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by EViews Glenn
Fri May 25, 2018 4:47 pm
Forum: Bug Reports
Topic: Cointegration Test gives wrong P-Value
Replies: 2
Views: 61

Re: Cointegration Test gives wrong P-Value

We've identified the issue. In the MacKinnon algorithm for the response surface, we have found that there are potential issues with the polynomial approximation to the response surface for extreme values. In this case, the statistic value is so out of bounds that the existing algorithm approximation...
by EViews Glenn
Fri May 25, 2018 4:40 pm
Forum: Estimation
Topic: State space restrictions over the values of the state variable
Replies: 1
Views: 47

Re: State space restrictions over the values of the state variable

I can't see an easy way to do that since we need linearity in the states.
by EViews Glenn
Fri May 25, 2018 4:38 pm
Forum: Estimation
Topic: initial conditions in SSPACE
Replies: 1
Views: 24

Re: initial conditions in SSPACE

You can just set the values of the C vector outside of the object.
by EViews Glenn
Thu May 24, 2018 10:51 am
Forum: Bug Reports
Topic: Unit Root test with structural break
Replies: 3
Views: 333

Re: Unit Root test with structural break

Sorry, the option was not documented. If you go into the dialog and run it with the additive outlier and look at the command capture, you'll see that the option is "type=ao", as in

Code: Select all

dyuk.buroot(type=ao)

Sorry for the inconvenience.
by EViews Glenn
Mon May 21, 2018 10:47 am
Forum: Estimation
Topic: Ordered Logit Issue
Replies: 6
Views: 162

Re: Ordered Logit Issue

The 99% was a generic comment, not specific to your data (which I haven't seen). What I'd recommend is that you make a model from your equation and solve for the fitted probabilities and examine them. I do note that your 0 category is the least frequent, and though you most certainly have fitted pro...
by EViews Glenn
Tue May 15, 2018 9:37 am
Forum: Bug Reports
Topic: Cointegration Test gives wrong P-Value
Replies: 2
Views: 61

Re: Cointegration Test gives wrong P-Value

Thanks. We will take a look.
by EViews Glenn
Thu May 10, 2018 5:17 pm
Forum: Estimation
Topic: Ordered Logit Issue
Replies: 6
Views: 162

Re: Ordered Logit Issue

The model is what it is. If you have a better model, then you can use it instead. Adding explanatory variables may help, but that may lead to overfitting. And in a case where 99% of observations have the same response, there is not much that one case do. You may want to generate the individual respo...
by EViews Glenn
Thu May 10, 2018 2:15 pm
Forum: Estimation
Topic: Ordered Logit Issue
Replies: 6
Views: 162

Re: Ordered Logit Issue

In this type of model it is certainly possible that the highest predicted probability never matches the actual realization. This problem becomes more acute the greater number of possible outcomes in the speicfication. In this case, the highest fitted probability is always for the dep=1 category, und...
by EViews Glenn
Fri Apr 27, 2018 5:14 pm
Forum: Estimation
Topic: Clustered Standard Errors
Replies: 16
Views: 526

Re: Clustered Standard Errors

Bear in mind that the large sample properties of clustering-by-cross-section rely on lots of cross-sections, and the opposite for cluster-by-period. So your performance in allowing for between period correlation (clustering by cross-section) will be much better than in the other dimension. Intuitive...
by EViews Glenn
Fri Apr 27, 2018 9:47 am
Forum: Estimation
Topic: Error Message in Hausman Test: Insufficient number of common coefficients to test
Replies: 3
Views: 120

Re: Error Message in Hausman Test: Insufficient number of common coefficients to test

I can't say without seeing the data. You are welcome to post the data here.

All that I know is that we check the effective number of observations in the fixed effects estimator. Again, my guess is that you have variables that are non-time varying.
by EViews Glenn
Fri Apr 27, 2018 9:29 am
Forum: Estimation
Topic: Clustered Standard Errors
Replies: 16
Views: 526

Re: Clustered Standard Errors

In a general clustering framework it is possible for there to be multiple observations in the crossed dimension. In the panel framework we disallow this, but I wanted to make certain that I understood your data. On the one-way covariance estimators, the naming convention is the opposite of what you ...
by EViews Glenn
Tue Apr 24, 2018 5:20 pm
Forum: Estimation
Topic: Clustered Standard Errors
Replies: 16
Views: 526

Re: Clustered Standard Errors

It looks as though you have a single observation per period/cross-section. It also sounds as though you want to use the fixed effects tools. If you didn't need those, I would say that unstructuring the workfile and just estimating using the standard equation clustered standard errors would be the ea...
by EViews Glenn
Tue Apr 24, 2018 5:03 pm
Forum: Estimation
Topic: Error Message in Hausman Test: Insufficient number of common coefficients to test
Replies: 3
Views: 120

Re: Error Message in Hausman Test: Insufficient number of common coefficients to test

Sounds as though you don't have enough data. In particular, the error probably suggests that estimating the fixed effects model requires dropping regressors to account for singularities (i.e., there are non-time varying regressors).
by EViews Glenn
Tue Apr 17, 2018 5:19 pm
Forum: Estimation
Topic: Clustered Standard Errors
Replies: 16
Views: 526

Re: Clustered Standard Errors

So there are multiple periods per firm-year? Have you already structured your workfile as a panel? Did EViews create a new sub-index?

For purposes of estimation, what panel features are you using? Lags, individual or period effects?
by EViews Glenn
Thu Apr 12, 2018 11:16 am
Forum: Estimation
Topic: Clustered Standard Errors
Replies: 16
Views: 526

Re: Clustered Standard Errors

The panel estimators have built-in tools which allow for clustering by cross-section or by period, but not by both. So you can cluster by firm, and you can cluster by year, but not by firm-year. The non-panel estimators were recently updated to allow for arbitrary clustering. I am pretty sure that t...

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