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New post GARCH w/ dummy variance

Last post by dcano « Tue Sep 22, 2020 5:36 pm
Posted in ARCH and GARCH Models

by dcano » Tue Sep 22, 2020 5:36 pm » in ARCH and GARCH Models

0 Replies

5626 Views

Last post by dcano
Tue Sep 22, 2020 5:36 pm
New post VAR-GARCH-M square

Last post by dcano « Thu Sep 17, 2020 10:27 pm
Posted in ARCH and GARCH Models
Replies: 2
by dcano » Tue Sep 15, 2020 6:46 pm » in ARCH and GARCH Models

2 Replies

5966 Views

Last post by dcano
Thu Sep 17, 2020 10:27 pm
New post Kilian(1998) Bootstrap-in-bootstrap

Last post by TomDoan « Thu Sep 17, 2020 2:39 pm
Posted in Examples and Sample Code

by TomDoan » Thu Dec 04, 2014 1:43 pm » in Examples and Sample Code

0 Replies

8989 Views

Last post by TomDoan
Thu Sep 17, 2020 2:39 pm
New post Kilian (1998) confidence interval

Last post by TomDoan « Thu Sep 17, 2020 2:34 pm
Posted in VARs (Vector Autoregression Models)
Replies: 4
by sleu123 » Fri Apr 18, 2014 8:01 am » in VARs (Vector Autoregression Models)

4 Replies

30111 Views

Last post by TomDoan
Thu Sep 17, 2020 2:34 pm
New post BVAR

Last post by lfc160030 « Mon Sep 14, 2020 11:34 am
Posted in VARs (Vector Autoregression Models)
Replies: 2
by lfc160030 » Mon Sep 14, 2020 9:50 am » in VARs (Vector Autoregression Models)

2 Replies

22663 Views

Last post by lfc160030
Mon Sep 14, 2020 11:34 am
New post VAR-Dimensions Concern

Last post by TomDoan « Thu Sep 10, 2020 4:19 pm
Posted in VARs (Vector Autoregression Models)
Replies: 2
by lfc160030 » Sun Sep 06, 2020 12:26 pm » in VARs (Vector Autoregression Models)

2 Replies

22692 Views

Last post by TomDoan
Thu Sep 10, 2020 4:19 pm
New post Test for Resuduals Autocorrelation

Last post by TomDoan « Thu Sep 10, 2020 3:38 pm
Posted in VARs (Vector Autoregression Models)
Replies: 1
by lfc160030 » Thu Sep 10, 2020 1:40 pm » in VARs (Vector Autoregression Models)

1 Replies

20748 Views

Last post by TomDoan
Thu Sep 10, 2020 3:38 pm
New post Restriction on beta

Last post by T_FIELD « Wed Sep 09, 2020 10:42 pm
Posted in CATS Questions

by T_FIELD » Wed Sep 09, 2020 10:42 pm » in CATS Questions

0 Replies

59038 Views

Last post by T_FIELD
Wed Sep 09, 2020 10:42 pm
New post on RALS-LM Unitroot test

Last post by TomDoan « Mon Sep 07, 2020 8:08 am
Posted in Looking for Code?
Replies: 1
by ppanda9 » Sun Sep 06, 2020 6:56 am » in Looking for Code?

1 Replies

48669 Views

Last post by TomDoan
Mon Sep 07, 2020 8:08 am
New post Nonlinear estimation: cross-section data

Last post by randal_verbrugge « Tue Aug 25, 2020 11:45 am
Posted in General Econometrics
Replies: 2
by randal_verbrugge » Tue Aug 04, 2020 12:30 pm » in General Econometrics

2 Replies

58785 Views

Last post by randal_verbrugge
Tue Aug 25, 2020 11:45 am
New post overlay with different scales but common 0 axis?

Last post by tclark « Sat Aug 22, 2020 7:04 pm
Posted in Graphics, Reports, and Other Output
Replies: 2
by tclark » Fri Aug 21, 2020 3:09 pm » in Graphics, Reports, and Other Output

2 Replies

12091 Views

Last post by tclark
Sat Aug 22, 2020 7:04 pm
New post MAXIMIZE and probit models

Last post by MarkT « Tue Aug 11, 2020 9:42 am
Posted in Help With Programming
Replies: 2
by MarkT » Mon Aug 10, 2020 7:31 am » in Help With Programming

2 Replies

11140 Views

Last post by MarkT
Tue Aug 11, 2020 9:42 am
New post command for Ljung-Box test Q2 (20)

Last post by TomDoan « Fri Aug 07, 2020 12:18 pm
Posted in ARCH and GARCH Models
Replies: 5
by curiousresearcher » Wed Aug 05, 2020 7:04 am » in ARCH and GARCH Models

