Search found 11 matches

by pgrign
Mon Mar 05, 2018 7:10 am
Forum: Estimation
Topic: State Space issue
Replies: 6
Views: 4368

Re: State Space issue

Oh thanks, I've completely misunderstood what startz was saying... now it works fine
Thank you!
by pgrign
Fri Mar 02, 2018 8:32 am
Forum: Estimation
Topic: State Space issue
Replies: 6
Views: 4368

Re: State Space issue

Yes, you may find it in the first post. I attach it again just to be sure :)
by pgrign
Fri Mar 02, 2018 8:15 am
Forum: Estimation
Topic: State Space issue
Replies: 6
Views: 4368

Re: State Space issue

Thanks for the answer... I've also thought of that, but even if I try to impose priors I get the same results. I don't understand how the number put in the brackets of c() would change the estimations.
by pgrign
Fri Mar 02, 2018 2:21 am
Forum: Estimation
Topic: State Space issue
Replies: 6
Views: 4368

State Space issue

Hi, I'm trying to estimate a SS model, and it seems to me that, when I try to estimate variance, the values vary significantly according to the coefficient I use. In other words, if in one model I estimate the variance as [var=exp(c(2))], and in the other one as [var=exp(c(20))] the results are comp...
by pgrign
Mon Oct 30, 2017 9:38 am
Forum: Programming
Topic: wfsave or pagesave
Replies: 1
Views: 2367

wfsave or pagesave

Hi, I have a simple question: is there a way to save an xlsx with wfsave or pagesave on the same workbook but on different sheets without having to write it down multiple times? So far, I did something like this: wfsave(type=xlsm, mode=update) "..." range="Sheet1" @keep series1 w...
by pgrign
Thu Sep 14, 2017 4:17 am
Forum: Estimation
Topic: STL issue
Replies: 1
Views: 2399

STL issue

Hi, I have an issue with the STL method to deseasonalize weekly data: I want to check whether the trend is accelerating or decelerating, so I look at the first difference, but it has strange spikes like those in the picture attached. Why does it happen? I checked with other series and it keep happen...
by pgrign
Mon Jun 12, 2017 3:15 am
Forum: Programming
Topic: Time series specific value
Replies: 1
Views: 2349

Time series specific value

Hi everybody, I have an issue that I guess it's really easy to solve, but I can't figure it out. In a time series with quarterly data I have a regression to run, and I want the program to choose the regressor: i.e., if the value corrisponding to 2017Q1 in series "A" is "NA" -> us...
by pgrign
Thu Apr 27, 2017 2:20 am
Forum: Programming
Topic: Loop
Replies: 2
Views: 3534

Loop

Hi, I have written a program, but I need to run it multiple times restricting the sample size. Let me explain it better: as usual the program starts with; create m 2004.1 2017.3 ... At the end of the routine I obtain a series, which I want to keep. But then, I need to run the program again with smpl...
by pgrign
Mon Mar 20, 2017 4:18 am
Forum: Estimation
Topic: Instrumental variables
Replies: 3
Views: 3776

Re: Instrumental variables

EViews Glenn wrote:Quick question. Do you get singularity if you estimate using OLS?


No
by pgrign
Thu Mar 16, 2017 9:10 am
Forum: Estimation
Topic: Instrumental variables
Replies: 3
Views: 3776

Instrumental variables

Hi everybody, I have a really simple system of equation in which I determine the term spread in the US and Germany. D(GER10Y-EUR3M) = C(1) * D(GER10Y(-1)-EUR3M(-1)) + C(2) * D(USA10Y-USA3M) + C(3) * D(LOG(EXCH)) + C(6) * D(VIXEU) D(USA10Y-USA3M) = C(11) * D(USA10Y(-1)-USA3M(-1)) + C(12) * D(GER10Y-E...
by pgrign
Tue Mar 07, 2017 4:07 am
Forum: Estimation
Topic: AR
Replies: 2
Views: 2757

AR

Hi, I have a question that might be trivial, but I can't really figure it out... I have a multi-factor regression, like: y c ar(1) x(1) x(2) where x(1) and x(2) are exogenous. For some reason, if I write it down like this: y c Y(-1) x(1) x(2) the coefficients are completely different. On the other s...

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