Search found 32 matches

Sun Aug 17, 2014 3:53 pm
Forum: Econometric Discussions
Topic: Principal component analysis (PCA) and index construction
Replies: 1
Views: 2519

Principal component analysis (PCA) and index construction

Dear guys, I have this problem. I am using PCA for building a sort of leading indicator index using a large dataset. I know that PCA doesn't care about correlation sign. But I think it matters for the correctness of the sign of the component extracted. If my target is to build an economic indicator,...
Tue May 06, 2014 1:05 am
Forum: Estimation
Topic: State space estimation
Replies: 1
Views: 1671

State space estimation

Hi, could somebody please help me clarify this point? Thank you in advance for the help. I am estimating a state space model of this kind: @SIGNAL D(log(prod)) = SV1 + c(1)*Gap + [VAR=EXP(C(2))] @STATE SV1 = c(3)*SV1(-1) + [VAR=EXP(C(4))] c(1) is a fixed regression coefficient. How is it estimated c...
Sun Aug 04, 2013 1:10 pm
Forum: Data Manipulation
Topic: rolling PCA and saving the proprtion of total variance
Replies: 0
Views: 1873

rolling PCA and saving the proprtion of total variance

Dear guys, I would like to perform the principal component analysis in a dynamic manner. The aim is to save the proportion of total variance accounted for by each principal components using a rolling PCA in a vector. Any idea how this can be done? Thank you in advance. I attache the code used: ' run...
Wed Jan 09, 2013 3:19 am
Forum: Estimation
Topic: the cross section dependence (cd) test
Replies: 11
Views: 13924

Re: the cross section dependence (cd) test

Hi guys,

a simple question. What is the null hypothesis in this test constructed in Eviews? A p-value = 0.35 implies that the cross sections are dependent? Thank you.
Thu Dec 06, 2012 9:06 am
Forum: Econometric Discussions
Topic: Weak Instrument test in GMM (time series estimation)
Replies: 3
Views: 4582

Re: Weak Instrument test in GMM (time series estimation)

Thank you Cel. So, if I use HAC corrections for heteroskedasticity and serial correlation I cannot use anyway Stock-Yogo critical values tests.
Thu Dec 06, 2012 8:43 am
Forum: Econometric Discussions
Topic: Residual Normality and GMM
Replies: 1
Views: 2001

Re: Residual Normality and GMM

Hi, I am not an expert on GMM estimations, but from the paper that I have read (Phillips curve estimation) it is clear that normality test is never reported. In estimations HAC weighting matrix is used for correcting for serial correlation and heteroskedasticity, and stop. In some cases (i.e., most ...
Thu Dec 06, 2012 8:25 am
Forum: Bug Reports
Topic: Message error when dummy used as instruments in GMM
Replies: 2
Views: 3187

Re: Message error when dummy used as instruments in GMM

Thank you Gareth for your reply.
Thu Dec 06, 2012 8:24 am
Forum: Econometric Discussions
Topic: Weak Instrument test in GMM (time series estimation)
Replies: 3
Views: 4582

Weak Instrument test in GMM (time series estimation)

Dear guys, I have only a simple question. I would like to say if the Cragg-Donald F Stat reported in the Weak instrument tests" for GMM estimations (with time series data) is correct. In this case I suppose that I have to check the column "Stock-Yogo critical values (size)" for the co...
Tue Dec 04, 2012 11:38 pm
Forum: Bug Reports
Topic: Message error when dummy used as instruments in GMM
Replies: 2
Views: 3187

Message error when dummy used as instruments in GMM

Dear guys, I write you about a problem encountered in GMM estimation. I am using this estimation technique to estimate a Neo Keynesian Phillips cruve for US. The problem is the following. I have some dummies in the equation and then I want to use it as additional instruments. But when I insert these...
Sun Jun 24, 2012 3:41 pm
Forum: Econometric Discussions
Topic: stability test in SUR/3SLS
Replies: 0
Views: 1415

stability test in SUR/3SLS

Hi guys, I write you because I have a problem. I have estimated a Seemingly unrelated regression (SUR) with 3SLS. The results are good but I have to check the stability of this model. In Eviews there is not a possibility to run CUSUM and CUSUMSQ test or Quandt-Andrews break point test. Any suggestio...
Wed Jan 26, 2011 7:56 am
Forum: Installation and Registration
Topic: Eviews software in an Econometric course
Replies: 1
Views: 4355

Eviews software in an Econometric course

Dear guys, I have to ask you an information. I will want to use Eviews in an Econometric course. I have different PC when I have to install Eviews. Is there an older version of Eviews (Such as 4) which can I use freely? Obviously, I sill spend some time to explain the new features of Eviews 7, so I ...
Tue Jul 20, 2010 7:39 am
Forum: Estimation
Topic: t-statistics in FMOLS and CCR estimations
Replies: 4
Views: 3450

t-statistics in FMOLS and CCR estimations

Dear guys,
I have a simple question. I'll want to say if the t-statistics reported in Fully Modified OLS and Canonical Cointegrating Regression (Eviews 7) are valid.
Fri Jul 02, 2010 2:05 am
Forum: Estimation
Topic: shift dummy in VECM
Replies: 1
Views: 2043

shift dummy in VECM

Dear guys,
I have a problem. I have to estimate a VEC model with a shift dummy in the cointegration vector. How can I insert the shift dummy in the long run relation? If I consider the shift dummy as exogenous it does not enter in the cointegration. Thanks.
Fri Apr 02, 2010 11:10 am
Forum: Estimation
Topic: Obtaining potential output from SVAR
Replies: 1
Views: 2084

Re: Obtaining potential output from SVAR

Anyone can help me? Please, it's important!
Thu Apr 01, 2010 4:36 am
Forum: Estimation
Topic: Obtaining potential output from SVAR
Replies: 1
Views: 2084

Obtaining potential output from SVAR

Dear guys, I write you again for another problem I have faced. I'm trying to estimate potential output using various techniques. I have a problem to obtain the potential output from a SVAR estimation (Blanchard Quah restrictions). I send you a copy of my workfile which replicates Blanchard Quah esti...

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