Search found 3 matches
- Sun Oct 15, 2017 10:53 pm
- Forum: Other Time Series Analysis
- Topic: ARMA-Intervention model in Wei(2006)
- Replies: 3
- Views: 8961
Re: ARMA-Intervention model in Wei(2006)
Thank you for your reply. I have looked at this section in Users Guide again, and I now understand the code. I'm sorry about it because I'm a newer to use Rats. I would like to make sure that the example INTERVENTION.RPF is exactly what I want? Due to there are a pulse input for short-run effect and...
- Sun Oct 15, 2017 7:33 am
- Forum: Other Time Series Analysis
- Topic: ARMA-Intervention model in Wei(2006)
- Replies: 3
- Views: 8961
ARMA-Intervention model in Wei(2006)
Dear Tom and everyone, I would like to construct a ARMA-Intervention model to analyze the effect of some reforms, following William W.S. Wei,2006,Time series analysis: Univariate and multivariate methods(2nd Edition),Addison-Wesley Publishing. https://www.researchgate.net/publication/236651810_Time_...
- Sat Jul 22, 2017 10:47 pm
- Forum: Other Time Series Analysis
- Topic: rolling window regression for Cointegrated VAR model
- Replies: 1
- Views: 6622
rolling window regression for Cointegrated VAR model
Hi Tom and everyone, I have 12 exchange rates variables with log form, which are all I(1) process. Thus I want to do the rolling window regression for Cointegrated VAR model, namely first use Johansen(1991) test to determine the number of cointegration vectors, if the number is zero, use one order V...