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Suppose I am regressing one variable on 5 other variables. I expect breaks to occur in the slopes of the 5 variables but at different dates - and I am interested in the dates at which the breaks occur. The Bai-Perron sequental L+1vsL test can do this by including all 5 regressors. However, I can no ...

I see that the estimation command is: Y= @BEFORE("8/11/2008")*C(1)*X1(-1) + @AFTER("8/11/2008")*C(2)*X1(-1) + C(3) + C(4)*X2(-1) + C(5)*X3(-1) + C(6)*X4(-1) + C(7)*X5(-1) + C(8)*X6(-1) + C(9)*Y(-1) This suggests that the b2 is the effect in the second period rather than the effec...

When I run regressions with Bai-Perron global breaks, I get, for instance, two coefficients for a variable if there is one break. The coefficient in the second period is the value on top of the coefficient in the 1st period (as it would be if we just multiplied the variable by a dummy) or is it the ...

Hi. I have the following code which works fine until !h=20 (the results match those of my matlab code). The problem is that for country_20, the first x>>252 observations are NaN, therefore the regression cannot be run and the loop breaks down. How can I apply this so that the first observation is th...

Hi Justin, I understood that you are trying to explain the return(R_t) not the price (p_t). You can manually multiply 0.02 by 100. But more convenient way to do this is to define R_t = (ln(p_t)-ln(p_{t-1}))*100 before the estimation of VAR model . Interpretation: a one unit sd shock leads to a 100 ...

Hi Dakila. I am not confident I understood what you meant by defining a new variable. In this case, I have all the variables as log(pt/p_{t-1}) or approximately pt/p_{t-1}-1. In this case, how would you interpret an impulse response of 0.02, for instance? Are you saying that you would read it as a o...

I have several time series of prices. I compute the returns as the difference in the logarithm of prices, eg: R_t = ln(p_t)-ln(p_{t-1}). I then regress returns on its lags and on monthly dummies and get the absolute value of the residuals, which are interpreted as volatilities. I do this for many ti...

Just one question. In the plots of IRFs, the lines start at 1. I suppose that 1 is the contemporaneous effect. Does that mean that the response associated with abcissa 2 is the 1-period response and the response associated with abcissa t is the t+1-period response?

best

justin

Dear all Could you please let me know whether I am doing this right please? I am basically trying to do one-period ahead forecasts with a rolling window that must be stored in the series t_forecast_ar. The estimation window is the first 456 periods, in a total of 600 periods. My question is whether ...

Dear all I want to run a stepwise least squares regression (unidirectional backwards). This seems straightforward in EVIEWS. Just select equation, method: STEPS, fill in your variables and adjust the options. Problem: I have 250+ variables. I want to regress one variable on its first two lags and on...

Dear all I want to run a VAR-X in which each endogenous variable is regressed on the lags of endogenous variables of the system and on those same regressors multiplied by a dummy that is one for t larger than a certain period and 0 otherwise. My question is whether: 1) is it more appropriate to run ...

Thank you so much Gareth!

One more question: how can one generate power curves for both types of tests? I've been googling and reading the manuals under Help but I am not getting far!

Thanks in advance,

JM

Hi there! I just started using eviews and I have a query. I want to perfom a chow breakpoint and a chow forecast test for each one of a series of iterations using the last 100 observations as a prediction set. wfcreate (wf=chow) u 350 !constant=0 !beta=13 series x=@rnorm series eps=@rnorm series y=!...