## Search found 2656 matches

Wed Apr 07, 2021 8:56 am
Forum: Estimation
Topic: Cox Proportional Hazard Model
Replies: 1
Views: 100

### Re: Cox Proportional Hazard Model

It can be estimated using the likelihood tools, but is not built-in.
There are tools for accelerated failure time regressions that you can estimate using the truncated or censored regression specifications.
Wed Apr 07, 2021 8:52 am
Forum: Estimation
Topic: Markov switching regimes
Replies: 5
Views: 1450

### Re: Markov switching regimes

The sigma are the standard errors of the dependent variable, not of the explanatory variables (e.g., VIX). Not sure if this answers your question.
Tue Mar 16, 2021 10:34 am
Forum: Estimation
Topic: Serial Correlation LM Test N/A in EViews11SV?
Replies: 5
Views: 339

### Re: Serial Correlation LM Test N/A in EViews11SV?

http://www.eviews.com/help/helpintro.ht ... es.html%23

Toward the bottom of the Least Squares section is a Wooldrige example demonstrating a test for serial correlation.
Sun Feb 07, 2021 6:02 am
Forum: Estimation
Topic: Problem of forecast S.E. for panel data
Replies: 1
Views: 282

### 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: 1137

### 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: 1137

### 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: 351

### 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: 1137

### 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: 2279

### 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: 4114

### 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: 19928

### 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: 4169

### 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: 3833

### 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: 4686

### 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: 5347

### Re: problems with @during with hourly frequency

A fix has been posted.