Search found 5 matches
- Sun Oct 26, 2008 9:07 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: Rigobon,Sack(2003)'s VAR
- Replies: 8
- Views: 17020
Rigobon,Sack(2003)'s VAR
I have a question regarding the implementation of the Rigobon's VAR model for measuring the reaction of the monetary policy to asset prices based on the "Identification through heteroskedasticity" approach (Using the volatility regimes in order to achieve identification of the VAR). I have...
- Wed Dec 05, 2007 7:37 pm
- Forum: ARCH and GARCH Models
- Topic: Problem with boxjenk and garch, rats closes
- Replies: 2
- Views: 9162
- Wed Dec 05, 2007 3:47 pm
- Forum: ARCH and GARCH Models
- Topic: Problem with boxjenk and garch, rats closes
- Replies: 2
- Views: 9162
Problem with boxjenk and garch, rats closes
Hi, after i put this code in the programm set difflogusdgbp = logusdgbp - logusdgbp{1} boxjenk(ar=1, ma=1, constant, define=arma11) difflogusdgbp everything works fine, but after garch(p=1, q=1,constant,equation=arma11) RATS terminates suddenly, without any warning! If anyone has an idea, please res...
- Wed Dec 05, 2007 8:44 am
- Forum: Graphics, Reports, and Other Output
- Topic: Confidence band on barchart
- Replies: 1
- Views: 9419
Problem solved!
Problem solved!
When somebody wants know how read the bjest.src there is an example!
When somebody wants know how read the bjest.src there is an example!
- Tue Dec 04, 2007 3:42 pm
- Forum: Graphics, Reports, and Other Output
- Topic: Confidence band on barchart
- Replies: 1
- Views: 9419
Confidence band on barchart
Hi, I know this is a stupid question, but I am trying to put 95%-Bartlett Confidence Band on a Barchart for three days now, without any success. When I define the upper and lower boundary as set upper = ( 1.96*(1/sqrt(%nobs))) set lower = ( - 1.96*(1/sqrt(%nobs))) and the try to graph it with vgrid ...