5 Replies

12323 Views

Last post by TomDoan
Fri Aug 07, 2020 12:18 pm
New post Sieve bootstrapping

Last post by econonick « Sat Aug 01, 2020 12:39 pm
Posted in Help With Programming

by econonick » Sat Aug 01, 2020 12:39 pm » in Help With Programming

0 Replies

7957 Views

Last post by econonick
Sat Aug 01, 2020 12:39 pm
New post GARCH Ecourse: SVAR-GARCH Question

Last post by e1983 « Fri Jul 31, 2020 8:25 pm
Posted in ARCH and GARCH Models
Replies: 4
by e1983 » Thu Jul 30, 2020 4:08 pm » in ARCH and GARCH Models

4 Replies

8223 Views

Last post by e1983
Fri Jul 31, 2020 8:25 pm
New post long run relationship with stationary variable

Last post by abi « Fri Jul 31, 2020 3:02 pm
Posted in CATS Questions
Replies: 4
by abi » Fri Jul 17, 2020 6:10 am » in CATS Questions

4 Replies

50941 Views

Last post by abi
Fri Jul 31, 2020 3:02 pm
New post Covariance matrix of DCC-GARCH parameter estimates

Last post by TomDoan « Mon Jul 27, 2020 9:19 pm
Posted in ARCH and GARCH Models
Replies: 5
by Jules89 » Mon Jun 22, 2020 8:11 am » in ARCH and GARCH Models

5 Replies

9139 Views

Last post by TomDoan
Mon Jul 27, 2020 9:19 pm
New post Confusion on how total spillover relationship by bekk garch

Last post by TomDoan « Sat Jul 25, 2020 1:12 pm
Posted in ARCH and GARCH Models
Replies: 1
by curiousresearcher » Fri Jul 24, 2020 3:45 pm » in ARCH and GARCH Models

1 Replies

5804 Views

Last post by TomDoan
Sat Jul 25, 2020 1:12 pm
New post MSVARSETUP / @msvarsetup compile error

Last post by shams11 « Thu Jul 23, 2020 10:16 am
Posted in Structural Breaks and Switching Models
Replies: 16
by shams11 » Thu Jul 09, 2020 6:12 pm » in Structural Breaks and Switching Models
1

2
16 Replies

91572 Views

Last post by shams11
Thu Jul 23, 2020 10:16 am
New post X-11 and Panel data

Last post by cyang0922 « Sun Jul 12, 2020 8:34 pm
Posted in Other Time Series Analysis
Replies: 2
by cyang0922 » Wed Jul 08, 2020 9:23 pm » in Other Time Series Analysis

2 Replies

29616 Views

Last post by cyang0922
Sun Jul 12, 2020 8:34 pm
New post Variance equations in BEKK GARCH model (different in papers)

Last post by TomDoan « Sun Jul 12, 2020 10:17 am
Posted in Data: Reading, Writing, Transforming
Replies: 5
by curiousresearcher » Wed Jul 08, 2020 11:31 am » in Data: Reading, Writing, Transforming

5 Replies

11982 Views

Last post by TomDoan
Sun Jul 12, 2020 10:17 am
New post How RATS preduce FITTED values when some inputs are missing

Last post by TomDoan « Sat Jul 04, 2020 9:38 pm
Posted in Other Time Series Analysis
Replies: 9
by anozman » Tue May 22, 2012 3:04 am » in Other Time Series Analysis

9 Replies

60318 Views

Last post by TomDoan
Sat Jul 04, 2020 9:38 pm
New post Ask the two raw equation of 2SLS

Last post by TomDoan « Fri Jul 03, 2020 7:54 am
Posted in General Econometrics
Replies: 5
by Frank » Thu Jul 02, 2020 10:53 am » in General Econometrics

5 Replies

68172 Views

Last post by TomDoan
Fri Jul 03, 2020 7:54 am
New post Rolling-VAR-MGARCH-M

Last post by hasanov « Thu Jul 02, 2020 10:58 am
Posted in ARCH and GARCH Models
Replies: 53
by hasanov » Sat Sep 01, 2018 10:40 am » in ARCH and GARCH Models
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2

3

4
53 Replies

83820 Views

Last post by hasanov
Thu Jul 02, 2020 10:58 am
New post Modified ICSS procedure

Last post by hasanov « Tue Jun 30, 2020 9:07 am
Posted in Looking for Code?
Replies: 2
by hasanov » Fri Oct 12, 2012 3:50 am » in Looking for Code?

2 Replies

52501 Views

Last post by hasanov
Tue Jun 30, 2020 9:07 am

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