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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,...

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...

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...

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.

Thank you Cel. So, if I use HAC corrections for heteroskedasticity and serial correlation I cannot use anyway Stock-Yogo critical values tests.

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 ...

Thank you Gareth for your reply.

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...

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...

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...

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 ...

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.

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.

Anyone can help me? Please, it's important!

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...