Search found 39 matches

by econworker
Mon Aug 24, 2015 9:42 am
Forum: Estimation
Topic: Pooled Mean Group (PMG) Estimation
Replies: 11
Views: 8345

Re: Pooled Mean Group (PMG) Estimation

Here is the file, the cor_z is dependant variable and the ones that start with mac_ and spec_ are explanatory variables, and y1, y2... are dummies
by econworker
Wed Aug 05, 2015 4:51 am
Forum: Estimation
Topic: Pooled Mean Group (PMG) Estimation
Replies: 11
Views: 8345

Re: Pooled Mean Group (PMG) Estimation

EViews Gareth wrote:Could you provide the file?



I dont know why...but the file cant be attached, the messege get sent without file!
by econworker
Mon Aug 03, 2015 1:44 am
Forum: Estimation
Topic: Pooled Mean Group (PMG) Estimation
Replies: 11
Views: 8345

Re: Pooled Mean Group (PMG) Estimation

Dear Eviews Glenn I am estimating a PMG model using Eviews 9, I have some variables that are multiplied to Dummy variables equal to zero for some cross sections, so variables are zero for some cross sections and numral values for other cross sections, however when I estimate the model with PMG I get...
by econworker
Thu Jul 09, 2015 4:12 am
Forum: Estimation
Topic: dummy variable for panel data
Replies: 7
Views: 4698

Re: dummy variable for panel data

Dear Startz I have a question regarding the dummy variable in panel data. I have a panel data which I want to estimate with PMG estimation. The friequency is weekly, however I included annual dummies, something like : my data is 1998 to 2014, so its 17 years weekly data and I created 17 dummy variab...
by econworker
Wed Jun 17, 2015 1:46 am
Forum: Econometric Discussions
Topic: Scaling data
Replies: 0
Views: 1036

Scaling data

Dear all I have a question regarding scaling the dependant variable (or independant variables) in a regression. In my estimation the dependant variable is volatility of commodities, and explanatory variables are some macroeconomic factors like business cycles, inflation and etc... As the value of vo...
by econworker
Fri May 22, 2015 3:02 am
Forum: Estimation
Topic: Pooled Mean Group Estimator-Manually
Replies: 0
Views: 1068

Pooled Mean Group Estimator-Manually

Dear all Doest any one here can help me how can I perform a PMG of Pesaran, manually? as It is a panel ARDL estimation, suppose that I estimataed the ARDL models and I obtained the long run level relationships for each cross section individualy, would you guide me how to convert them to PMG estimati...
by econworker
Tue May 05, 2015 3:49 am
Forum: Estimation
Topic: How to do ardl using eviews?
Replies: 9
Views: 4160

Re: How to do ardl using eviews?

Dear Hossein, many thanks for sharing the codes of panel ARDL, however, I am interested to know that is this the same method of PMG estimator which is proposed by Pesaran et al (1997)? Thanks in advance NO, maybe dfe All parameters, except intercepts, are constrained to be equal across panels Thank...
by econworker
Mon Apr 27, 2015 7:57 am
Forum: Estimation
Topic: How to do ardl using eviews?
Replies: 9
Views: 4160

Re: How to do ardl using eviews?

Dear Hossein, many thanks for sharing the codes of panel ARDL, however, I am interested to know that is this the same method of PMG estimator which is proposed by Pesaran et al (1997)?
Thanks in advance


hossein khandani wrote:ARDL PANEL:

Edited by hossein khandani

for:
POOL

fixed effects

Random effects
by econworker
Mon Apr 13, 2015 7:38 am
Forum: Data Manipulation
Topic: how to get monthly correlation coefficient by daily data
Replies: 7
Views: 4036

Re: how to get monthly correlation coefficient by daily data

The movcor command requires a fixed window length. Months do not have a fixed number of days. Correct, months dont have fixed number of days, but then is it possible to generate a monthly roling correlation from weekly data (number of weeks are not fixed), that the correlation values of each week d...
by econworker
Fri Mar 27, 2015 3:20 am
Forum: Data Manipulation
Topic: how to get monthly correlation coefficient by daily data
Replies: 7
Views: 4036

Re: how to get monthly correlation coefficient by daily data

Would I ask what is the difference of this approach with rolling correlation by movecor command?
by econworker
Thu Mar 26, 2015 4:39 am
Forum: Econometric Discussions
Topic: Time varying Co-movement
Replies: 5
Views: 3188

Re: Time varying Co-movement

Yes, cointegration postulates that there is a long-term relationship among the endogenous variables. I think it fits to this setting, but it is your call. You can also consider dynamic factor approach, which would be the most appropriate method for your case, I believe. As for the time varying copu...
by econworker
Mon Mar 23, 2015 1:38 am
Forum: Econometric Discussions
Topic: Time varying Co-movement
Replies: 5
Views: 3188

Re: Time varying Co-movement

Definition of co-movement depends on the context, so it affects the choice of appropriate method. As far as I understand, you are working with the return series of financial assets. Then the time-varying copula approach would be fine. As for other types of data, cointegration, common trend or time-...
by econworker
Fri Mar 20, 2015 2:44 am
Forum: Econometric Discussions
Topic: Time varying Co-movement
Replies: 5
Views: 3188

Time varying Co-movement

Hi Dear Users I'm not sure if my question is related to this forum or not, but I would be grateful if someone reply me! I am looking for an Econometric method to estimate the time varying co-movement between the series. What I need is not DCC-GARCH class of models, because they deal with conditional...
by econworker
Wed Mar 11, 2015 7:36 am
Forum: Data Manipulation
Topic: Request for help with "4 weeks ending" data
Replies: 6
Views: 3112

Re: Request for help with "4 weeks ending" data

Hi, my problem is opposite with this...I have 5 days a week daily data and I want to convert it to weekly data Friday to Friday, however what Eviews do is to end it Monday to Monday for 5 days a week and Wednesday to Wednesday for 7 days a week data. Is there any solution that I can manage to conver...
by econworker
Mon Mar 09, 2015 8:04 am
Forum: Bug Reports
Topic: GARCH forecasting
Replies: 19
Views: 16192

Re: GARCH forecasting

If you select "dynamic forecast", then it becomes an out-of-sample regardless of the period of your choice. It treats the specified period as unknown even if it has observations in it. If you select "static forecast" then the forecasted values will be identical to those of full ...

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