Search found 2653 matches
- 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.
- 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.
- 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).
- 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 ...
- 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...
- 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...
- 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?
- 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.
- 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...
- 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 ...
- 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.
- 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.
- 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.
The CSD test is available on a series in a panel workfile. Simply open the series, select View/Cross-section Dependence Test.
- 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.
- 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.