EViews.com

What exactly are you doing when it closes? How did you try to run the test?

The extended Kalman filter is not supported in EViews.

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...

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 ...

Try the "propnas" option which produces NAs for partially observed periods.

A fix has been posted.

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.

If you forecast without the "i" option, you'll get the predicted probabilities.

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

White period is cross section cluster robust.

We will look into this.

[Edit: in the process of testing a fix.]

Perhaps there is, but to be honest I'm still not clear as to what you want to compute.

It helps a bit, but we are still unclear as to what it is you are trying to do.

What do you mean by accounting for the autocorrelation?

Do you wish to model it and compute the correlations of the residuals? Perhaps compute a long run covariance?

What do you wish to do with the results?

The null is that there is no contemporaneous correlation in the residuals between the disturbances in different cross-section units. The alternative is that there is contemporaneous correlation.

http://www.eviews.com/help/helpintro.ht ... 23ww191025

I've looked in depth at the EViews code and believe that there are no issues (but can be convinced otherwise). I haven't gone through the paper you reference carefully, but the asymptotic analytic standard errors for the Generalized impulses follow directly from the results for the Cholesky standard...