## Search found 8 matches

Mon May 23, 2011 5:46 pm
Forum: Estimation
Topic: Computing a Wald Test in a VAR
Replies: 22
Views: 24414

### Re: Computing a Wald Test in a VAR

Is there any way to compute a Wald test where the equal sign is not used, such as c(1)<c(2) ? I have tried this, but it doesnt seem to work.
Thu Feb 04, 2010 7:10 pm
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 134
Views: 254011

### Re: Basic Rolling Regression

Is there anyway to store the R-square and Adjusted R-square values? Is there a command that can be used to replace the @coefs part in the line colplace(coefmat,eq1.@coefs,!j) to store these R-squares of the rolling regressions?
Sat Dec 26, 2009 9:42 pm
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 134
Views: 254011

### Re: Basic Rolling Regression

I would like to generate a rolling regression in a similar manner to this, but instead of storing the coefficients, I would like to store the P-values (Prob.). To do this, I have to change the @coefs part in the line colplace(coefmat,eq1.@coefs,!j), but I am not sure what it should be. I have checke...
Wed Jul 29, 2009 5:59 pm
Forum: Programming
Topic: Rolling forecast GARCH
Replies: 3
Views: 7833

### Re: Rolling forecast GARCH

I am attempting to do a GARCH in the same fasion, but stuck on the code. Can anyone assist please? !window = 200 !step = 1 !length = @obsrange !nrolls = @round((!length-!window)/!step) matrix(1,!nrolls) results !j=0 for !i = 1 to !length-!window+1-!step step !step !j=!j+1 smpl @first+!i-1 @first+!i+...
Wed Jul 29, 2009 11:16 am
Forum: Programming
Topic: Rolling GARCH with forecasting
Replies: 26
Views: 29145

### Re: Rolling GARCH with forecasting

Hi

Therein lies my problem: how do I get the computed GARCH(1,1) estimates into condvari_n? Any suggestions?

Thanks
Wed Jul 29, 2009 10:55 am
Forum: Programming
Topic: Rolling GARCH with forecasting
Replies: 26
Views: 29145

### Re: Rolling GARCH with forecasting

Hi

Thanks for the response. However, doesn't this line put the result into condvari_n? If not how do I go about doing so?

Code: Select all

`results(!i,1)=condvari_n `

Thanks
Wed Jul 29, 2009 10:40 am
Forum: Programming
Topic: Rolling GARCH with forecasting
Replies: 26
Views: 29145

### Re: Rolling GARCH with forecasting

Hi I have modified the code according to your suggestion. At first it seems to work, but there are no results being generated. In this framework, I have a rolling window of 200 points and an overall sample size of 2703. Thus, at the end of the rolling estimation stage, I should end up with 2503 GARC...
Wed Jul 29, 2009 6:34 am
Forum: Programming
Topic: Rolling GARCH with forecasting
Replies: 26
Views: 29145

### Re: Rolling GARCH with forecasting

Hi I am quite new to using Eviews programs and I would like to implement the first code, rolling GARCH (1,1), for my present study. However, when I try to do so, it doesn't quite work. I keep geting an error message: series assigned to scalar in: ''SCALAR CONDVARI_N=VAR'' , and there are of course n...

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