Search found 2623 matches

by EViews Glenn
Mon Jan 13, 2020 10:12 am
Forum: Estimation
Topic: Confidence Intervals for Quantile Regression
Replies: 1
Views: 84

Re: Confidence Intervals for Quantile Regression

We are forming symmetric CIs under the assumption of asymptotic normality, even in the case of bootstrapping, as the latter is for the coefficient covariance and not for the coefficient distribution.
by EViews Glenn
Mon Dec 16, 2019 12:06 pm
Forum: General Information and Tips and Tricks
Topic: Question about ARMA forecasting
Replies: 2
Views: 260

Re: Question about ARMA forecasting

Funny, I'm not seeing that behavior. Estimation from 1953 to 2018 gives estimates with 789 observations for ARMA-ML. Dynamic forecasting for 2019 gives values starting at -1.04 and ascending gradually to -0.55 As to the behavior that you reported... I'm not saying that this is what happened, but not...
by EViews Glenn
Wed Oct 30, 2019 11:54 am
Forum: Data Manipulation
Topic: Sort panel data
Replies: 3
Views: 654

Re: Sort panel data

It should work. Can you give us a bit more detail on precisely what you are doing, what you expect, and what you are seeing.

Thanks.
by EViews Glenn
Wed Oct 30, 2019 11:36 am
Forum: Data Manipulation
Topic: Confidence ellipse / eigenvectors
Replies: 1
Views: 848

Re: Confidence ellipse / eigenvectors

Two parts to the question. First, you can add a confidence ellipse as a layer to the scatterplot. From the interface, click on the graph, and select the desired confidence ellipse in the Fit Line combo. In command form group grp1 x y grp1.scat cellipse There are options for the computation of the el...
by EViews Glenn
Wed Oct 30, 2019 11:31 am
Forum: Estimation
Topic: Imposing parameter restrictions on state sapce models
Replies: 2
Views: 1047

Re: Imposing parameter restrictions on state sapce models

You can reparameterize using the @logistic or other such transformation. Simply replace the current parameter, say C(5), with @logit(C(5)). EViews will estimate the deep unrestricted parameter, while the model sees the restricted value.
by EViews Glenn
Wed Oct 30, 2019 11:28 am
Forum: Estimation
Topic: Markov Switching Regression
Replies: 5
Views: 780

Re: Markov Switching Regression

Unfortunately, computing forecast standard errors for MS switching is extremely difficult and not currently supported. Support will almost certainly have to be using simulation methods, which are likely to be computationally intensive. I'll put this on the list of things to consider for future devel...
by EViews Glenn
Thu Oct 17, 2019 8:45 am
Forum: Estimation
Topic: Markov Switching Regression
Replies: 5
Views: 780

Re: Markov Switching Regression

I'm don't understand the request.
by EViews Glenn
Thu Sep 19, 2019 9:12 am
Forum: Bug Reports
Topic: switchreg small thing
Replies: 1
Views: 1015

Re: switchreg small thing

Sorry to take so long. Missed seeing this one.

It will be fixed in the next patch.
by EViews Glenn
Thu Sep 19, 2019 8:26 am
Forum: Estimation
Topic: Multiple Breakpoint Test with ARMA
Replies: 1
Views: 501

Re: Multiple Breakpoint Test with ARMA

Not built-in. The nonlinear nature of the estimators makes this difficult.
by EViews Glenn
Thu Sep 19, 2019 8:25 am
Forum: Estimation
Topic: Funny state switching
Replies: 3
Views: 674

Re: Funny state switching

Have to think about this. Can you send me the workfile?
by EViews Glenn
Thu Sep 19, 2019 8:23 am
Forum: Estimation
Topic: Structural Break in the Variance/Covariance Matrix State Space
Replies: 3
Views: 597

Re: Structural Break in the Variance/Covariance Matrix State Space

Looking at the variance specs only, it looks okay to me.
by EViews Glenn
Tue Sep 17, 2019 5:03 pm
Forum: Estimation
Topic: Markov Switching Regression
Replies: 5
Views: 780

Re: Markov Switching Regression

It's not a built-in feature. Note that the residuals that we compute aren't regime specific but rather an expected value using the regime probabilities. This accords with the notion that you never know what regime you are in. For the computation that you described, you'd have to use the coefficients...
by EViews Glenn
Thu Sep 12, 2019 4:44 pm
Forum: Estimation
Topic: Funny state switching
Replies: 3
Views: 674

Re: Funny state switching

Hard to say. The switching objective is very different from the simple minimum sums-of-squares that you get in the standard case.

What is regime specific in your model?
by EViews Glenn
Thu Sep 12, 2019 12:45 pm
Forum: Estimation
Topic: State Space Covariance
Replies: 4
Views: 690

Re: State Space Covariance

My 2 minute look at the De Jong and Mackinnon (1988) paper suggests that if the above is indeed what you want, you can get it by saving the one-step ahead and filtered state covariances and doing a recursion. This is based on a quick look so I may be wrong, but it looks as though it's possible from ...
by EViews Glenn
Thu Sep 12, 2019 12:23 pm
Forum: Estimation
Topic: State Space Covariance
Replies: 4
Views: 690

Re: State Space Covariance

The former.

Do you want cov(state(t|T), state(T|T))?

I haven't looked at this in a while, but off the top of my head, I can't think of an easy way to get that one from what we provide you. I'll have to take a look at the papers again.

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