## Search found 18 matches

Tue Jun 02, 2015 6:31 am
Forum: Programming
Topic: Summing observations per month
Replies: 2
Views: 801

### Re: Summing observations per month

EViews Gareth wrote:

Code: Select all

`series monthsums = @sumsby(y, @datefloor(@date, "mm"))`

Fantastic, just what I needed, thanks a lot! Mon Jun 01, 2015 3:36 am
Forum: Programming
Topic: Summing observations per month
Replies: 2
Views: 801

### Summing observations per month

Hi,

I have a daily dataset, but the number of observations per month differs.

I want to calculate the sum of all observations that belong to a certain month (the result should be that I have one number per month). Is there an easy way to do this in EViews?

Thu May 14, 2015 1:03 am
Forum: Programming
Topic: Forecast GARCH (variance) series
Replies: 2
Views: 1114

### Re: Forecast GARCH (variance) series

You are correct. But resulting garch series should not include negative values. In such cases, you may want to check the estimated model and make sure that diagnostics are fine. Thank you. What kind of diagnostics should I be looking at (p-values seem fine)? (FYI, I have no predictors in my specifi...
Sun May 10, 2015 1:32 am
Forum: Programming
Topic: Forecast GARCH (variance) series
Replies: 2
Views: 1114

### Forecast GARCH (variance) series

Hello, I am trying to forecast the GARCH series from a GARCH equation. The object reference writes the following about this: eq_name.fit(options) yhat [y_se] eq_name.fit(options) yhat [y_se y_var] Following the fit keyword, you should type a name for the forecast series and, optionally, a name for t...
Thu May 07, 2015 3:59 am
Forum: Estimation
Topic: Estimating state space model for GARCH(1,1)
Replies: 13
Views: 6951

### Re: Estimating state space model for GARCH(1,1)

Aha, great, thanks a lot :) ! The variance part you refer to is actually the unobserved state variable and has the same scale as log(rt^2), which is mostly filled with negative values. Return series is defined as the stochastic volatility times the random error (noise). When you log transform, the r...
Tue May 05, 2015 5:40 am
Forum: Estimation
Topic: Estimating state space model for GARCH(1,1)
Replies: 13
Views: 6951

### Re: Estimating state space model for GARCH(1,1)

In the beginning, we log transform the return series so we can express the conditional variance in linear form. Otherwise, it would become nonlinear in states and we would not be able to solve it via linear Kalman filter. When the estimation is done, we need to transform the estimated conditional v...
Mon May 04, 2015 2:11 am
Forum: Estimation
Topic: Estimating state space model for GARCH(1,1)
Replies: 13
Views: 6951

### Re: Estimating state space model for GARCH(1,1)

@trubador Possibly an elementary question, but why exactly do you take the exponent of hts/2 at the end? Why doesn't hts itself already contain the end result?
Fri May 01, 2015 12:46 pm
Forum: Programming
Topic: Plot mixed with lines two bars
Replies: 1
Views: 915

### Plot mixed with lines two bars

Hi,

The 'mixed' with lines options for plotting a group automatically chooses the first series to be plotted as a bar. All other series are automatically plotted as lines. Is it possible to plot the first TWO series as bars instead?

Thu Apr 02, 2015 12:37 am
Forum: Programming
Topic: State space models with other distribution?
Replies: 1
Views: 894

### State space models with other distribution?

Hi all,

I was wondering if it is possible to fit state space models with other distributions in EViews. Can anyone please tell me if this is possible, and if so, how?

Wed Mar 18, 2015 6:15 am
Forum: Programming
Topic: State space model convergence
Replies: 5
Views: 2668

### Re: State space model convergence

Thank you and I apologize for the late reply. Recursive least squares shows evidence for time-varying coefficients, so that is why I am considering this model. I have decided for now to focus on the same model but then with just one regressor, i.e. @signal y = beta0 + beta1*x1 + [var = exp(c(2))] @s...
Sun Mar 15, 2015 4:05 am
Forum: Programming
Topic: State space model convergence
Replies: 5
Views: 2668

### Re: State space model convergence

Sat Mar 14, 2015 10:28 am
Forum: Programming
Topic: State space model convergence
Replies: 5
Views: 2668

### State space model convergence

I have a similar problem as the poster here: http://forums.eviews.com/viewtopic.php?f=4&t=4799 That is: I can successfully estimate the coefficients in the state space model but I keep getting a singular covariance matrix. I used ss01.ml(c = 1e-6) to try to obtain convergence but even that doesn...
Sat Jan 24, 2015 3:00 am
Forum: Programming
Topic: Plot two vectors in one graph
Replies: 2
Views: 1354

### Re: Plot two vectors in one graph

EViews Gareth wrote:You'd have to concatenate the two vectors into a matrix, then plot the matrix.

Thanks, that did the trick !
Fri Jan 23, 2015 11:48 am
Forum: Programming
Topic: Plot two vectors in one graph
Replies: 2
Views: 1354

### Plot two vectors in one graph

I want to plot two vectors in the same graph. For the first vector, I use the following code:

Code: Select all

`freeze(mode=overwrite, mygraph) abc.line`

Now how can I plot a second vector (say abc2) in the same graph?