
- Topic: Asymmetric ECM IRFs
- Replies: 10
- Views: 15679
Re: Asymmetric ECM IRFs
Would it be possible to modify the above code (or the Balke-Fomby code more generally) so as to estimate separate GIRFs for each regime?
- Tue Jul 05, 2011 6:28 pm
- Forum: CATS Questions
- Topic: Rank of Pi error message
- Replies: 5
- Views: 18276
Re: Rank of Pi error message
Hello,
I am new to CATS and I seem to be getting this same error message when I try to include deterministic terms in my CVAR model. I am wondering if there is a fix for this or if I might also receive these files to update CATS? I am running RATS 8 with CATS 2.0.
many thanks
I am new to CATS and I seem to be getting this same error message when I try to include deterministic terms in my CVAR model. I am wondering if there is a fix for this or if I might also receive these files to update CATS? I am running RATS 8 with CATS 2.0.
many thanks
- Mon Jun 27, 2011 4:01 pm
- Forum: Help With Programming
- Topic: Bai and Ng (2004) PANIC and PRINFACTORS
- Replies: 0
- Views: 4499
Bai and Ng (2004) PANIC and PRINFACTORS
Hello I am trying to estimate the number of common factors for yields of a certain maturity among a group of 10 countries. I am able to programme the Bai and Ng (2004) PANIC test for the number of factors but I am unsure how to programme the extraction of the principal components via PRINFACTORS.src...