## Search found 2563 matches

Wed Feb 21, 2018 3:25 pm
Forum: Estimation
Topic: MA Backcasting in Eviews vs. Box/Jenkins
Replies: 1
Views: 166

### 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 ...
Tue Feb 20, 2018 3:38 pm
Forum: General Information and Tips and Tricks
Topic: Optimization Method for Least Squares
Replies: 5
Views: 207

### 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...
Tue Feb 20, 2018 3:35 pm
Forum: Econometric Discussions
Topic: hausman test correlated random effects
Replies: 5
Views: 10943

### 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...
Tue Feb 20, 2018 11:18 am
Forum: Estimation
Topic: State space model with nothing to estimate, "near-singular matrix" error
Replies: 5
Views: 247

### 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.
Fri Feb 09, 2018 4:24 pm
Forum: Estimation
Topic: State space model with nothing to estimate, "near-singular matrix" error
Replies: 5
Views: 247

### 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...
Fri Feb 09, 2018 3:54 pm
Forum: Econometric Discussions
Topic: hausman test correlated random effects
Replies: 5
Views: 10943

### Re: hausman test correlated random effects

There's nothing wrong with the estimation, per se. The zero variance statement means that the estimator of the random effects variance is zero. In this case, the RE estimates are the same as OLS. The robust message is saying that you are estimating the coefficients using robust standard errors but t...
Fri Feb 09, 2018 11:08 am
Forum: Econometric Discussions
Topic: GMM System - display first stage estimation
Replies: 1
Views: 64

### Re: GMM System - display first stage estimation

Make a copy of the system, and estimate using 2SLS.
Tue Dec 05, 2017 10:59 am
Forum: Estimation
Topic: Structural Breaks with Confidence Intervals
Replies: 1
Views: 181

### Re: Structural Breaks with Confidence Intervals

We don't currently provide these, but it's on our list of things to consider.
Wed Nov 22, 2017 11:25 am
Forum: EViews 5 and Earlier
Topic: New MicroTSP Workfile
Replies: 1
Views: 853

### Re: New MicroTSP Workfile

Just saw this posting as I don't check this subsection often. From the manual: EViews .DB? Files Early versions of EViews and MicroTSP supported a much more limited set of database operations. Objects could be stored on disk in individual files, with one object per file. Essentially, the disk direct...
Wed Nov 22, 2017 11:05 am
Forum: Estimation
Topic: GMM issue when estimating LR coefficients directly (ECM)
Replies: 6
Views: 405

### Re: GMM issue when estimating LR coefficients directly (ECM)

Though I did not analyze the specification carefully, I did note that you are estimating models that are nonlinear in the coefficients, and that the coefficients of particular interest are quite large. In cases like this where there are singularities, the first thing I do is to try different startin...
Tue Nov 21, 2017 10:36 am
Forum: Estimation
Topic: GMM issue when estimating LR coefficients directly (ECM)
Replies: 6
Views: 405

### Re: GMM issue when estimating LR coefficients directly (ECM)

Can you send the workfile along with enough detail on what you are doing so that we can try to replicate the estimation settings?
Mon Nov 20, 2017 11:01 am
Forum: Estimation
Topic: Threshold AR Models
Replies: 15
Views: 19114

### Re: Threshold AR Models

Mon Nov 20, 2017 10:57 am
Forum: Estimation
Topic: Difference between AR1 and lagged variable coefficients
Replies: 2
Views: 174

### Re: Difference between AR1 and lagged variable coefficients

Further, the default AR estimation method is ML.
Mon Nov 20, 2017 10:56 am
Forum: Estimation
Topic: Censored regression Tobit - Forecast. Error Message
Replies: 1
Views: 185

### Re: Censored regression Tobit - Forecast. Error Message

For what period do you wish to compute the forecast? [Edit: I took a closer look at the equation while waiting for a response to the original question and noticed that the censoring is specified by indicator variable. As noted in the manual, in this case, you cannot compute the forecasts of the cond...
Fri Nov 17, 2017 11:34 am
Forum: Econometric Discussions
Topic: overlapping graphs
Replies: 1
Views: 181

### Re: overlapping graphs

Which Markov switching graph?