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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...

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(...

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...

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

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...

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!

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!

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. ...

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..

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...

Is there an option for generating forward through time as well?

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.

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...

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...

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 ...