Search found 6 matches

by zoe_zz
Thu Nov 23, 2017 5:09 am
Forum: Estimation
Topic: GMM issue when estimating LR coefficients directly (ECM)
Replies: 6
Views: 904

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

Please ignore the last post - I realised I should call coefficients by their names and not by order when setting initial values. It seems to work now. Thanks!
by zoe_zz
Wed Nov 22, 2017 2:02 pm
Forum: Estimation
Topic: GMM issue when estimating LR coefficients directly (ECM)
Replies: 6
Views: 904

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

Glenn, thank you for the reply. I did try setting starting values before and it did not work. I tried again now by using a command param c(1) .3 c(2) .3 c(3) .3 c(4) .3 c(5) .3 c(6) .3 c(7) .3 c(8) .3 c(9) .3 c(10) 0.3. Am I doing this right? This line before the line that estimates the equation doe...
by zoe_zz
Wed Nov 22, 2017 11:13 am
Forum: Estimation
Topic: GMM issue when estimating LR coefficients directly (ECM)
Replies: 6
Views: 904

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

Another issue that I encounter with equations of the type 2 (without parentheses following C(11)), is an error of "square root of negative number" when trying to retrieve a vector of t-stats - in equation output some coefficients have NA for t-stats and p-values. Strangely, when I simply c...
by zoe_zz
Tue Nov 21, 2017 1:46 pm
Forum: Estimation
Topic: GMM issue when estimating LR coefficients directly (ECM)
Replies: 6
Views: 904

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

Please see the workfile attached. The equation output was generated using another program but I saved it separately to show what the loop generates. If you take any equation and try to re-estimate it as it is given now you should get an error " singular matrix"; however, if you remove the ...
by zoe_zz
Sat Nov 18, 2017 1:08 am
Forum: Estimation
Topic: GMM issue when estimating LR coefficients directly (ECM)
Replies: 6
Views: 904

GMM issue when estimating LR coefficients directly (ECM)

Hello, I am using EViews 9.5 and trying to estimate multiple error correction models by GMM. The loop generates equations and then deletes all equations having at least on insignificant coefficient (excl. a constant). The equation is written in the following form allowing me to see long-run coeffici...
by zoe_zz
Wed Dec 09, 2015 11:15 am
Forum: Add-in Support
Topic: SVARpatterns
Replies: 16
Views: 13304

Re: SVARpatterns

Hello, I'd like to know if a more detailed description of the add-in is available. For instance, what is the size of a generated structural shock? It looks to me as one standard deviation; however, is there any way to change it, say to a one-unit shock instead? Also, the Monte Carlo generated bands ...

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