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TVP-VAR
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TVP-VAR
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Gregory-Hansen and Threshold Cointegration
Hello,
I have used the Johansen multivariate cointegration test to see whether a group of ten stock markets are cointegrated. However, I was wondering whether it would be possible to use the Gregory-Hansen and Enders-Siklos tests for structural-breaks and threshold adjustment on the entire system or whether they can only be used in a pairwise manner?
Any help is appreciated.
I have used the Johansen multivariate cointegration test to see whether a group of ten stock markets are cointegrated. However, I was wondering whether it would be possible to use the Gregory-Hansen and Enders-Siklos tests for structural-breaks and threshold adjustment on the entire system or whether they can only be used in a pairwise manner?
Any help is appreciated.
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Threshold Structural VAR
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Automatic ARIMA
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Time varying SVAR
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Misleading calculations of Endogeneous variables in system
Using EViews 8.1
Working on a system with rational expectations (i.e. some endogeneous variables appear with a lead:
x = c1 + c2y
w = c4 + c5x(t+1)
I find the calculation in a model in default setting at least misleading (the error of the first equation does not appear automatically in the second one).
Also, the manual is for my taste not very clear on how EViews treats these variables.
Dear all,
The default settig of models is set such in cases with more than one equation (or a system) where endogeneous variables fom one equation enters as an explanatory variable in anoher one, the model solves theses equations but enters not the estimated values solving the other equation but uses the observed ("actual") valuse.
This has nasty consequences e.g. if one wants to calculate the etsimation errors (bacause in effect the error of the first equation does not enter into the second one [which gives thus only its own error]).
I would say that the instructions (e.g. "Specifying scenarios") is at leat misleading and not very clear.
If the true interdependence is to be shown only, if some settings are change (and this is not really convenient):
1) You have to run the model in its default setting (in order to get the estimates of the endogeneous variable)
2) You have to include the respective endogeneous variables into a field in the model menue "Scenarios" => "excludes for ... (treat endogeneous variabels as exogeous)". Then, if you ant to keep the estimated values from the first equation you have to set the "Solve" => "Solver" to "Preffered solution starting values" to "Previous period's solution". And run the model another time.
My question is: Am I right? Is there a simpler way of doing this?
Thanks a lot.
Best regards
Christian
Working on a system with rational expectations (i.e. some endogeneous variables appear with a lead:
x = c1 + c2y
w = c4 + c5x(t+1)
I find the calculation in a model in default setting at least misleading (the error of the first equation does not appear automatically in the second one).
Also, the manual is for my taste not very clear on how EViews treats these variables.
Dear all,
The default settig of models is set such in cases with more than one equation (or a system) where endogeneous variables fom one equation enters as an explanatory variable in anoher one, the model solves theses equations but enters not the estimated values solving the other equation but uses the observed ("actual") valuse.
This has nasty consequences e.g. if one wants to calculate the etsimation errors (bacause in effect the error of the first equation does not enter into the second one [which gives thus only its own error]).
I would say that the instructions (e.g. "Specifying scenarios") is at leat misleading and not very clear.
If the true interdependence is to be shown only, if some settings are change (and this is not really convenient):
1) You have to run the model in its default setting (in order to get the estimates of the endogeneous variable)
2) You have to include the respective endogeneous variables into a field in the model menue "Scenarios" => "excludes for ... (treat endogeneous variabels as exogeous)". Then, if you ant to keep the estimated values from the first equation you have to set the "Solve" => "Solver" to "Preffered solution starting values" to "Previous period's solution". And run the model another time.
My question is: Am I right? Is there a simpler way of doing this?
Thanks a lot.
Best regards
Christian
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Misleading calculations of Endogeneous variables in system
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Time varying SVAR
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Multiple paragraphs in @uiprompt
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Multiple paragraphs in @uiprompt
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Multiple paragraphs in @uiprompt
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Time varying SVAR
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Misleading calculations of Endogeneous variables in system
Dear Gareth,
Thank you fror your reply. I thought so too and was very surprised and thus it took me a while to figure out how the program works. Maybe I do not understand something.
My suspicion started when I looked at the MAPE which was usually smaller for the variable which depended also on the estimated endogeneous variable from the other equation than that for this variable. My logigc is that the error from the frist enters into the second equation and for this reason the error must be at least as large.
Second, in in-sample tests the estimated values from the second (dependent) variable followed relatively closely the pattern of the observed values rather than those of the estimated values of that endogeneous variable - no matter which estimated equation I used (different specifications give different patterns).
So, for me it looks like as if the default setting in EViews is that in case of such dependencies the model is solved by taking the actual (observed) values rather than the estimated ones.
I mean, I am fine if EViews works like this (albeight I would say I would expect the default settings being different). But I am a little confused and would like to know for sure how it works. Could it be that it is a special behaviour due to the lead in that variable?
Thanks again.
Best regards
Christian
Thank you fror your reply. I thought so too and was very surprised and thus it took me a while to figure out how the program works. Maybe I do not understand something.
My suspicion started when I looked at the MAPE which was usually smaller for the variable which depended also on the estimated endogeneous variable from the other equation than that for this variable. My logigc is that the error from the frist enters into the second equation and for this reason the error must be at least as large.
Second, in in-sample tests the estimated values from the second (dependent) variable followed relatively closely the pattern of the observed values rather than those of the estimated values of that endogeneous variable - no matter which estimated equation I used (different specifications give different patterns).
So, for me it looks like as if the default setting in EViews is that in case of such dependencies the model is solved by taking the actual (observed) values rather than the estimated ones.
I mean, I am fine if EViews works like this (albeight I would say I would expect the default settings being different). But I am a little confused and would like to know for sure how it works. Could it be that it is a special behaviour due to the lead in that variable?
Thanks again.
Best regards
Christian
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Sum of Squares
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Time varying SVAR
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Misleading calculations of Endogeneous variables in system
Postscript
Dear Gareth,
I experimented again because I think it is really an important issue and it should be clear to everyone how EViews works at this point:
EViews does not - in its default setting - show the true dependence of variables in a model, i.e. if one variabe depends on the estimate of another one Eviews gives the value of this dependent one as if the variable it depends one were actuals (i.e. observed rather than estimated).
I run the two equations deperately and compared the MAPE (or the RMSE) with those calculated by EViews if the two equations are run together in a model. In the default setting, the MAPE was the same. The dependency of one of the variables and its impact on the estimated values (measured in MAPE or RMSE) were only calculated if I put the variabel which enters the second equation in the models menue "Scenarios" into the "Excludes" (as described below).
Could you please confirm or reply if I am completely mistaken? I woud like to know how it really works.
Thank you very much
Best regards
Christian
Dear Gareth,
I experimented again because I think it is really an important issue and it should be clear to everyone how EViews works at this point:
EViews does not - in its default setting - show the true dependence of variables in a model, i.e. if one variabe depends on the estimate of another one Eviews gives the value of this dependent one as if the variable it depends one were actuals (i.e. observed rather than estimated).
I run the two equations deperately and compared the MAPE (or the RMSE) with those calculated by EViews if the two equations are run together in a model. In the default setting, the MAPE was the same. The dependency of one of the variables and its impact on the estimated values (measured in MAPE or RMSE) were only calculated if I put the variabel which enters the second equation in the models menue "Scenarios" into the "Excludes" (as described below).
Could you please confirm or reply if I am completely mistaken? I woud like to know how it really works.
Thank you very much
Best regards
Christian
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Sum of Squares
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Misleading calculations of Endogeneous variables in system
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Sum of Squares
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