On Jul 18, 3:16 pm, dimanagnostopou... at (no spam) gmail.com wrote:
Hello. Does anyone can help me with this ineviews? I have the returns
and i want to make this model R(t)=c1+c2d2(t)+c3d3(t)+c4d4(t)+c5d5(t)
+$B-t(B Return(t-i)+e(t) where i=1...k are the lags. Can anyone tell me how
can I create $B-t(B Return(t-i) this in eviwes? Thank you
D
Are you sure this is the correct specification? This looks like an
unconstrained distributed lag model with some period dummies. In which
case there should be parameters on the lags e.g. $B-t(B a(i)Return(t-i). IN
practice you have to set the length of the lag a priori or undertake
some experimentation and relying on statistical criteria to determine
an 'optimal' lag length. Using the eviews command interface might be
as follows (assuming choice up to 8 lags) with fairly obvious
equivalent (the beauty of eviews) in tne interactive interface.:-
equation eq1.ls r c d2 d3 d4 d5 r(-1 to -
For further details put 'lag' into the index search of the help
facility.
G
