Search found 2 matches
- Sun Mar 22, 2015 3:20 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: Hasbrouck(1995) Information Shares
- Replies: 19
- Views: 129572
Hasbrouck(1995) Information Shares
Hello. everyone. I have a question about Hasbrouck(1995) Information Shares code. open data w-tb3n6ms.txt calendar(w) 1958:12:12 data(format=free,org=columns) 1958:12:12 2004:8:6 tb3mo tb6mo * * With empirically determined cointegrating vector * @johmle(lags=5,det=constant,vectors=direct,dual=dual,l...
- Mon Oct 06, 2014 5:03 am
- Forum: VARs (Vector Autoregression Models)
- Topic: rolling Window problem. (Diebold Spillover index)
- Replies: 1
- Views: 4756
rolling Window problem. (Diebold Spillover index)
hello. I have a problem calculating spillover index proposed by diebold (2009) and the code is proposed by TomDoan. I revised the code to estimate VECM. Because my data have a cointegration. whenever I excute the problem, Rats program shotdown.(I.m rats 8.3 trial version user) but If I delete eigen(...