Search found 16 matches

by magister
Tue May 17, 2016 6:14 am
Forum: Data Manipulation
Topic: Exclude Mondays From Sample
Replies: 26
Views: 7220

Re: Exclude Mondays From Sample

EViews Gareth wrote:

Code: Select all

smpl if @weekday=1 or @weekday=5

Thank you!
by magister
Tue May 17, 2016 5:04 am
Forum: Data Manipulation
Topic: Exclude Mondays From Sample
Replies: 26
Views: 7220

Re: Exclude Mondays From Sample

Hi,

How can I exclude from my sample, consisting of daily data, Tuesdays, Wednesdays and Thursdays? I have tried smpl if @weekday=1 and @weekday=5 and smpl if @weekday<>2 and @weekday<>3 and @weekday<>4, but it does not work.

Thank you.
by magister
Thu Apr 14, 2016 2:14 pm
Forum: Data Manipulation
Topic: Exclude Mondays From Sample
Replies: 26
Views: 7220

Re: Exclude Mondays From Sample

EViews Gareth wrote:You need to do:

Code: Select all

smpl if @date<>@dateval("mydate")


And for multiple dates?
by magister
Thu Apr 14, 2016 3:02 am
Forum: Data Manipulation
Topic: Exclude Mondays From Sample
Replies: 26
Views: 7220

Re: Exclude Mondays From Sample

EViews Gareth wrote:How did you enter the specific dates?

GARCH does require a continuous sample.


Do you mean the format which I have entered the date? It's MM/DD/YYYY format.
by magister
Wed Apr 13, 2016 7:35 am
Forum: Data Manipulation
Topic: Exclude Mondays From Sample
Replies: 26
Views: 7220

Re: Exclude Mondays From Sample

How can I remove a specific date/dates from a sample? I've tried smpl if @date <>"specific date/s", smpl if @day <>"specific date/" (in the case of daily data), but it does not work. Also, I've tried to make 2 sub-sample: @first specific date-1 specific date +1 @last, but GARCH m...
by magister
Wed Mar 23, 2016 1:54 pm
Forum: Econometric Discussions
Topic: GARCH Calendar effects serial correlation
Replies: 5
Views: 1949

Re: GARCH Calendar effects serial correlation

There is no quick fix for that. This is not a problem per se, but is simply a part of the modeling process. You should run different models with alternate specifications and then compare the estimation results based on usual diagnostics. There is no way to know in advance the potential impact of AR...
by magister
Wed Mar 23, 2016 10:28 am
Forum: Econometric Discussions
Topic: GARCH Calendar effects serial correlation
Replies: 5
Views: 1949

Re: GARCH Calendar effects serial correlation

Yes, that is correct. You need to make sure that mean equation is stationary before moving on to model the variance part: http://forums.eviews.com/viewtopic.php?f=18&t=9635#p33814 I've got the same problem. I saw in some papers that they use FPEC (Final Prediction Error Criterion) as in Hsiao (...
by magister
Fri Mar 11, 2016 12:59 pm
Forum: Estimation
Topic: Dummy Variables
Replies: 144
Views: 139289

Re: Dummy Variables

As I said before, you need to define what you mean by a week. Until you can explain how you want to define the dummies in English, we cannot tell you how to do it in EViews. Hi, Gareth, Sorry for disturbing again, I have a new request. I realized that EViews has converted the daily returns into wee...
by magister
Thu Mar 10, 2016 2:01 pm
Forum: Estimation
Topic: Dummy Variables
Replies: 144
Views: 139289

Re: Dummy Variables

The .adjust bit is just creating a sequence of seven 1s followed by twenty one 0s. You could do the same thing with series.fill instead by manually writing out that sequence. Hi, Gareth, I've downloaded a demo version of EViews 8 and the program worked, thank you. But it turned out to be something ...
by magister
Thu Mar 10, 2016 7:46 am
Forum: Estimation
Topic: Dummy Variables
Replies: 144
Views: 139289

Re: Dummy Variables

EViews Gareth wrote:Which version of EViews?

7.
by magister
Thu Mar 10, 2016 1:53 am
Forum: Estimation
Topic: Dummy Variables
Replies: 144
Views: 139289

Re: Dummy Variables

series d1 d1.adjust = 1 r7 0 r21 d1 = @recode(@trend>27, d1(-28), d1) series d2 = @recode(@trend>6, d1(-7), 0) series d3 = @recode(@trend>13, d2(-7), 0) series d4= @recode(@trend>20, d3(-7), 0) show d1 d2 d3 d4 Hi, Gareth, I've tried to run the program but I've got the following error: ADJUST is no...
by magister
Wed Mar 09, 2016 5:42 pm
Forum: Estimation
Topic: Dummy Variables
Replies: 144
Views: 139289

Re: Dummy Variables

ok, I think I see what you want (which is somewhat weird, but ok). You want 5 dummy variables that repeat after each other, each of length 7 observations. Do you actually want them to overlap? In your example, the date of 1/10/2000 is included in both D1 and D2. Your explanation also has D3 and D4 ...
by magister
Wed Mar 09, 2016 4:02 pm
Forum: Estimation
Topic: Dummy Variables
Replies: 144
Views: 139289

Re: Dummy Variables

That really doesn't address my question. I don't know how to better explain, I thought that the workfile will bring more light here. The idea is that I want to create a dummy (d1) for the week from 1/03/2000 to 1/10/2000, d2 for 1/10/2000 to 1/17/2000, d3 for 1/17/2000 to 1/24/2000, d4 for 1/17/200...
by magister
Wed Mar 09, 2016 3:38 pm
Forum: Estimation
Topic: Dummy Variables
Replies: 144
Views: 139289

Re: Dummy Variables

How do you want to define a week? i.e. how do you decide what is the first week of the month? Hi, Gareth, To test for weekly effects, I use weekly returns which have been converted from daily returns using Eviews function. The sample is from 2000 through 2015. The first trading day is on 1/03/2000 ...
by magister
Wed Mar 09, 2016 2:58 am
Forum: Estimation
Topic: Dummy Variables
Replies: 144
Views: 139289

Re: Dummy Variables

You'll have to explain in more detail. Hi, Gareth, Thank you for your reply. I want to test stock market anomalies, and one of them is the so called "the week-of-the-month effect". More precisely, I want to test whether there are patterns in terms of weekly returns, for each month. For in...

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