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by EViews Glenn
Mon Sep 27, 2021 8:17 am
Forum: Estimation
Topic: Bivariate Markov Switching Model
Replies: 4
Views: 779

Re: Bivariate Markov Switching Model

I've finished the modifications of the VAR switching code to permit a 0 0 lag specification. This fix will be included in the next patch for EViews 12.
by EViews Glenn
Fri Sep 10, 2021 9:52 am
Forum: Estimation
Topic: Bivariate Markov Switching Model
Replies: 4
Views: 779

Re: Bivariate Markov Switching Model

There is an internal explicit error check which is being triggered which may not be necessary. I am investigating whether this may safely be modified.

[edit: to temper expectations, this may take a bit of time...]
by EViews Glenn
Fri Sep 10, 2021 8:30 am
Forum: Estimation
Topic: Fully Modified GMM
Replies: 3
Views: 1946

Re: Fully Modified GMM

Unfortunately, no.
by EViews Glenn
Fri Sep 03, 2021 1:23 pm
Forum: Estimation
Topic: Logit estimation with Panel data
Replies: 9
Views: 1087

Re: Logit estimation with Panel data

GLM may be estimated but it doesn't use the panel structure. In your case, that's not an issue since you are handling the dummy variables yourself.

You are correct that GLM in a panel setting won't have the ability to handle cross-section dependence.
by EViews Glenn
Wed Sep 01, 2021 10:13 am
Forum: Estimation
Topic: Logit estimation with Panel data
Replies: 9
Views: 1087

Re: Logit estimation with Panel data

Sounds right. Though I think you might want to look at using GLM for this specification.
by EViews Glenn
Wed Sep 01, 2021 10:11 am
Forum: Estimation
Topic: Logit estimation with Panel data
Replies: 9
Views: 1087

Re: Logit estimation with Panel data

Sounds right.
by EViews Glenn
Fri Aug 27, 2021 5:45 pm
Forum: Estimation
Topic: Why the Sspace model estimation is so volatile?
Replies: 3
Views: 698

Re: Why the Sspace model estimation is so volatile?

The estimated sspace object is singular at the final values. I didn't delve too much into the specification, I don't think that your EMPG equation temporal disaggregation is working well.
by EViews Glenn
Fri Aug 27, 2021 2:33 pm
Forum: Data Manipulation
Topic: Workfile structure for unbalanced panel data
Replies: 4
Views: 1084

Re: Workfile structure for unbalanced panel data

You'll want to provide the date series too.
by EViews Glenn
Fri Aug 27, 2021 2:28 pm
Forum: Estimation
Topic: Logit estimation with Panel data
Replies: 9
Views: 1087

Re: Logit estimation with Panel data

Anything nonlinear like this will require dummy variables, not demeaning. You don't have many and a reasonable T, I would just add them to the spec.
by EViews Glenn
Fri Aug 27, 2021 10:09 am
Forum: Estimation
Topic: Logit estimation with Panel data
Replies: 9
Views: 1087

Re: Logit estimation with Panel data

Binary estimation in a panel structured workfile is just pooled estimation obtained by stacking all of the cross-sections and performing the estimation. I am not sure of the rationale for transforming to a binary logit model. Unless you believe there is recording error, this would appear to throw aw...
by EViews Glenn
Tue Aug 24, 2021 9:55 pm
Forum: Estimation
Topic: Why the Sspace model estimation is so volatile?
Replies: 3
Views: 698

Re: Why the Sspace model estimation is so volatile?

It is impossible to answer this question with the information provided. A workfile with estimated objects would help.
by EViews Glenn
Wed Aug 18, 2021 5:46 pm
Forum: Estimation
Topic: VAR Impulse Response Function and exogenous variables
Replies: 3
Views: 3738

Re: VAR Impulse Response Function and exogenous variables

Rob, I *believe* that there was some misunderstanding around Gareth's suggestion (not positive that I am understanding the discussion correctly, but at least that's my sense). Let me see if I can clarify with respect to IRFs and what you appear to want. In general, from the point-of-view of impulse ...
by EViews Glenn
Tue Jul 20, 2021 8:27 am
Forum: Estimation
Topic: How to put dummies in Cointegration space?
Replies: 1
Views: 624

Re: How to put dummies in Cointegration space?

Unfortunately, at the moment those types of exogenous variables are not permitted. This is an active area of work and we hope to have something soon, but I'm sorry that we can't support you at the moment. Please let us know if you have additional features you would like.
by EViews Glenn
Fri Apr 30, 2021 11:54 am
Forum: Suggestions and Requests
Topic: Wavelet Transform
Replies: 13
Views: 20333

Re: Wavelet Transform

In case anyone is coming on this thread now or in the future, note that EViews 12 has built-in wavelet tools.
by EViews Glenn
Fri Apr 30, 2021 10:00 am
Forum: Estimation
Topic: Markov switching regimes
Replies: 9
Views: 3929

Re: Markov switching regimes

Still not sure that I understand. What we are computing as residuals and using for residual-based statistics are (as we note in the docs): Of note are the residual-based statistics which employ the expected value of the residuals obtained by taking the sum of the regime specific residuals weighted b...

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