Search found 11 matches

by dman
Tue Feb 20, 2018 5:59 pm
Forum: Estimation
Topic: State space model with nothing to estimate, "near-singular matrix" error
Replies: 6
Views: 714

Re: State space model with nothing to estimate, "near-singular matrix" error

Is there a reference on how it works w/o it? I'm trying to understand why it works in some rank-deficient signal variance cases and fails in others, so that I could possibly prevent failures early.
by dman
Thu Feb 15, 2018 9:10 am
Forum: Estimation
Topic: State space model with nothing to estimate, "near-singular matrix" error
Replies: 6
Views: 714

Re: State space model with nothing to estimate, "near-singular matrix" error

Here's a slightly different file, with a rank-deficient idiosyncratic covariance matrix where Eviews estimation works. @inverse(@transpose(H)*P1_0*H+R) would give a 'near-singular' matrix error. The code above (with @pinverse) and the Eviews now.ml produce results differing in the 4th decimal. I sus...
by dman
Tue Feb 13, 2018 4:06 pm
Forum: Estimation
Topic: State space model with nothing to estimate, "near-singular matrix" error
Replies: 6
Views: 714

Re: State space model with nothing to estimate, "near-singular matrix" error

Thanks for a reply. I can post a file with pretty much the SS model above, dropping just one variable, and the 'estimation' would run just fine despite the same matrix still being rank deficient. Which tells me you're using some version of @pinverse code while computing the first step of the filter,...
by dman
Mon Feb 05, 2018 1:46 pm
Forum: Estimation
Topic: State space model with nothing to estimate, "near-singular matrix" error
Replies: 6
Views: 714

State space model with nothing to estimate, "near-singular matrix" error

Hello. Would appreciate some help figuring out what's causing the errors. I'm trying to put together a state-space model with all coefficients/variances already estimated, in order to use Eviews Kalman filter/smoother. For some (but not all) combinations of my 200-300 signal variables I get "ma...
by dman
Wed Jan 31, 2018 10:01 am
Forum: Bug Reports
Topic: @dateadd error
Replies: 3
Views: 441

Re: @dateadd error

Ran into a similar issue today 01/31/2018. I'm not adding days, but subtracting them off @now. As long as the target month is 31-days long it works. For 30-day months it doesn't. @datestr(@dateadd(@dateval("1/31/2018"),-4,"mm"),"yyyy[q]q") results in "?" subst...
by dman
Sat Oct 28, 2017 6:56 pm
Forum: Data Manipulation
Topic: Importing BEA quarterly file
Replies: 0
Views: 346

Importing BEA quarterly file

Hello. BEA just changed their data download format and now provides a bulk file like this: https://bea.gov/national/Release/TXT/NipaDataQ.txt File structure goes like this: A001RC,1947Q1,"244,058" A001RC,1947Q2,"247,362" A001RC,1947Q3,"251,246" A001RC,1947Q4,"261,5...
by dman
Thu Oct 19, 2017 2:04 pm
Forum: Bug Reports
Topic: Database Error: Bloomberg library error: 'String was not recognized as a valid DateTime.'
Replies: 6
Views: 1506

Re: Database Error: Bloomberg library error: 'String was not recognized as a valid DateTime.'

Hello. Getting the same error while trying to retrieve data from Bloomberg. Updated to Oct 3rd build of 9.5 Enterprise. The code got further than before, but then gave the same error further down the list of variables. Currently unable to pull stuff off the government bond yield portion. For example...
by dman
Tue Jul 19, 2016 12:37 pm
Forum: Data Manipulation
Topic: Formula linked to EIA online database
Replies: 7
Views: 1394

Re: Formula linked to EIA online database

For future reference, if anyone comes here via search, it's possible to make frml work with EIA database variables, but one would need to specify a list of aliases for the database. For the example above, the alias for EIA database will have to be set something like alias1=PET.RCLC1.D, done via data...
by dman
Mon Jul 18, 2016 1:00 pm
Forum: Data Manipulation
Topic: Formula linked to EIA online database
Replies: 7
Views: 1394

Re: Formula linked to EIA online database

I'm gonna quote online manual for frml here One particularly useful feature of auto-updating series is the ability to reference series in databases. The command: frml gdp = usdata::gdp creates a series called GDP that obtains its values from the series GDP in the database USDATA. Similarly: frml lgd...
by dman
Mon Jul 18, 2016 11:23 am
Forum: Data Manipulation
Topic: Formula linked to EIA online database
Replies: 7
Views: 1394

Re: Formula linked to EIA online database

I want a formula, so that it auto-updates when I open the workfile later.
What I want is not the issue though. The issue is that for other online databases (FRED for example) I can specify a formula or a link, and both work. For EIA only a link works.
by dman
Mon Jul 18, 2016 10:55 am
Forum: Data Manipulation
Topic: Formula linked to EIA online database
Replies: 7
Views: 1394

Formula linked to EIA online database

Hello. I'm having trouble creating a formula, linked to EIA online database. frml pwti=eia::pet.rclc1.d fails, with an error "eia::pet.rclc1.d not defined". At the same time, creating a link to it works fetch(db=eia, link) pet.rclc1.d rename pet_rclc1_d pwti I suspect the issue is that EIA...

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