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by EViews Glenn
Tue Apr 24, 2018 5:20 pm
Forum: Estimation
Topic: Clustered Standard Errors
Replies: 13
Views: 358

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: 2
Views: 51

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: 13
Views: 358

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: 13
Views: 358

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...
by EViews Glenn
Mon Mar 12, 2018 2:48 pm
Forum: Estimation
Topic: Markov switching TVTP result
Replies: 3
Views: 181

Re: Markov switching TVTP result

They are the parameters for the logistic transform.

See the manual for discussion.
by EViews Glenn
Tue Mar 06, 2018 6:49 pm
Forum: Bug Reports
Topic: blewey
Replies: 8
Views: 380

Re: blewey

Do you get a "Delete Untitled VAR" prompt? What is your "Global Option/Environment/Allow only one untitled" setting? (Still can't replicate).
by EViews Glenn
Tue Mar 06, 2018 5:50 pm
Forum: Bug Reports
Topic: blewey
Replies: 8
Views: 380

Re: blewey

You are having problem at estimation time? No problem here with "C @trend" and "@trend" alone.

Feb 26 64-bit
by EViews Glenn
Tue Mar 06, 2018 2:19 pm
Forum: Estimation
Topic: State space model with nothing to estimate, "near-singular matrix" error
Replies: 6
Views: 443

Re: State space model with nothing to estimate, "near-singular matrix" error

We use a standard inverse. My guess is that the rank deficiencies are not numeric in the other cases.
by EViews Glenn
Tue Mar 06, 2018 1:55 pm
Forum: Bug Reports
Topic: blewey
Replies: 8
Views: 380

Re: blewey

What's the VAR spec?
by EViews Glenn
Wed Feb 21, 2018 3:25 pm
Forum: Estimation
Topic: MA Backcasting in Eviews vs. Box/Jenkins
Replies: 1
Views: 292

Re: MA Backcasting in Eviews vs. Box/Jenkins

I don't quite understand everything you wrote in your comment (in particular the last couple of sentences) so my apologies if my answer doesn't address all of your issues. That said, I believe that the biggest issue is that you are misreading the discussion of backcasting my our documentation. The ...
by EViews Glenn
Tue Feb 20, 2018 3:38 pm
Forum: General Information and Tips and Tricks
Topic: Optimization Method for Least Squares
Replies: 5
Views: 488

Re: Optimization Method for Least Squares

It's an optimization, but because of the linearity of the specification, there is a closed form solution which does not require iteration. You are welcome to think of that as convergence in the sense that given the preliminary estimate, there is no improvement to be gained by perturbing the coeffici...
by EViews Glenn
Tue Feb 20, 2018 3:35 pm
Forum: Econometric Discussions
Topic: hausman test correlated random effects
Replies: 5
Views: 11347

Re: hausman test correlated random effects

If your estimate of the residual variance is zero, it says that the RE model indicates you don't have individual effects. But that estimate may be problematic if the effects are correlated with regressors. The fixed effects estimator is consistent even if there is correlation so it's a safer, though...
by EViews Glenn
Tue Feb 20, 2018 11:18 am
Forum: Estimation
Topic: State space model with nothing to estimate, "near-singular matrix" error
Replies: 6
Views: 443

Re: State space model with nothing to estimate, "near-singular matrix" error

I'm afraid that I wasn't clear in the earlier post. Our implementation of the kfilter does not use a pinverse.
by EViews Glenn
Fri Feb 09, 2018 4:24 pm
Forum: Estimation
Topic: State space model with nothing to estimate, "near-singular matrix" error
Replies: 6
Views: 443

Re: State space model with nothing to estimate, "near-singular matrix" error

All that estimate does in a model without coefficients is to run the filter to initialize internal values. I haven't thought about the KF in a long time, but my first instinct was that you having to use @pinverse in some case was likely to be related to the issue. A quick check of the internals conf...

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