Search found 22 matches
- Tue Nov 29, 2016 12:12 pm
- Forum: Econometric Discussions
- Topic: additional nonlinear terms in EGARCH model
- Replies: 4
- Views: 5445
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...
- Tue Nov 29, 2016 11:36 am
- Forum: Econometric Discussions
- Topic: additional nonlinear terms in EGARCH model
- Replies: 4
- Views: 5445
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(...
- Tue Nov 29, 2016 7:01 am
- Forum: Econometric Discussions
- Topic: additional nonlinear terms in EGARCH model
- Replies: 4
- Views: 5445
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...
- Sun Nov 27, 2016 6:10 am
- Forum: Add-in Support
- Topic: fracdiff documentation
- Replies: 1
- Views: 3645
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
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
- Thu Nov 17, 2016 1:45 pm
- Forum: Econometric Discussions
- Topic: OLS + HAC std err VS. conditional mean equation from GARCH
- Replies: 1
- Views: 2557
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...
- Tue Nov 08, 2016 4:02 pm
- Forum: Estimation
- Topic: nls, couldn't achieve convergence
- Replies: 4
- Views: 4124
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!
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!
- Tue Nov 08, 2016 3:13 pm
- Forum: Estimation
- Topic: nls, couldn't achieve convergence
- Replies: 4
- Views: 4124
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!
Can anyone give me a hint? Thanks!
- Mon Nov 07, 2016 5:31 am
- Forum: Estimation
- Topic: nls, couldn't achieve convergence
- Replies: 4
- Views: 4124
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. ...
- Wed Nov 02, 2016 12:44 pm
- Forum: Bug Reports
- Topic: Eviews shutdown by itself
- Replies: 28
- Views: 23603
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..
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..
- Tue Nov 01, 2016 1:46 pm
- Forum: Bug Reports
- Topic: Eviews shutdown by itself
- Replies: 28
- Views: 23603
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...
- Mon Oct 31, 2016 11:15 am
- Forum: General Information and Tips and Tricks
- Topic: fill series until next value
- Replies: 7
- Views: 8764
Re: fill series until next value
Is there an option for generating forward through time as well?
- Mon Oct 31, 2016 8:37 am
- Forum: General Information and Tips and Tricks
- Topic: fill series until next value
- Replies: 7
- Views: 8764
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.
- Sun Oct 30, 2016 11:02 pm
- Forum: General Information and Tips and Tricks
- Topic: fill series until next value
- Replies: 7
- Views: 8764
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...
- Sun Oct 30, 2016 5:43 am
- Forum: General Information and Tips and Tricks
- Topic: fill series until next value
- Replies: 7
- Views: 8764
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...
- Mon Oct 24, 2016 2:31 pm
- Forum: Programming
- Topic: non-linear least squares with many regressors
- Replies: 3
- Views: 3384
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 ...