I am estimating a multivariate STAR model, adapting straight from this posting of yours: http://www.estima.com/forum/viewtopic.php?f=8&t=2126
This is perhaps not feasible then. Thanks.
Search found 5 matches
- Thu Aug 14, 2014 8:15 am
- Forum: Structural Breaks and Switching Models
- Topic: Impulse Responses for nlsystem
- Replies: 3
- Views: 7853
- Wed Aug 13, 2014 12:34 pm
- Forum: Structural Breaks and Switching Models
- Topic: Impulse Responses for nlsystem
- Replies: 3
- Views: 7853
Impulse Responses for nlsystem
Hello:
I am estimating a two variable nlsytem. Is there an easy way to generate impulse responses after nlsytem. Thank you for your help.
I am estimating a two variable nlsytem. Is there an easy way to generate impulse responses after nlsytem. Thank you for your help.
- Sun Apr 17, 2011 12:42 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: Hiemstra-Jones test for Granger Non-causality
- Replies: 1
- Views: 5662
Hiemstra-Jones test for Granger Non-causality
Does anyone have the code for Heismstra-Jones test for Granger Non-causality? It is a modified version of Baek and Brock (1992) test which allows for non-linear Granger causality. Thanks.
- Tue Jan 04, 2011 3:36 pm
- Forum: ARCH and GARCH Models
- Topic: VAR-GARCH BEKK and irf
- Replies: 20
- Views: 30905
Re: VAR-GARCH BEKK and irf
I think the above gives the impulse responses of the mean equation. Can anyone share the code of impulse responses in variances as in
& Herwartz 2006? Thank you.
& Herwartz 2006? Thank you.
- Thu Dec 23, 2010 8:29 pm
- Forum: ARCH and GARCH Models
- Topic: bekk parameters
- Replies: 9
- Views: 47733
Re: bekk parameters
I have the exact same question. My adviser told me that I don't have to worry about interpreting the coefficients. Rather, I should interpret the impulse response. I would be grateful if you could elaborate both on how to get the impulse responses and how to implement the SUMMARIZE command. One exam...