Search found 18 matches
- Fri Feb 09, 2018 4:21 am
- Forum: Econometric Discussions
- Topic: Adjustment of the seasonally adjusted series
- Replies: 0
- Views: 1936
Adjustment of the seasonally adjusted series
Hello, my question is simple. I wonder if it is possible to somehow adjust seasonally adjusted series provided that such seasonally adjusted series contains temporarily acting outlier (included in the irregular component of this seasonally adjusted series). If so, would you recommend some technique ...
- Fri Nov 24, 2017 5:48 am
- Forum: Econometric Discussions
- Topic: Chow-lin interpolation technique
- Replies: 0
- Views: 2066
Chow-lin interpolation technique
Hi,
I try to perform Chow-Lin interpolation method in EViews and I wonder whether the time series included in this method need to be stationary (like in the traditional regression model) or not.
Thank you for your help
I try to perform Chow-Lin interpolation method in EViews and I wonder whether the time series included in this method need to be stationary (like in the traditional regression model) or not.
Thank you for your help
- Thu Sep 07, 2017 12:52 am
- Forum: Econometric Discussions
- Topic: Tramo/Seats vs. X12 ARIMA
- Replies: 0
- Views: 2396
Tramo/Seats vs. X12 ARIMA
Hello, I try to seasonally adjust time series of monthly variable by Tramo/Seats. EViews gives me the result of N/A. I understand it that there is no seasonality in the time series. But I tried to apply X12 ARIMA for the same time series and according to the F-test there is no evidence of stable sea...
- Thu Jan 26, 2017 1:44 pm
- Forum: Data Manipulation
- Topic: User holiday series import for TRAMO/SEATS
- Replies: 1
- Views: 2569
User holiday series import for TRAMO/SEATS
Hello, I have retail trade time series and I want to make a seasonal adjustment by TRAMO/SEATS in EViews. The problem is that I need to use "User Holiday Series"to let EViews know when the holidays are held in our country. I would like to ask how the format of these user holiday series sho...
- Wed Jan 25, 2017 12:56 am
- Forum: Econometric Discussions
- Topic: ARDL (automatic selection of lags)
- Replies: 2
- Views: 3049
Re: ARDL (automatic selection of lags)
EViews suggest the model according to the lowest information criterion (Akaike by default) and not by statistical significance of variables. Try to change this criterion to Schwarz which suggests model with lower number of lags.
- Fri Jan 20, 2017 12:12 am
- Forum: Econometric Discussions
- Topic: Difference between AR model and distributed lag model
- Replies: 1
- Views: 6647
Re: Difference between AR model and distributed lag model
I think the difference is caused by the estimation method and this depends on the version of your software. Simple lags y(t-1), y(t-2) are estimated by OLS method but AR(2) is estimated by ML method. ARDL model contains not only lagged dependent variables but also independent variables in level and ...
- Sat Jan 14, 2017 1:13 am
- Forum: Estimation
- Topic: Dynamic factor model with 2 factors and mixed data
- Replies: 1
- Views: 3815
Dynamic factor model with 2 factors and mixed data
Hello, I am beginner in estimation of such a model. I want to estimate dynamic factor model with 2 unobserved factors where I have 1 quarterly variable "hph" (my object is its forecast) and 6 monthly variables (dtr, ipp, idp, sid, spi, tpc). I am a little confused how to specify the model ...
- Sat Jan 07, 2017 11:31 am
- Forum: Econometric Discussions
- Topic: Evaluation of autocorrelation
- Replies: 0
- Views: 2158
Evaluation of autocorrelation
I use ARDL model for my estimation, dependent and independent variables all max. 2 lags. Now I want to check the residuals and perform its diagnostics. When I use Correlogram Q-Statistics for checking autocorrelation, EViews asks me to choose the number of lags to include. What number of lags should...
- Thu Jan 05, 2017 11:18 am
- Forum: Estimation
- Topic: MIDAS regression and constant
- Replies: 2
- Views: 3204
MIDAS regression and constant
Hello, I use MIDAS regression tool in EViews for estimation. I would like to ask if there is any way how to get rid of the constant from the model. I mean the situation when constant is statistically insignificant. When I remove it from the box, EViews won't let me estimate the model and gives me an...
- Thu Jul 21, 2016 11:03 am
- Forum: Econometric Discussions
- Topic: Significance of variables in VAR model and forecasting
- Replies: 1
- Views: 2630
Significance of variables in VAR model and forecasting
Hello, I would like to ask how to solve presence of statistically insignificant variables in VAR model. I constructed VAR(4) model for two variables. Diagnostic control of residuals was satisfying. Nevertheless, there are some statistically insignificant variables in the models. I want to make forec...
- Wed Jul 13, 2016 3:16 am
- Forum: Econometric Discussions
- Topic: Root Mean Square Error in Forecasting
- Replies: 1
- Views: 6160
Root Mean Square Error in Forecasting
Hello, maybe stupid question, but I want to be clear in this: I made VAR model in EViews, where there are some statistically insignificant variables. I ran forecast and I wanted to compute Root Mean Square Error. I tought that RMSE is computed according to model with only statistically significant v...
- Mon Jun 20, 2016 3:56 am
- Forum: Econometric Discussions
- Topic: Stationarity of time series and VAR model
- Replies: 1
- Views: 2829
Stationarity of time series and VAR model
Hello,
I have two variables, one is stationary I(0) and one is non-stationary I(1). Is it possible to make VAR model for these two variables if the non-stationary variable will be differenced to obtain stationary process I(0)?
Thank you for any responses.
I have two variables, one is stationary I(0) and one is non-stationary I(1). Is it possible to make VAR model for these two variables if the non-stationary variable will be differenced to obtain stationary process I(0)?
Thank you for any responses.
- Wed Mar 23, 2016 10:51 am
- Forum: Econometric Discussions
- Topic: Automatic ARMA Forecasting
- Replies: 1
- Views: 2688
Automatic ARMA Forecasting
Hello, I used Eviews 9.5 for constructing ARMA model with new function Automatic ARMA Forecasting. But I don´t undestrand the following: Eviews gave me the automatically computed model ARMA(4,3). The thing I don´t understand is that the coefficient MA(3) is not statistically significant (according t...
- Thu Nov 19, 2015 12:24 am
- Forum: Econometric Discussions
- Topic: Co-integration problem
- Replies: 0
- Views: 2355
Co-integration problem
Hello, I would like to ask you for help with this problem. I have tested two series (non-stationary I(1) ) if they are co-integrated. Series of residuals from linear regression tested by ADF gives result of stationarity. This should mean that two tested series are co-integrated. Problem is that when...
- Wed Nov 18, 2015 12:02 am
- Forum: Econometric Discussions
- Topic: Static regression or VAR
- Replies: 1
- Views: 2419
Static regression or VAR
Hello,
excuse me for my, maybe, silly question but I´m not sure about it. I have two stationary variables I(0). Is there any way how to know when I should use static regression and when I should use VAR model?
excuse me for my, maybe, silly question but I´m not sure about it. I have two stationary variables I(0). Is there any way how to know when I should use static regression and when I should use VAR model?