Ayesha Siddiqui

3 Questions 2 Answers 0 Followers

Questions related from Ayesha Siddiqui

How to calculate the break date from Hathemi j (2008) cointergration test with double structural break ?

I have run the Hathem J code widely available on GAUSS. And, I am getting this result; ******** Modified ADF Test *********** t-statistic = -5.5274237 AR lag = 1.0000000 first break...

07 July 2019 217 2 View

With gaps dates showing in Stata?

I am running code :- tsset Dates in Stata its showing with gaps dates. And after that when I'm running Gregory Hansen code its showing error missing values I am working on daily closing prices of...

04 April 2019 6,095 1 View

VAR(1)-BEKK-GARCH model, sinificant Mc-leod Li test results?

I am running VAR(1)-BEKK-GARCH(1,1) model on 5 series. these are the issues that i'm facing 1. My 3 and 4th series at lag 1 is showing insignificant result hence means its not having any impact...

04 April 2019 794 3 View