## Search found 15 matches

- Thu Dec 07, 2017 8:18 am
- Forum: Estimation
- Topic: Bai and Perron multiple break test
- Replies:
**21** - Views:
**16440**

### Re: Bai and Perron multiple break test

svector(157) svecdates matrix(157,4) coefs matrix(157,4) tstat equation eq for !i=1 to 157 equation eq.breakls(maxbreaks=1) y{!i} c x{!i} for !j=1 to eq.@ncoefs coefs(!i,!j)= eq.@coefs(!j) tstat(!i,!j)=eq.@tstats(!j) svecdates({!i})=eq.@breaks next next show svecdates show coefs show tstat

- Wed Mar 08, 2017 4:15 pm
- Forum: Program Repository
- Topic: Basic Rolling Regression
- Replies:
**134** - Views:
**254017**

### Re: Basic Rolling Regression

Hello again, I'd really appreciate any advice. So, i have 230 series y: y1, y2, y3...y230. I want to estimate the equation ls y{!i} c x. (each of y on a constant and a serie x) Then i want to estimate a break date using Quandt Andrews test and store the break date of this test. After having the brea...

- Wed Mar 08, 2017 2:38 am
- Forum: Program Repository
- Topic: Basic Rolling Regression
- Replies:
**134** - Views:
**254017**

### Re: Basic Rolling Regression

Thank you Gareth I guess that Quandt-Andrews test gives the same result as the bai-perron test when defining maximum breaks =1. svector(230) annee equation eq for !i=1 to 230 equation eq.ls y{!i} c x freeze(mytab) eq.ubreak 15 %text=mytab(10,1) !dotpos=@instr(%text, "(") %obstext=@mid(%tex...

- Tue Mar 07, 2017 3:37 am
- Forum: Program Repository
- Topic: Basic Rolling Regression
- Replies:
**134** - Views:
**254017**

### Re: Basic Rolling Regression

Hello Gareth,

Thank you for your help. Well i could use Chow test if i know my breakdate. But in my case, i don't know the break date.

What do you suggest as other structural break test?

Thank you!

Thank you for your help. Well i could use Chow test if i know my breakdate. But in my case, i don't know the break date.

What do you suggest as other structural break test?

Thank you!

- Wed Mar 01, 2017 9:07 am
- Forum: Program Repository
- Topic: Basic Rolling Regression
- Replies:
**134** - Views:
**254017**

### Re: Basic Rolling Regression

Hello, Is it possible to perform Bai-Perron test with one maximum break , store the breakdate and then estimate rolling regression on the periode before the break date and the period after the breakdate? And then compare their means? I know it sounds complicated but maybe someone before has done it ...

- Wed Jan 25, 2017 2:47 am
- Forum: Program Repository
- Topic: Basic Rolling Regression
- Replies:
**134** - Views:
**254017**

### Re: Basic Rolling Regression

Hello Gareth, I have a basic question. I have 10 time series of firms stock return for each country (France, Belgium and UK). So in total i have 30 time series. fr1 fr2 fr3....fr10 (fr1 is the time series stock return of firm 1 in France) be1 be2 be3...be10 uk1 uk2 uk3...uk10 And i have 3 different ...

- Tue Dec 20, 2016 11:21 am
- Forum: Estimation
- Topic: Bai and Perron multiple break test
- Replies:
**21** - Views:
**16440**

### Re: Bai and Perron multiple break test

It works!

Thank you Gareth!!

Thank you Gareth!!

- Tue Dec 20, 2016 9:41 am
- Forum: Estimation
- Topic: Bai and Perron multiple break test
- Replies:
**21** - Views:
**16440**

### Re: Bai and Perron multiple break test

Hello Gareth, I have 9 dependent variables (y1...y9) and one independent variable (z). I would like to estimate a break least square (for each of the y on z) and store breakdate, coefficients of regression and the t-stat. (Y{!i}= constant + bz) The problem is that: for y3 for example i don't have a ...

- Tue Dec 20, 2016 2:19 am
- Forum: Estimation
- Topic: Bai and Perron multiple break test
- Replies:
**21** - Views:
**16440**

### Re: Bai and Perron multiple break test

Hello, I am performing a break least sqaures regression of 25 dependent variables on one indepedent variable ( Y=aX+b). How can i store dates coefficients? i tried this code matrix (1,25) dates for !i=1 to 25 equation eq equation eq{!i}.breakls(maxbreaks=1) x{!i} c y colplace(dates,eq.@breaks,!i) ne...

- Mon Dec 19, 2016 4:53 pm
- Forum: Programming
- Topic: Chow test at all possible break points
- Replies:
**30** - Views:
**18292**

### Re: Chow test at all possible break points

Hello, I am performing a break least sqaures regression of 25 dependent variables on one indepedent variable ( Y=aX+b). How can i store dates coefficients? i tried this code matrix (1,25) dates for !i=1 to 25 equation eq equation eq{!i}.breakls(maxbreaks=1) x{!i} c y colplace(dates,eq.@breaks,!i) ne...

- Sun Dec 18, 2016 5:03 am
- Forum: Bug Reports
- Topic: Least Squares with Breakpoints
- Replies:
**3** - Views:
**3656**

### Re: Least Squares with Breakpoints

Hello, Does anyone know how can i store the break date of a "least squares with breakpoints". In fact i'm performing a least squares with a max one breakpoint : "equation eq1.breakls(maxbreaks=1) y c x" but i would like to know if i can store the breakdate and the 2 coefficients?...

- Wed Dec 14, 2016 3:20 am
- Forum: Add-in Support
- Topic: DCCGARCH11
- Replies:
**121** - Views:
**313170**

### Re: DCCGARCH11

Hello,

I am using Eviews 9 and I keep getting this result "Optimization failed: unable to evaluate objective at optimization starting values." and my rhos are all "NA."

Could you please help?

I am using Eviews 9 and I keep getting this result "Optimization failed: unable to evaluate objective at optimization starting values." and my rhos are all "NA."

Could you please help?

- Tue Dec 13, 2016 8:34 am
- Forum: Program Repository
- Topic: Basic Rolling Regression
- Replies:
**134** - Views:
**254017**

### Re: Basic Rolling Regression

thank you for your reply.

I see how to write a loop that loops over the stocks and runs a simple regression but i don't see how to do it with a rolling regression.

I don't see how to do it.

can you give me a simple example?

I see how to write a loop that loops over the stocks and runs a simple regression but i don't see how to do it with a rolling regression.

I don't see how to do it.

can you give me a simple example?

- Tue Dec 13, 2016 5:10 am
- Forum: Program Repository
- Topic: Basic Rolling Regression
- Replies:
**134** - Views:
**254017**

### Re: Basic Rolling Regression

Hello Gareth,

Thank you for the code.

I'm interested by running a rolling regression (with one explanatory variable) but for 35 stocks.

I have 35 stocks (Y1,Y2...Y35) and one market index (X).

Is it possible ?

Thank you

Thank you for the code.

I'm interested by running a rolling regression (with one explanatory variable) but for 35 stocks.

I have 35 stocks (Y1,Y2...Y35) and one market index (X).

Is it possible ?

Thank you

- Mon Dec 12, 2016 3:55 am
- Forum: Programming
- Topic: Applying Switching Regession to Garch Model
- Replies:
**0** - Views:
**1585**

### Applying Switching Regession to Garch Model

Hello,

Could anyone help me to perform a GARCH model using the Switching regression on Eviews 9?

Thank you

Saad

Could anyone help me to perform a GARCH model using the Switching regression on Eviews 9?

Thank you

Saad