## Search found 25 matches

Mon Apr 24, 2017 11:04 am
Forum: Estimation
Topic: Imposing non-negative constraints for TGARCH/GJR-GARCH(1,1)
Replies: 0
Views: 950

### Imposing non-negative constraints for TGARCH/GJR-GARCH(1,1)

How do I go about doing this. The estimation on Eviews when I change TARCH to 1 produces a negative Alpha 1 coefficient. The literature says it should be >0. How do I get around this. Need an answer asap if possible. Thanks.

To be clear this is the RESID(-1)^2 coefficient I am talking about.
Sun Apr 09, 2017 10:12 am
Topic: DMtest - Diebold-Mariano Forecast Evaluation Test
Replies: 32
Views: 29586

### Re: DMtest - Diebold-Mariano Forecast Evaluation Test

The Null is the same in all three. Ok thanks, but the rest of my post is correct? Updated <>prob H0: Both Forecasts have the same accuracy H1: The forecasts do not have the same accuracy <0.05, reject null, accept alternative hypothesis >0.05 accept null, both forecasts have the same accuracy >Prob...
Sun Apr 09, 2017 9:45 am
Topic: DMtest - Diebold-Mariano Forecast Evaluation Test
Replies: 32
Views: 29586

### Re: DMtest - Diebold-Mariano Forecast Evaluation Test

Probabilities of the alternative hypotheses (that forecast 1 differs in accuracy from forecast 2, forecast 1 is less accurate, forecast 2 is more accurate). Thank you, so would this be correct. Would appreciate some clarification. <>prob H0: Both Forecasts have the same accuracy H1: The forecasts d...
Sun Apr 09, 2017 1:19 am
Forum: Econometric Discussions
Topic: What do the Correlograms actually measure?
Replies: 0
Views: 1048

### What do the Correlograms actually measure?

A quick question just to confirm I've got this right. Hopefully someone can confirm quick. What do the Ljung Box Q-statistics actually measure, is it serial correlation or heteroskedasticity? 1) Q-statistics of raw Daily log returns = serial correlation 2) Q-statistics of raw Squared daily log retur...
Tue Apr 04, 2017 12:38 pm
Topic: DMtest - Diebold-Mariano Forecast Evaluation Test
Replies: 32
Views: 29586

### Re: DMtest - Diebold-Mariano Forecast Evaluation Test

The add-in was available before the built in. There is no reason to use the add-in now. Just a quick question again, what do <>prob, >prog and <prob actually stand for in this case? How does one interpret the test? I am aware how the test works, how to interpret the t-test, just wondering what the ...
Thu Mar 30, 2017 12:05 pm
Forum: Estimation
Topic: ARMA model selection criteria table
Replies: 8
Views: 4131

### Re: ARMA model selection criteria table

Ah, turns out there is a slight bug in the IC calculation in the auto routine. When calculating the ICs it is currently taking the total number of observations in the current sample, without subtracting any NAs. Since you have a single NA,this calculation is off by one. It doesn't affect the result...
Wed Mar 29, 2017 4:48 pm
Forum: Estimation
Topic: ARMA model selection criteria table
Replies: 8
Views: 4131

### Re: ARMA model selection criteria table

Ah, in the (0,0)(0,0) case there is a difference. When we do the mle model selection we view the constant-only model has having two parameters (the intercept and sigma-squared). When estimating as an equation the constant only model is estimated via least squares and only has one parameter (the int...
Tue Mar 28, 2017 6:13 pm
Forum: Estimation
Topic: ARMA model selection criteria table
Replies: 8
Views: 4131

### Re: ARMA model selection criteria table

EViews Gareth wrote:That's doesn't show anything. You'd need to provide the workfile.

I need to do the model selection for the series named "rt_asx200"
Tue Mar 28, 2017 5:47 pm
Forum: Estimation
Topic: ARMA model selection criteria table
Replies: 8
Views: 4131

### Re: ARMA model selection criteria table

EViews Gareth wrote:They are not.

Tue Mar 28, 2017 6:34 am
Forum: Estimation
Topic: ARMA model selection criteria table
Replies: 8
Views: 4131

### ARMA model selection criteria table

This table can be produced when running the Automatic ARIMA table and allows you to specify what you would like as the criteria, e.g. AIC, SIC etc. My question then is, why do the outputs in this table for AIC, SIC differ compared to if you estimate the equation separately? How are the values in the...
Mon Mar 20, 2017 8:00 pm
Topic: DMtest - Diebold-Mariano Forecast Evaluation Test
Replies: 32
Views: 29586

### Re: DMtest - Diebold-Mariano Forecast Evaluation Test

EViews Gareth wrote:The add-in was available before the built in. There is no reason to use the add-in now.

I see. That clears it up. So the add-in and built in function by IHS are essentially the same.

Thanks.
Mon Mar 20, 2017 6:56 pm
Topic: DMtest - Diebold-Mariano Forecast Evaluation Test
Replies: 32
Views: 29586

### Re: DMtest - Diebold-Mariano Forecast Evaluation Test

It doesn't make sense to run it on two series. Ok. Before I proceed any further, what is the difference between this add-in and the DM test in the following link? Scroll to bottom. I was unaware it was already inbuilt by IHS. Can you please clarify. Thanks. http://www.eviews.com/help/helpintro.html...
Mon Mar 20, 2017 4:26 pm
Topic: DMtest - Diebold-Mariano Forecast Evaluation Test
Replies: 32
Views: 29586

### Re: DMtest - Diebold-Mariano Forecast Evaluation Test

EViews Gareth wrote:File->Open->Program in Add-ins Folder.

All add-ins are just EViews programs.

Yep, just found it, thanks, see above post please, have edited.
Mon Mar 20, 2017 4:18 pm
Topic: DMtest - Diebold-Mariano Forecast Evaluation Test
Replies: 32
Views: 29586

### Re: DMtest - Diebold-Mariano Forecast Evaluation Test

I don't think the author of this add-in is active any more. I think for those of you who want to perform the test on an arbitrary series, rather than an equation object, you'll have to modify the source code to do that. Hi Gareth, I have managed to download the add in and extract the script that wa...
Mon Mar 20, 2017 2:00 pm
Forum: Programming
Topic: Desperately seeking help: Out of Sample, recursive, one step ahead, GARCH volatility forecasting
Replies: 3
Views: 1593

### Re: Desperately seeking help: Out of Sample, recursive, one step ahead, GARCH volatility forecasting

Hello, With a fully patched version of EViews 9.5 I don't receive any errors. Hi, Thanks a lot for replying. Much appreciated. I've just run the code on my friend's version and it seems to work. So I guess I'm almost done now, but I just need to clarify a few issues in terms of how well this script...