Search found 39 matches
- Mon Aug 24, 2015 9:42 am
- Forum: Estimation
- Topic: Pooled Mean Group (PMG) Estimation
- Replies: 11
- Views: 15674
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
- Wed Aug 05, 2015 4:51 am
- Forum: Estimation
- Topic: Pooled Mean Group (PMG) Estimation
- Replies: 11
- Views: 15674
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!
- Mon Aug 03, 2015 1:44 am
- Forum: Estimation
- Topic: Pooled Mean Group (PMG) Estimation
- Replies: 11
- Views: 15674
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...
- Thu Jul 09, 2015 4:12 am
- Forum: Estimation
- Topic: dummy variable for panel data
- Replies: 7
- Views: 10596
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...
- Wed Jun 17, 2015 1:46 am
- Forum: Econometric Discussions
- Topic: Scaling data
- Replies: 0
- Views: 2378
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...
- Fri May 22, 2015 3:02 am
- Forum: Estimation
- Topic: Pooled Mean Group Estimator-Manually
- Replies: 0
- Views: 2409
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...
- Tue May 05, 2015 3:49 am
- Forum: Estimation
- Topic: How to do ardl using eviews?
- Replies: 9
- Views: 9499
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...
- Mon Apr 27, 2015 7:57 am
- Forum: Estimation
- Topic: How to do ardl using eviews?
- Replies: 9
- Views: 9499
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
Thanks in advance
hossein khandani wrote:ARDL PANEL:
Edited by hossein khandani
for:
POOL
fixed effects
Random effects
- Mon Apr 13, 2015 7:38 am
- Forum: Data Manipulation
- Topic: how to get monthly correlation coefficient by daily data
- Replies: 7
- Views: 8569
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...
- Fri Mar 27, 2015 3:20 am
- Forum: Data Manipulation
- Topic: how to get monthly correlation coefficient by daily data
- Replies: 7
- Views: 8569
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?
- Thu Mar 26, 2015 4:39 am
- Forum: Econometric Discussions
- Topic: Time varying Co-movement
- Replies: 5
- Views: 7829
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...
- Mon Mar 23, 2015 1:38 am
- Forum: Econometric Discussions
- Topic: Time varying Co-movement
- Replies: 5
- Views: 7829
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-...
- Fri Mar 20, 2015 2:44 am
- Forum: Econometric Discussions
- Topic: Time varying Co-movement
- Replies: 5
- Views: 7829
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...
- Wed Mar 11, 2015 7:36 am
- Forum: Data Manipulation
- Topic: Request for help with "4 weeks ending" data
- Replies: 6
- Views: 6804
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...
- Mon Mar 09, 2015 8:04 am
- Forum: Bug Reports
- Topic: GARCH forecasting
- Replies: 19
- Views: 27059
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 ...