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Showing posts with label Econometrics. Show all posts
Showing posts with label Econometrics. Show all posts

R : VAR(1) Simulation

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This post explains how to perform simulations of a VAR(1) model.

R: A Simple Replication of Cointegration Test Results

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This post is a straightforward replication of the Johansen cointegration test results from Johansen and Juselius (1990) using ...

Equivalence of VAR models between original variables and their linear transformations

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This post demonstrates the VAR forecasting equivalence between original variables and their linear transformations by examining a...

R: The Hodrick-Prescott filter or HP filter

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This post demonstrates how to apply the Hodrick-Prescott (HP) filter in R by using the hpfilter R library.

R: Beveridge–Nelson Trend and Cycle Decomposition

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This post shows how to extract trend and cyclical components from a univariate time series based on the Beveridge–Nelson (BN) dec...

R : Diebold-Mariano Test

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This post shows how to use Diebold-Mariano test by using multDM R package.

R : Nyholm (2018) Rotated Nelson-Siegel Model

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This post implements R code to estimate the Rotated Nelson-Siegel yield curve model of Nyholm (2018)

R : Nelson-Siegel-Svensson (NSS) model with fixed or estimated constant decay parameters

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This post implements the period-by-period estimation of the Nelson-Siegel-Svensson yield curve model with fixed or estimated co...

R : VAR Impulse Response Function

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This post draws the orthogonal impulse response functions from an estimated VAR model with 1 standard deviation or 1 unit shock....

Python: The Hodrick-Prescott filter or HP filter

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This post shows how to extract trend and cyclical components from a univariate time series using the Hodrick-Prescott (HP) filter...

R code: Understanding Dynamic Conditional Correlation (DCC) model

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This post explains the structure of DCC (dynamic conditional correlation) model of Engle (2002) and then, uses rmgarch R packag...

R code: Estimation and Forecasting of GARCH Volatility model

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This post uses rugarch R package for estimating GARCH model to obtain conditional volatility estimates. This R package also pr...

R code: Range-Based Volatility Estimator

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This post uses TTR R package to calculate various range-based volatility estimators such as Parkinson (1980) , Garman and Klass ...

Theil mixed estimator

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This post deals with the Theil mixed estimator which uses the prior information as well as the sample information.

Generalized Least Squares (GLS) estimator

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This post deals with the generalized least squares (GLS) estimator Since when deriving the Black-Litterman (BL) model, the Theil ...

Diebold-Yilmaz Spillover Index using R package

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This post explains how to use Spillover R package to calculate Diebold-Yilmaz spillover index . It measures a return or volati...
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SAS : how to set combined group code and concatenated group name

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This post shows a SAS code to set 1) combined group number and code and 2) concatenated group name for group-by estimations. ...

Excel : Scan Numeric Data From a Time Series Plot Image

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This post introduces a very nice scanning excel tool for scanning numerical values approximately from a plot image . We sometimes...

SAS : Repeated Estimation of Stepwise Regressions by Group

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This post presents a SAS code for estimating regression models by group with a stepwise variable selection .

SAS : Repeated Estimation of Regressions by Group

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This post presents a SAS code for estimating regression models by group . The number of group is not small that multiple estimati...