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Great, I will.

Looking at the Hamilton filter add-in it seems as if a regression on the four most recent lags is run and direct forecasts are made h periods into the future based in the estimation results in order to get a trend estimate. That is: y_t=c(1)+c(2)*y_{t-1}+c(3)*y_{t-2}+c(4)*y_{t-3}+c(5)*y_{t-4} is est...

That is absolutely true. The critical values depends both on what deterministic components you include and whether you test a simple or joint hypothesis. Tabulations exist for all of them. As long as you know what hypothesis you test, you can find the right critical values. The built-in EViews proce...

when perorming the ADF tests.In the EViews test procedures there are no restrictions placed on the deterministic components of the test regression. Under a) a pure AR model (without deterministic trend components) is specified: y_t=\rho*y_{t-1}+\eps_t. The test performed is on \rho. Under b) and c),...

Hi, I am doing some unit root testing using the KPSS test. When selecting the HAC variance in this test I can select the Bartlett window and set the user specified value of of the bandwidth to 1. This will use the autocovariance at lags zero (i.e. the varaince) and one (the first autocovariance) in ...

Hi.

Have you tried:



If that works you can use:



to execute commands in EViews from Matlab.

/K

Hi. I have a question regarding "Solve Control for Target". Suppose that I have a model with the equations: y1=x1 y2=x2 sum=x1+x2 Suppose that y1 , y2 and sum are endogeneous and that x1 and x2 are exogeneous and take the values 1 and 2 throughout the sample. Also, the series target_zero c...

Perhaps you have too many variables so that you loose all you DoFs?

The easiest way is to estimate the small VAR model and then use the hyper parameters of the Litterman prior to achieve the same in-sample fit (in whatever way it is measured) for the interest rate equation in the larger model.

If you generally use the following formula for the DWH test: TestStat=d' * inv(Est Asy Var [d]) * d where d is the difference between the IV and LS estimators, you can use the following command to extract the components needed: matrix MyOLSBeta=OLS_eq.@coef matrix MyOLSCov=OLS_eq.@coefcov matrix MyI...

Should you expect the same value when you do simulations?

Could you use the mean over the various baselines?

/K

When you run a BVAR, you have to set your priors. This can be done in several ways. The way chosen in your reference is to match an in-sample fit. But you can choose your priors other ways than this. Usually, you transform the variables to a stationary VAR-representation before applying Bayesian est...

In the case when you can construct the series analytically, you can use:

series MySer=(whatever formula)

Otherwise you can approximate it by a loooooong finite sum (provided that the infinite sum converges)

/K

Perhaps logit-type specifications could work:

fraction_i=exp(x_i*beta_i)/exp(sum_i x_i*beta_i)


/K

Is there any convenient (pre-built) way to extract the path part of a string that is returned from uifiledlg? That is, from @uifiledlg(%myFile, "prg", "open") could I extract the path part of %myFile and separate it from the file part? Best, Kristian Edit: The current clunky solu...