search for: luetkepohl

Hello Michael, see as an online resource: http://www.statsoft.com/textbook/sttimser.html or get hold on a time series analysis textbook, like one of the monographies written by Hamilton; Luetkepohl; Brockwell & Davis; Harvey or Box & Jenkins, to name but a few. In a nutshell, PACF 'eliminates' intermediate autocorrelations compared to ACF, e.g. an AR(1) process will ordinarily have a slowly decaying ACF and a single spike in the PACF at lag 1. Both are utilised in the process...

Dear all, S+Finmetrics has a number of very specilised functions. I am particularly interested in the estimation of cointegrated VARs (chapter 12 of Zivot and Wang). In this context the functions coint() and VECM() stand out. I looked at package "dse1", but found no comparable functionality. Are there any other packages you could point me to? In general, are there efforts for

I have a VAR model with five macro-economic variables, y[1], y[2], y[3], y[4], y[5]. They are related to each other in following manner. y[1,t] = alpha[1,0] + beta[1,1, 1]*y[1,t-1]+............+beta[1,1, 12]*y[1,t-12] + beta[1,2, 1]*y[2,t-1]+............+beta[1,2, 12]*y[2,t-12] + e[1,t] y[2,t] = alpha[2,0] + beta[2,2, 1]*y[2,t-1]+............+beta[2,2, 12]*y[2,t-12] + e[2,t] y[3,t] = alpha[3,0]

...02.corp.amvescap.net> Content-Type: text/plain; charset="us-ascii" Hello Megh, in principle you can do OLS on an equation-per-equation basis. However, in this case the estimator might be asymptotically inefficient. One can use FGLS instead. This is outlined for instance in: Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute. http://cadmus.iue.it/dspace/bitstream/1814/6918/1/ECO-2007-11.pdf Incidentally, you can also use restrict() [OLS-based] in package vars; version 1.3-1 has...