Search found 22 matches

by Gin
Tue Nov 29, 2016 12:12 pm
Forum: Econometric Discussions
Topic: additional nonlinear terms in EGARCH model
Replies: 4
Views: 1542

Re: additional nonlinear terms in EGARCH model

Hi Gareth, thanks for replying. I also just have figured it out.. However, now I have another problem when running the above code. eview tells me "Missing values in @LOGL series at current coefficients at observation 12/17/2008 in "DO_ EGARCH.ML(SHOWOPTS, M=800, C=0.0001)". " Hav...
by Gin
Tue Nov 29, 2016 11:36 am
Forum: Econometric Discussions
Topic: additional nonlinear terms in EGARCH model
Replies: 4
Views: 1542

Re: additional nonlinear terms in EGARCH model

Hi all, I have tried to code the above model and estimate it using ml. ''' declare starting value from existing nln-linear estimation equation nls_eq.ls y= c+ a1*X1*(1 + g1*Dummy1+ g2*Dummy2) + a2*X2*(1 + g1*Dummy1+ g2*Dummy2) + a3*X3*(1 + g1*Dummy1+ g2*Dummy2) coef(1) const = nls_eq.@coefs(1) coef(...
by Gin
Tue Nov 29, 2016 7:01 am
Forum: Econometric Discussions
Topic: additional nonlinear terms in EGARCH model
Replies: 4
Views: 1542

additional nonlinear terms in EGARCH model

Hi all, I would like to estimate the following model within EGARCH framework. change in prices = constant + a1*X1*(1 + g1*Dummy1+ g2*Dummy2) + a2*X2*(1 + g1*Dummy1+ g2*Dummy2) + a3*X3*(1 + g1*Dummy1+ g2*Dummy2) log(variance) = constant + USUAL VOLATILITY TERMS + b1*X1*(1 + gamma1*Dummy1+ gamma2*Dumm...
by Gin
Sun Nov 27, 2016 6:10 am
Forum: Add-in Support
Topic: fracdiff documentation
Replies: 1
Views: 1081

fracdiff documentation

Hi all,

is there a documentation about the Add-in fracdiff? I have searched within the forum but couldn't find a proper documentation/explanation of the add-in.

Thanks & best
by Gin
Thu Nov 17, 2016 1:45 pm
Forum: Econometric Discussions
Topic: OLS + HAC std err VS. conditional mean equation from GARCH
Replies: 1
Views: 737

OLS + HAC std err VS. conditional mean equation from GARCH

Hi all, I have couple of questions regarding the efficiency gain using GARCH modeling campared to OLS with HAC standard errors. 1. If we compare the coefficient estimates from a regression using OLS and that from the same equation using GARCH modeling. They sometimes differ substaintially. Why is th...
by Gin
Tue Nov 08, 2016 4:02 pm
Forum: Estimation
Topic: nls, couldn't achieve convergence
Replies: 4
Views: 968

Re: nls, couldn't achieve convergence

Hi startz,

thanks for taking a look at my workfile. I still can not get a reasonable result. It always says that convergence is not achieved after 500 (or more iterations). Do you think I need to specify starting values in this case?

Thanks!
by Gin
Tue Nov 08, 2016 3:13 pm
Forum: Estimation
Topic: nls, couldn't achieve convergence
Replies: 4
Views: 968

Re: nls, couldn't achieve convergence

I suspect that the error results from my code rather from the data.. The estimation result look like follow

Can anyone give me a hint? Thanks!
by Gin
Mon Nov 07, 2016 5:31 am
Forum: Estimation
Topic: nls, couldn't achieve convergence
Replies: 4
Views: 968

nls, couldn't achieve convergence

Hi all, I have written a loop to perform three NLS regression with the same setting . For two out of three dependent variables, it worked out just fine. However, eviews could achieve convergence for one of the equation and the p-values are one for all of the coefficients. This looks very odd to me. ...
by Gin
Wed Nov 02, 2016 12:44 pm
Forum: Bug Reports
Topic: Eviews shutdown by itself
Replies: 28
Views: 9581

Re: Eviews shutdown by itself

Hello startz,

it turns out I have forgot to create the group before the loop. That's why Eviews have crashed when running the code.

sorry for the confusion..
by Gin
Tue Nov 01, 2016 1:46 pm
Forum: Bug Reports
Topic: Eviews shutdown by itself
Replies: 28
Views: 9581

Re: Eviews shutdown by itself

Hi all, I am using Eviews 9 on campus computer. Eviews keeps crashing down when I try to add series to group... my code are import(page = news_data) "Y:\!Masterarbeit\News Regression\Eviews\data08_Eviews.xlsx" range = Tabelle1 for %j CapU Durables GDP IP IT Retail IJC NFP Unemp CPI CONF Hs...
by Gin
Mon Oct 31, 2016 11:15 am
Forum: General Information and Tips and Tricks
Topic: fill series until next value
Replies: 7
Views: 2878

Re: fill series until next value

Is there an option for generating forward through time as well?
by Gin
Mon Oct 31, 2016 8:37 am
Forum: General Information and Tips and Tricks
Topic: fill series until next value
Replies: 7
Views: 2878

Re: fill series until next value

Thanks, Gerath! that worked well. Can you please tell me what the option (r) in genr(r) does? I couldn't find an explanation in the Eviews help file.
by Gin
Sun Oct 30, 2016 11:02 pm
Forum: General Information and Tips and Tricks
Topic: fill series until next value
Replies: 7
Views: 2878

Re: fill series until next value

Hi Gareth, that will replace only the entry before the non-zero one with the non-zero value (via the argument x(-1)). The series then looks like 0 0 2.5 2.5 0 1.5 1.5 0 0 0 1.9 1.9 How can I fill all the zero entries with the next non-zero values? so the series looks like 2.5 2.5 2.5 2.5 1.5 1.5 1.5...
by Gin
Sun Oct 30, 2016 5:43 am
Forum: General Information and Tips and Tricks
Topic: fill series until next value
Replies: 7
Views: 2878

fill series until next value

Hi all, I have a data series for event-study. I need to fill/replace the zeros in a series with the value on event days, so that the entries until the release of the next value stay constant. The data are of daily frequency and the tim interval of release dates are irregular. For example series1 0 0...
by Gin
Mon Oct 24, 2016 2:31 pm
Forum: Programming
Topic: non-linear least squares with many regressors
Replies: 3
Views: 767

Re: non-linear least squares with many regressors

Hi Gareth, thank you for the post. I have run your code. But the program stops at the fourth line of the loop. %spec = %spec + " + beta" + @val(!i)+"*" + %var + "(1+gamma" + @val(!i) + "1*date_dummy1 + gamma" + @val(!i)+"2*data_dummy2)" and tells me ...

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