All these methods are described in the related literature ( Breitung et al., 2004 Kilian and Lütkepohl, 2017 Lütkepohl, 2005). The estimation techniques that have been used in this context are least-squares (LS), method-of-moments (MM), instrumental variables (IV), generalized method-of-moments (GMM), maximum likelihood (ML) and Bayesian methods. Structural VAR models are estimated with a variety of methods that depend on the model setup and the type of structural (identifying) restrictions. Since then structural VAR models have become a standard tool for macroeconomic analysis. Note that even if Automatic lag selection is preferred, maximum lag-orders need to be specified for the dependent variable as well as the regressors.In a seminal paper Sims (1980) criticized traditional simultaneous equations systems and proposed using vector autoregressive (VAR) models as alternatives.
#Gmm eviews 9 how to
EViews offers the user an option on how to select from among these, and we will discuss this when we explore estimation next.Įstimation, Residual Diagnostics, Bounds Test, and Speed of AdjustmentĪRDL models are typically estimated using standard least squares techniques. The optimal combination is then set as that which minimizes some information criterion, say Akaike (AIC), Schwarz (BIC), Hannan-Quinn (HQ), or even the adjusted $R^2$. For instance, with EViews default values $p = q = 4$, the total number of models under consideration would be 100. In a nutshell, the TSIR postulates that there exists a relationship linking the yields on bonds of different maturities. The motivation for this entry is the classical term structure of interest rates (TSIR) literature. The following flow chart illustrates the procedure.
Determine the appropriate lag structure of the model selected in Step 3.Choose DGP $i=1,\ldots,5$ from those outlined in Part 1 and Part2. Specify how deterministics enter the ARDL model.Ensure all variables are integrated of order I$(d)$ with $d
#Gmm eviews 9 series
While our two previous posts in this series have been heavily theoretically motivated, here we present a step by step procedure on how to implement Part 1 and Part 2 in practice. Here, we demonstrate just how easily everything can be done in EViews 9 or higher. In Part 1 and Part 2 of this series, we discussed the theory behind ARDL and the Bounds Test for cointegration.