Search found 8 matches
- Mon May 23, 2011 5:46 pm
- Forum: Estimation
- Topic: Computing a Wald Test in a VAR
- Replies: 22
- Views: 38106
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: 3194619
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: 3194619
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: 12351
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: 65781
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
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: 65781
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?
Thanks
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: 65781
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: 65781
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...