Search found 28 matches
- Sun Jun 03, 2018 6:05 am
- Forum: Econometric Discussions
- Topic: How to determine Engle-Granger Cointegration?
- Replies: 0
- Views: 3011
How to determine Engle-Granger Cointegration?
Dear I have to get kind comments and information again. I ran an E-G cointegration and got these results. --------------------------------------------------------------------------------------------------------- Null hypothesis: Series are not cointegrated Cointegrating equation deterministics: C @T...
- Sun Jun 03, 2018 5:48 am
- Forum: Estimation
- Topic: ARMA(2,2) - GARCH-M estimation
- Replies: 3
- Views: 3633
Re: ARMA(2,2) - GARCH-M estimation
Thank you, Starz,
I found that a stock returns could be fitted by ARMA model and determined.
By the way, what is C vector, do you mean covariance vector?
Could you kindly introduce me how to change C-vector?
Thank you very much!
HIS
I found that a stock returns could be fitted by ARMA model and determined.
By the way, what is C vector, do you mean covariance vector?
Could you kindly introduce me how to change C-vector?
Thank you very much!
HIS
- Sat Jun 02, 2018 5:03 am
- Forum: Estimation
- Topic: ARMA(2,2) - GARCH-M estimation
- Replies: 3
- Views: 3633
ARMA(2,2) - GARCH-M estimation
Dear I am using version 10 of Eviews. I used GARCH-M estiamtion method and tried to estimate the volatilty model of stock returns. But I got this kind of error messages. Could you kindly le tme know what happens in the covariance? The main equation for stock returns is ARMA (2,2) with constant. And ...
- Fri May 04, 2018 5:38 pm
- Forum: Estimation
- Topic: How to make forecast after ARMA estimation?
- Replies: 7
- Views: 5501
Re: How to make forecast after ARMA estimation?
Thank you Gareth. I thought that that was my problem. How can I make the exogenous data for the extended period using the estimated results is the next thing to do. Well, I have no good data to replace. Could you have some alternative suggestion for this case? What do people usually follow in order ...
- Fri May 04, 2018 3:27 am
- Forum: Estimation
- Topic: How to make forecast after ARMA estimation?
- Replies: 7
- Views: 5501
Re: How to make forecast after ARMA estimation?
Dear Gareth,
Could you check out wf1 attached?
Thank you.
HIS
Could you check out wf1 attached?
Thank you.
HIS
- Fri May 04, 2018 3:21 am
- Forum: Estimation
- Topic: How to make forecast after ARMA estimation?
- Replies: 7
- Views: 5501
Re: How to make forecast after ARMA estimation?
Thank you for your kind reply. I tired to revise the sample period covering out of the sample. Then, I could get the graph for the extended period. But my problem is that the prediction for the extended period was not changing at all. I simply extended the period without doing anything and any new d...
- Wed May 02, 2018 12:43 am
- Forum: Estimation
- Topic: How to make forecast after ARMA estimation?
- Replies: 7
- Views: 5501
Re: How to make forecast after ARMA estimation?
Dear Gareth, Thank you very much for your kind reply. I got his kind of error message: Error in Sample: Attempt to set sample outside of workfile range. Structure/Resize (from \WORKFILE\PROC menu) can expand the workfile range. Actually, I tried to find the function of expand but nothing found. Coul...
- Fri Apr 27, 2018 4:58 am
- Forum: Econometric Discussions
- Topic: does impulse response function always converge to zeros
- Replies: 0
- Views: 2551
does impulse response function always converge to zeros
Deal I am using eviews 10 version. My questions is about the impulse response function after cointegration estimation. I found one cointegration vector and ran VECM model and tried to estimate impulse response function. I expected that impulse response function under the case of cointegration would ...
- Fri Apr 27, 2018 4:44 am
- Forum: Estimation
- Topic: How to make forecast after ARMA estimation?
- Replies: 7
- Views: 5501
How to make forecast after ARMA estimation?
Dear Folks, I am using eviews 10 version. I have tried to estimate the forecast after ARMA model estimation. My question is how to get the forecast estimation out of sample period, which will be a kind of real future forecast. But eviews told that forecast is not possible out of the sample period. F...
- Wed Apr 25, 2018 3:30 am
- Forum: Econometric Discussions
- Topic: is this right process to get the granger causality and impulse response after the Johansen cointegration?
- Replies: 0
- Views: 2311
is this right process to get the granger causality and impulse response after the Johansen cointegration?
Dear Folks, This is a quite a long process to estimate the granger causality and impuse response after the Johansen cointegration results. My questions is this one; When we found one cointegrating relation between the data group, the next step is to keeping the cointegrating relation and produce the...
- Tue Apr 24, 2018 11:25 pm
- Forum: Programming
- Topic: how to calculaute p-value for durbin watson statistics?
- Replies: 4
- Views: 4887
Re: how to calculaute p-value for durbin watson statistics?
Thank you very much for your kind information.
I will look up to stata information and come back here again if I would have furthermore questions.
Have a nice day!
HIS
I will look up to stata information and come back here again if I would have furthermore questions.
Have a nice day!
HIS
- Tue Apr 24, 2018 11:24 pm
- Forum: Programming
- Topic: how to make a program to produce a OLS coeffients by using matrix calculation?
- Replies: 2
- Views: 2694
Re: how to make a program to produce a OLS coeffients by using matrix calculation?
Thank you very much for your kind answer! I did following program as you mentioned and it worked nicely. series x0=log(sandp) group x1 c x0 stom(x1, x2) vector y = log(ford) vector b = @inverse(@transpose(x2)*x2)*@transpose(x2)*y show b series y1=log(ford) ls y1 c x0 By the way, I still have more qu...
- Tue Apr 24, 2018 4:13 am
- Forum: Programming
- Topic: how to make a program to produce a OLS coeffients by using matrix calculation?
- Replies: 2
- Views: 2694
how to make a program to produce a OLS coeffients by using matrix calculation?
Dear Folks, I've been trying to make a simple program to run a matrix form of OLS by using eviews. My problem is so simple but can't find answer by myself. That is, let's suppose there are a simple equation as below; y = c + b*x + u so, I have a data of x (small x - independent variable) now and try...
- Mon Apr 23, 2018 6:59 pm
- Forum: Programming
- Topic: how to calculaute p-value for durbin watson statistics?
- Replies: 4
- Views: 4887
Re: how to calculaute p-value for durbin watson statistics?
Thank you for your reply.
Well, stata provides a command to get a p-value of DW statistic.
The table for Dw is given and i guess eviews can also provide p-value.
HIS
Well, stata provides a command to get a p-value of DW statistic.
The table for Dw is given and i guess eviews can also provide p-value.
HIS
- Mon Apr 23, 2018 12:26 am
- Forum: Programming
- Topic: how to calculaute p-value for durbin watson statistics?
- Replies: 4
- Views: 4887
how to calculaute p-value for durbin watson statistics?
Could anybody know how to calculate p-value for durbin watson statistics?
I 've been always wondering why eviews does not produce p-value for durbin watson statistic.
HIS
I 've been always wondering why eviews does not produce p-value for durbin watson statistic.
HIS