(EViews10):VAR Models (General-to-Specific)
Автор: CrunchEconometrix
Загружено: 2018-03-20
Просмотров: 10198
If after estimating the VAR model using the OLS estimation technique, you observed that most of the coefficients are statistically not significant, what can you do? You can modify the over-parameterised model into a “parsimonious” model by testing for redundancy of variables or significance of the coefficients using the Wald test. If the null hypothesis of variables redundancy cannot be rejected, then such variables must be removed from the model. This hands-on tutorial teaches how to construct a parsimonious model (specific) from an over-parameterised VAR model (general) in EViews10.
Here is the link to the ex21-1.wf1 dataset (EViews file) used for this tutorial (endeavour to have a Google account for easy accessibility): https://drive.google.com/drive/u/1/fo...
Follow up with soft-notes and updates from CrunchEconometrix:
Website: http://cruncheconometrix.com.ng
Blog: https://cruncheconometrix.blogspot.co...
Forum: http://cruncheconometrix.com.ng/blog/...
Facebook: / cruncheconometrix
YouTube Custom URL: / cruncheconometrix
Stata Videos Playlist: • (Stata13):Estimate and Interpret Two-way A...
EViews Videos Playlist: • (EViews10):Interpret VECM, Forecast Error ...
Доступные форматы для скачивания:
Скачать видео mp4
-
Информация по загрузке:
