Rajan Parajuli

3 Questions 11 Answers 0 Followers

Questions related from Rajan Parajuli

How can I estimate time-varying speed of adjustment parameters in error correction equations?

I would like to estimate time-varying speed of adjustment coefficients in a bi-variate VEC model using a state-space and kalman filter approach. Could you please help me in setting up the program...

30 November 2015 7,637 3 View

Can we estimate a single equation from a system with multiple cointegrating ranks?

I am estimating a single-equation VEC model from a seven-variable system. The Johansen Cointegration tests (both Trace and MaxEignvalue) reveal that the system have 4 distinct ranks. Will my...

23 March 2015 1,372 1 View

Which software provides built-in codes to run cointegration analysis in the presence of structural breaks (Johansen et al. 2000 test)?

Does anyone have an idea which software provides built-in codes to run cointegration analysis in the presence of structural breaks (Johansen et al. 2000 test). Your help would be highly...

02 January 2015 6,157 16 View