Search found 18 matches

by Bablowski
Fri Feb 09, 2018 4:21 am
Forum: Econometric Discussions
Topic: Adjustment of the seasonally adjusted series
Replies: 0
Views: 1921

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 ...
by Bablowski
Fri Nov 24, 2017 5:48 am
Forum: Econometric Discussions
Topic: Chow-lin interpolation technique
Replies: 0
Views: 2058

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
by Bablowski
Thu Sep 07, 2017 12:52 am
Forum: Econometric Discussions
Topic: Tramo/Seats vs. X12 ARIMA
Replies: 0
Views: 2388

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...
by Bablowski
Thu Jan 26, 2017 1:44 pm
Forum: Data Manipulation
Topic: User holiday series import for TRAMO/SEATS
Replies: 1
Views: 2561

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...
by Bablowski
Wed Jan 25, 2017 12:56 am
Forum: Econometric Discussions
Topic: ARDL (automatic selection of lags)
Replies: 2
Views: 3042

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.
by Bablowski
Fri Jan 20, 2017 12:12 am
Forum: Econometric Discussions
Topic: Difference between AR model and distributed lag model
Replies: 1
Views: 6625

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 ...
by Bablowski
Sat Jan 14, 2017 1:13 am
Forum: Estimation
Topic: Dynamic factor model with 2 factors and mixed data
Replies: 1
Views: 3807

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 ...
by Bablowski
Sat Jan 07, 2017 11:31 am
Forum: Econometric Discussions
Topic: Evaluation of autocorrelation
Replies: 0
Views: 2133

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...
by Bablowski
Thu Jan 05, 2017 11:18 am
Forum: Estimation
Topic: MIDAS regression and constant
Replies: 2
Views: 3194

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...
by Bablowski
Thu Jul 21, 2016 11:03 am
Forum: Econometric Discussions
Topic: Significance of variables in VAR model and forecasting
Replies: 1
Views: 2626

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...
by Bablowski
Wed Jul 13, 2016 3:16 am
Forum: Econometric Discussions
Topic: Root Mean Square Error in Forecasting
Replies: 1
Views: 6053

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...
by Bablowski
Mon Jun 20, 2016 3:56 am
Forum: Econometric Discussions
Topic: Stationarity of time series and VAR model
Replies: 1
Views: 2822

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.
by Bablowski
Wed Mar 23, 2016 10:51 am
Forum: Econometric Discussions
Topic: Automatic ARMA Forecasting
Replies: 1
Views: 2680

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...
by Bablowski
Thu Nov 19, 2015 12:24 am
Forum: Econometric Discussions
Topic: Co-integration problem
Replies: 0
Views: 2349

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...
by Bablowski
Wed Nov 18, 2015 12:02 am
Forum: Econometric Discussions
Topic: Static regression or VAR
Replies: 1
Views: 2412

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?

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