16 Questions 67 Answers 0 Followers
Questions related from S.C Thushara
Hi, There are arguments for and against adjusting data for seasonality before estimating a VAR model (and then Granger causality). I've monthly tourist arrival data for three countries (for 18...
05 November 2019 8,108 2 View
Hi I've estimated a DCC-GARCH(1,1) model using STATA. at the end of the stata output, correlation matrix is given and it is also called quasi correlation matrix. Is it the conditional correlation...
10 January 2019 9,374 2 View
HI, In a DCC-GARCH(1,1) model (dependent variable is first difference of logarithm of the series) based on monthly data, 1. How do you interpret unconditional and conditional correlation in a...
22 December 2018 215 5 View
Hi, Does the eviews allow to estimate ARIMA models assuming a student's t distribution or GED distribution? I have estimated some ARIMA models and found that some residuals are not normally...
16 September 2018 7,561 4 View
I am modelling volatility of international tourists arrivals from several source markets. I use mainly two methods ARIMA-GARCH or ARIMA-GJR models and SARIMA-GARCH or SARIMA-GJR models. Initially...
07 September 2018 3,051 3 View
Hi, I have developed several volatility models for international arrivals from several countries using SARIMA-GARCH and SARIMA-GJR methods assuming a normal distribution in the estimation...
31 August 2018 4,655 5 View
Hi, I was trying to estimate an ARIMA model with both seasonal and non-seasonal ar and ma terms. However, when estimating the model, an error message saying "flat or discontinuous region...
10 March 2018 8,151 5 View
Hi, I am currently working on a research project which aims to develop a forecasting model for international tourist arrivals. I am mainly using ARIMA/SARIMA methods for this purpose. I am not...
26 July 2017 622 3 View
hi, Is normality a necessary condition for a SARIMA or ARIMA forecasting model? Does the violation of the normality of residuals mean that there are omitted variables (such as AR, MA, SAR or SMA...
15 July 2017 8,164 3 View
Hi, How can I estimate the multiplicative and additive SARIMA in Eviews? For example what command I should use to estimate the models SARIMA(1,1,1) x(1,1,1)12 and SARIMA(1,1,1) +(1,1,1)12 in Eviews?
13 July 2017 5,277 3 View
Hi, I am developing an international tourism demand forecasting model using ARIMA/SARIMA technique using STATA and Eviews softwares. However, in both softwares, forecast evaluation is a bit...
11 July 2017 6,405 5 View
Hi, I need to select one variable to measure income inequality for all countries. I found data for Gini index. However, data is not available for all the years, from 1980 to 2015 and there are...
28 January 2017 6,522 4 View
Hi, I am estimating an international tourism demand model (inbound) taking individual origin countries into account incorporating both economic factors and noneconomic factors into consideration....
18 January 2017 8,936 9 View
HI, Can anyone share some insights about modeling volatility with explanatory variables except M_GARCH or GARCH family models ? I am particularly interested in developing a model that can better...
19 November 2016 5,021 3 View
In what aspects GVAR (Global Vectorautoregressive model) is superior to M-GARCH and other GARCH family models when it comes modelling volatility? Can GVAR be considered as a superior methodology...
17 October 2016 9,709 3 View
Hi, When estimated the DCC-GARCH in stata at the end of the output pairwise quasi correlations are given. What does it mean in practice? is it the mean value of dynamic correlations or something...
01 January 1970 3,681 1 View
