Search found 31 matches
- Thu May 20, 2021 6:55 pm
- Forum: Estimation
- Topic: Markov switching regimes
- Replies: 9
- Views: 10996
Re: Markov switching regimes
Thanks. BA
- Tue Apr 27, 2021 4:52 pm
- Forum: Estimation
- Topic: Markov switching regimes
- Replies: 9
- Views: 10996
Re: Markov switching regimes
Thanks. What I mean is that the variance of residuals is normally the variance of dependent variable in all regressions. So should be the same here, shouldn't it? Thanks. BA
- Thu Apr 08, 2021 8:57 am
- Forum: Estimation
- Topic: Markov switching regimes
- Replies: 9
- Views: 10996
Re: Markov switching regimes
Thanks. The output only says regime 1 and 2. Not clear what these regimes are. I thought the sigma of the dependent variable is the sigma of the innovations (residuals) of the model. Therefore, the values of the sigma should reflect the impact of the structural breaks of VIX on the dependent variabl...
- Tue Apr 06, 2021 10:55 am
- Forum: Estimation
- Topic: Markov switching regimes
- Replies: 9
- Views: 10996
Re: Markov switching regimes
HI. I've estimated a model using MC regime switching method. Did it because VIX, which is an explanatory variable in the model, shows structural breaks, i.e., high and low volatility. My output table shows the results for the two regimes and I have the estimates of the log( sigma). Question: It isn'...
- Wed Mar 31, 2021 1:50 pm
- Forum: Programming
- Topic: programming MLE using data series at different frequencies
- Replies: 9
- Views: 24031
Re: programming MLE using data series at different frequencies
Thanks. Best, BA
- Tue Mar 30, 2021 3:57 pm
- Forum: Programming
- Topic: programming MLE using data series at different frequencies
- Replies: 9
- Views: 24031
Re: programming MLE using data series at different frequencies
Thanks for the quick reply. Even the one I did on R was a bit problematic. I didn't even attempt to do the MIDAS regression. I wanted to run a regression of daily volatility of S&P on daily interest rates, and things like consumer confidence, industrial production and other low frequency series....
- Tue Mar 30, 2021 11:59 am
- Forum: Programming
- Topic: programming MLE using data series at different frequencies
- Replies: 9
- Views: 24031
Re: programming MLE using data series at different frequencies
Hi. I've used R to run a GARCH MIDAS estimation. However, seems to have problems if I bring in data with monthly and weekly for daily volatility series estimation. Were you able to get GARCH MIDAS to run on Eviews? If so would you be willing to share it? Do Eviews developers plan to expand the exist...
- Thu Feb 25, 2021 10:34 am
- Forum: Econometric Discussions
- Topic: forecasting using Holt-Winters model
- Replies: 0
- Views: 11759
forecasting using Holt-Winters model
Hi. After completing the smoothing using Holt-Winters(HW), I need to use the estimated parameters to forecast about 60 observations into the future. I know how to set it up on Excel, but it is a real pain. Eviews doesn't seem to let me specify the end of the forecast period for this model. Am I miss...
- Sat May 26, 2018 1:27 pm
- Forum: General Information and Tips and Tricks
- Topic: capturing command for later use as a program
- Replies: 3
- Views: 6540
Re: capturing command for later use as a program
Thanks much anyway! Best, BA
- Sat May 26, 2018 1:26 pm
- Forum: General Information and Tips and Tricks
- Topic: capturing command for later use as a program
- Replies: 3
- Views: 6540
Re: capturing command for later use as a program
Hi. Just figured it out from Help. Thanks. BA
- Sat May 26, 2018 10:59 am
- Forum: General Information and Tips and Tricks
- Topic: capturing command for later use as a program
- Replies: 3
- Views: 6540
capturing command for later use as a program
Hi all. I haven't saved my captured commands for use later. I'm trying to do that. However, I am not able to save them as Eviews program and use "run" to run them later. I can save them as text. But that doesn't run using "run" command and has to be done line by line. I'd like to...
- Sun Feb 25, 2018 10:57 am
- Forum: Econometric Discussions
- Topic: Multipliers with log-data in first differences
- Replies: 2
- Views: 4638
Re: Multipliers with log-data in first differences
Hi. I see the thread below. I am trying to compute the following for the SVAR and the VECM that I have estimated: 1. Multipliers 2. Elasticities, for instance the elasticity of real GDP to shocks to tax cuts or real government expenditures. I thought multipliers are coefficients that enter the impul...
- Sun Feb 18, 2018 12:44 am
- Forum: Programming
- Topic: VECM and structural factorization option for variance decomposition
- Replies: 0
- Views: 2401
VECM and structural factorization option for variance decomposition
Hi. I created a matrix of shocks. Used it for SVAR and also Vecm impulse responses. I used the "structural decomposition" for the SVAR variance decomposition and seems to call my matrix of shocks. However, when I tried to do variance decomposition in VECM using "structural Decompositi...
- Tue Sep 05, 2017 8:36 pm
- Forum: Programming
- Topic: BVAR (litterman) Specifying different priors to different variables
- Replies: 2
- Views: 3594
BVAR estimation
Hi. I have four variables and about 550 monthly observations. All variables are nonstationary. Sims recommends running BVAR if variables are nonstationary, so I tried. I got the error message "singular matrix" so I assume some determinants disappeared and I got no estimates or IRFs. I used...
- Tue Sep 05, 2017 10:57 am
- Forum: Add-in Support
- Topic: Large Bayesian VAR
- Replies: 49
- Views: 312829
Re: Large Bayesian VAR
Hi . Sorry, my search landed me here so I thought covers both. I've installed LBVAR. Will try both. Thanks. BA