Search found 30 matches

by AfonsoRod
Wed May 22, 2019 12:37 pm
Forum: Econometric Discussions
Topic: Right specification of GARCH models?
Replies: 0
Views: 34

Right specification of GARCH models?

Dear all, I would like to know how can we decide on the proper specification of our GARCH model in Eviews. Mainly, I would like to know: 1) Witch values of 'p' and 'q' should we use in our GARCH(p,q)? 2) Witch error distribution should we use (between "Normal (Gaussian)"; Student's t; Gene...
by AfonsoRod
Tue May 21, 2019 3:35 pm
Forum: Econometric Discussions
Topic: GARCH MODEL with multiple explanatory variables
Replies: 1
Views: 58

Re: GARCH MODEL with multiple explanatory variables

ARCH LM Test - ARCH almt.jpg How can I solve this problem? I have been told (in a two minute conversation) that I should run the GARCH(q,p) model with the right value of 'q' and 'p', then do something that would generate some garch values, and then run a VAR modelusing the generated GARCH values. H...
by AfonsoRod
Tue May 21, 2019 3:31 pm
Forum: Econometric Discussions
Topic: GARCH MODEL with multiple explanatory variables
Replies: 1
Views: 58

GARCH MODEL with multiple explanatory variables

Dear all I am trying to run a GARCH model with more than one explanatory variables but I am facing a lot of problems and doubts. First, i would like to know how can we properly decide the ARCH and GARCH values to use in the model specification. I have run a GARCH(1,1) and looked to the Variance Equa...
by AfonsoRod
Tue May 21, 2019 11:13 am
Forum: Estimation
Topic: Dummy variable for summer
Replies: 2
Views: 69

Re: Dummy variable for summer

EViews Gareth wrote:

Code: Select all

@holiday("Jun21 Sep20")>0


Thank you very much, Eviews Gareth

Yours sincerely,
Afonso Rodrigues
by AfonsoRod
Tue May 21, 2019 11:01 am
Forum: Estimation
Topic: Dummy variable for summer
Replies: 2
Views: 69

Dummy variable for summer

Dear all I would like to know how can we include a dummy for all the summer months at once, since I can only do it for each year separately. For that I have used the following command: summer=@date>@dateval("21/06/2009") and @date<@dateval("20/09/2009") With that I can have a dum...
by AfonsoRod
Wed May 15, 2019 10:01 am
Forum: Econometric Discussions
Topic: Data with outliers
Replies: 3
Views: 104

Re: Data with outliers

Log is a monotonic transformation. Assuming that your values are all positive, it should make no difference whether you change the sample before or after taking logs. startz, i thought that too, but I have removed the outliers using the @bounds command, and when I transformed my variables into logs...
by AfonsoRod
Wed May 15, 2019 9:44 am
Forum: Econometric Discussions
Topic: Data with outliers
Replies: 3
Views: 104

Data with outliers

Dear all I have a daily dataset from 2009 to 2018, and all my variables have outliers. I want to use the "Inter Quartile Range" to identify the outliers, and then use the @bounds command to remove them. My question is: I have to transform my variables into logs, so should I remove the outl...
by AfonsoRod
Thu Apr 11, 2019 6:49 am
Forum: Econometric Discussions
Topic: Residual Diagnostics on a GARCH model
Replies: 0
Views: 60

Residual Diagnostics on a GARCH model

Dear all, I'm conducting a study to check the impact on the wholesale electricity prices caused by the penetration of the renewable energies in the Portuguese electric system. I have hourly data from 2009 to 2018. My dependent variable is the electricity prices and my explanatory variables are the e...
by AfonsoRod
Thu Feb 28, 2019 8:31 am
Forum: Data Manipulation
Topic: Removing outliers with IQR?
Replies: 2
Views: 123

Re: Removing outliers with IQR?

[UPDATE2]

So, I think I figured it out. i used the following code for my first variable and I think it has done what I wanted:

Code: Select all

series lep = @recode(l_elec_price>3.1310155 and l_elec_price<4.6186515,l_elec_price,na)
by AfonsoRod
Thu Feb 28, 2019 8:11 am
Forum: Data Manipulation
Topic: Removing outliers with IQR?
Replies: 2
Views: 123

Re: Removing outliers with IQR?

[UPDATE] So, I am still trying to understand what codes can I use to remove the outliers from all my variables. Searching through this forum I found this topic where I think he uses the respective code to remove the top 5% from both ends. Can someone help me to write a similar code but, instead of r...
by AfonsoRod
Wed Feb 27, 2019 10:43 am
Forum: Data Manipulation
Topic: Removing outliers with IQR?
Replies: 2
Views: 123

Removing outliers with IQR?

Dear all, I have an hourly data-set covering a ten year period and I am facing a problem with outliers, witch my series contains in a high number. I know that this can be dealt with by using the Inter Quantile Range. Thus, I've calculated the IQR as well as the Lower and Upper Bound by using the fol...
by AfonsoRod
Tue Feb 26, 2019 10:30 am
Forum: Estimation
Topic: Dummy variables for each holiday day?
Replies: 2
Views: 176

Re: Dummy variables for each holiday day?

Hello, I can recommend some commands for creating the dummies. For the annual holidays, series holiday1 = @holiday("jan1") > 0 For the one-time holidays, series holiday2 = @event("2016mar25") > 0 For the annual holidays with a gap, series holiday3 = @holiday("oct5") an...
by AfonsoRod
Tue Feb 26, 2019 9:59 am
Forum: Estimation
Topic: Dummy variables for each holiday day?
Replies: 2
Views: 176

Dummy variables for each holiday day?

Dear all, I have an hourly data-set from 01-Jan-2009 to 31-12-2018 (10 years) for Portugal. I need to create a dummy for each holiday day. Do I have to create a dummy for each day, or is there any simpler way to do that? In the below image you can see every holiday days that were in Portugal from 20...
by AfonsoRod
Tue Feb 26, 2019 9:07 am
Forum: Data Manipulation
Topic: Drop week days?
Replies: 2
Views: 102

Re: Drop week days?

After some navigation through Eviews buttons I figured out how to do it. If anyone is interested you just need to click "proc" - "Structure/Resize Current Page...". Then you just need to change the days to 1 till 5, and Eviews will automatically delete all observations of Saturda...
by AfonsoRod
Tue Feb 26, 2019 8:20 am
Forum: Data Manipulation
Topic: Drop week days?
Replies: 2
Views: 102

Drop week days?

Dear all, I am working on an hourly data-set from 01-Jan-2009 until 31-12-2018. Initially i was working with all 7 days of the week, but now I wanted to see the results when only using the 5 week days (i.e. droping Saturday and Sunday). So, my question is if there is any way of doing that with an Ev...

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