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EViews Gareth wrote:

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smpl if @weekday=1 or @weekday=5


Thank you!

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.

EViews Gareth wrote:You need to do:

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


And for multiple dates?

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.

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...

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...

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 (...

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...

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 ...

EViews Gareth wrote:Which version of EViews?

7.

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...

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 ...

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...

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 ...

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...