Search found 18 matches

by Amaziah
Fri Feb 17, 2017 9:04 am
Forum: Econometric Discussions
Topic: Decomposing the Trend Cycle from Unstructured Data
Replies: 1
Views: 1070

Decomposing the Trend Cycle from Unstructured Data

I would like to obtain the trend-cycle component of my time series after seasonally adjusting it. Any suggestions are welcome. The data begin at January 1998 and are observed every other month to January 2017. I seasonally adjusted the data using dummy variables, but now would like to analyze the tr...
by Amaziah
Fri Oct 23, 2015 8:36 am
Forum: Estimation
Topic: 2SLS Manual Input vs. Eviews
Replies: 12
Views: 2542

Re: 2SLS Manual Input vs. Eviews

Okay. Thank you very much for all your help and for walking me through this step by step.
by Amaziah
Fri Oct 23, 2015 7:38 am
Forum: Estimation
Topic: 2SLS Manual Input vs. Eviews
Replies: 12
Views: 2542

Re: 2SLS Manual Input vs. Eviews

startz wrote:Doing the two stages manually requires a correction to the standard errors.


How can I correct the standard errors?

Since the Eviews 2SLS estimation results are poor, this would suggest that X^ is a noisy predictor of X?
by Amaziah
Fri Oct 23, 2015 7:27 am
Forum: Estimation
Topic: 2SLS Manual Input vs. Eviews
Replies: 12
Views: 2542

Re: 2SLS Manual Input vs. Eviews

startz wrote:Which results are different?


The standard errors, and therefore t-Statistics, and the summary statistics differ.
by Amaziah
Fri Oct 23, 2015 7:15 am
Forum: Estimation
Topic: 2SLS Manual Input vs. Eviews
Replies: 12
Views: 2542

Re: 2SLS Manual Input vs. Eviews

1. What is the discrepancy you are seeing? For example, when I use the preprogrammed 2SLS on Eviews I get the following results, which are much different than the ones I just posted. Eviews Estimation.png 2. The link you posted says to use the fitted values. It says that X=X^+v^. And then says to s...
by Amaziah
Fri Oct 23, 2015 6:38 am
Forum: Estimation
Topic: 2SLS Manual Input vs. Eviews
Replies: 12
Views: 2542

Re: 2SLS Manual Input vs. Eviews

No. You are referring to including the residuals and the fitted values of the endoeneous variable? I got that from pages 6 and 7 from following source: http://www.nyu.edu/classes/nagler/quant2/notes/2slsnotes_oh.pdf. Is this methodology incorrect or just different? But below are the results only us...
by Amaziah
Thu Oct 22, 2015 9:26 pm
Forum: Estimation
Topic: 2SLS Manual Input vs. Eviews
Replies: 12
Views: 2542

Re: 2SLS Manual Input vs. Eviews

Thank you. I want to include both the residuals and fitted value of the possible endogenous variable correct? I generated the fitted values by forecasting the historical observations (phat). I estimated the following: ls att c expand rex (phat+pfit) rinc pop ur win oppwin hwin prev rank temp precip ...
by Amaziah
Thu Oct 22, 2015 8:12 pm
Forum: Estimation
Topic: 2SLS Manual Input vs. Eviews
Replies: 12
Views: 2542

2SLS Manual Input vs. Eviews

I am trying to test for simultaneity by estimating a 2SLS instrumental variable procedure. I estimated the two steps manually and then compared them to the Eviews preprogrammed 2SLS estimation and got extremely different results. I am obviously making a mistake in one, if not both, of the procedures...
by Amaziah
Wed Oct 21, 2015 11:40 am
Forum: Econometric Discussions
Topic: Linear Detrend
Replies: 3
Views: 2170

Re: Linear Detrend

Okay. Now the residuals that are obtained are considered the detrended series?
by Amaziah
Wed Oct 21, 2015 7:07 am
Forum: Econometric Discussions
Topic: Linear Detrend
Replies: 3
Views: 2170

Linear Detrend

I am have some questions about how to detrend a series with a deterministic trend and how to apply it in Eviews. Can someone check if my process is correct? Let's say I want to regress a variable Y t on a variable X t , but X t exhibits a deterministic trend. To detrend X t , I run a regression on a...
by Amaziah
Fri Apr 24, 2015 4:18 pm
Forum: Estimation
Topic: Coefficient Restrictions
Replies: 11
Views: 2454

Re: Coefficient Restrictions

Okay thanks. I'll look into that.
by Amaziah
Fri Apr 24, 2015 10:13 am
Forum: Estimation
Topic: Coefficient Restrictions
Replies: 11
Views: 2454

Re: Coefficient Restrictions

Okay. I should have been more specific from the beginning because I am proving not skilled enough to apply your solutions into my model. I am trying to restrict a price variable based on the assumption that the own-price elasticity of demand is close to one, adjusted down for the proportion of net r...
by Amaziah
Fri Apr 24, 2015 9:44 am
Forum: Estimation
Topic: Coefficient Restrictions
Replies: 11
Views: 2454

Re: Coefficient Restrictions

Would I estimate the model in the following manner:

ls (y-.5+.5*exp(b1)/(1+exp(b1))) c x2 x3

Is there any way to do this so the a1 (or the translation of a1) will be listed as a independent variable in the results?
by Amaziah
Fri Apr 24, 2015 9:04 am
Forum: Estimation
Topic: Coefficient Restrictions
Replies: 11
Views: 2454

Re: Coefficient Restrictions

Thank you very much. You have been extremely helpful.
by Amaziah
Fri Apr 24, 2015 8:51 am
Forum: Estimation
Topic: Coefficient Restrictions
Replies: 11
Views: 2454

Re: Coefficient Restrictions

Thank you very much. Where could I learn to restrict x1 to a range a values? For example, I want x1 to fall between .5 and 1.

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