Search found 2653 matches

by EViews Glenn
Sun Feb 07, 2021 6:02 am
Forum: Estimation
Topic: Problem of forecast S.E. for panel data
Replies: 1
Views: 138

Re: Problem of forecast S.E. for panel data

Sorry, there is nothing built-in to compute them.
by EViews Glenn
Wed Feb 03, 2021 1:43 pm
Forum: Estimation
Topic: Understanding the difference between Sspace and R's DLM
Replies: 6
Views: 809

Re: Understanding the difference between Sspace and R's DLM

Yes, what you are doing makes perfect sense. I wasn't quite sure what the "mean_" variables were doing since I hadn't really looked at the original specification, and think I just mushed all of the variables together in my mind. Sorry to worry you.
by EViews Glenn
Tue Feb 02, 2021 12:30 pm
Forum: Estimation
Topic: Understanding the difference between Sspace and R's DLM
Replies: 6
Views: 809

Re: Understanding the difference between Sspace and R's DLM

Took a quick look at the state specs. Just double checking that you did want to extend Diebold and Li by specifying the states as a VAR(2).
by EViews Glenn
Tue Feb 02, 2021 9:07 am
Forum: Estimation
Topic: Standard errors calculation in fixed effects by Eviews
Replies: 2
Views: 196

Re: Standard errors calculation in fixed effects by Eviews

There are many standard errors in panel data models so I'm answering this with respect to the simplest form. The basics apply to the other methods as well. In the usual way of computing fixed effects estimators and the associated standard errors, we orthogonalize all of the data with respect to the ...
by EViews Glenn
Mon Feb 01, 2021 4:43 pm
Forum: Estimation
Topic: Understanding the difference between Sspace and R's DLM
Replies: 6
Views: 809

Re: Understanding the difference between Sspace and R's DLM

Been down a few rabbit holes trying to track this down, but I just noticed that the signal equation specifications in your sspace object don't match the Diebold and Li paper and that they differ from the R specifications. I'm not sure that this is the sole reason for the issues you are seeing, but I...
by EViews Glenn
Sun Dec 06, 2020 4:26 pm
Forum: Estimation
Topic: State space estimation - concentrated diffuse likelihood
Replies: 1
Views: 2126

Re: State space estimation - concentrated diffuse likelihood

No. This is easy to do by hand for a specific case but can be tricky to implement in our general interface. It probably could have been done with a fair amount of effort, but our sense at the time, for better or worse, was that our energy would best be spent elsewhere. But I could certainly be convi...
by EViews Glenn
Tue Nov 10, 2020 7:37 am
Forum: Estimation
Topic: Panel options
Replies: 4
Views: 3916

Re: Panel options

What exactly are you doing when it closes? How did you try to run the test?
by EViews Glenn
Wed Oct 14, 2020 10:22 am
Forum: Estimation
Topic: Estimating state space model for GARCH(1,1)
Replies: 15
Views: 19409

Re: Estimating state space model for GARCH(1,1)

The extended Kalman filter is not supported in EViews.
by EViews Glenn
Fri Oct 09, 2020 10:41 am
Forum: Estimation
Topic: Estimation of unbalanced Panel VAR model?
Replies: 1
Views: 4036

Re: Estimation of unbalanced Panel VAR model?

EViews doesn't do anything special with estimation of a VAR in a panel workfile. We simply take all of the lags and run on the stacked data. So the number of observations in different cross-sections will be different, but from the point of view of the estimator, T = sum_i T_i* where T_i* are the num...
by EViews Glenn
Fri Aug 14, 2020 8:59 am
Forum: Models
Topic: Including Sspace object in a Model object
Replies: 1
Views: 3674

Re: Including Sspace object in a Model object

You are correct that it does not allow for solution of the model without prior specification of the underlying observed states and in that respect it is limiting. In a sense it is akin to embedding an equation object in a model without providing exogenous series. In the event that one does generate ...
by EViews Glenn
Tue Jun 09, 2020 4:34 pm
Forum: Data Manipulation
Topic: Frequency conversion and aggregation of incomplete series except in current year
Replies: 3
Views: 4430

Re: Frequency conversion and aggregation of incomplete series except in current year

Try the "propnas" option which produces NAs for partially observed periods.
by EViews Glenn
Tue Jun 09, 2020 3:15 pm
Forum: Data Manipulation
Topic: problems with @during with hourly frequency
Replies: 6
Views: 5166

Re: problems with @during with hourly frequency

A fix has been posted.
by EViews Glenn
Fri Jun 05, 2020 11:46 am
Forum: Estimation
Topic: CSD test (pesaran 2007)
Replies: 4
Views: 5577

Re: CSD test (pesaran 2007)

Sorry I missed seeing this question.

The CSD test is available on a series in a panel workfile. Simply open the series, select View/Cross-section Dependence Test.
by EViews Glenn
Fri Jun 05, 2020 10:44 am
Forum: Estimation
Topic: URGENT: How to estimate Predicted Probabilities in Logit Regression?
Replies: 1
Views: 2458

Re: URGENT: How to estimate Predicted Probabilities in Logit Regression?

If you forecast without the "i" option, you'll get the predicted probabilities.
by EViews Glenn
Fri Jun 05, 2020 10:31 am
Forum: Data Manipulation
Topic: Eviews 9 clustered standard errors
Replies: 7
Views: 5862

Re: Eviews 9 clustered standard errors

White period allows for intra cross-section (between period) correlation. White cross-section allows for intra period (between cross-section) correlation.

Go to advanced search