## Search found 32 matches

Thu Jun 13, 2019 7:41 am
Forum: Econometric Discussions
Topic: Garch and calendar anomalies
Replies: 1
Views: 236

### Re: Garch and calendar anomalies

Dear ronni777 I am also not an expert in Eviews or Econometrics but I think I can give some correct ideas. I think that you can't choose whether to add the constant term or not. In fact, when estimating a GARCH model you must make sure all your variables are stationary, so you should perform unit ro...
Tue Jun 11, 2019 9:51 am
Forum: Econometric Discussions
Topic: Estimate VAR model using GARCH
Replies: 0
Views: 190

### Estimate VAR model using GARCH

Dear all, I have run into some articles that perform a VAR model after performing a GARCH(1,1) model. However, they do not explain how they use the output of the GARCH model to estimate the VAR. In fact, they only say that, "in order to estimate the VAR model, we have transformed the results ob...
Wed May 22, 2019 12:37 pm
Forum: Econometric Discussions
Topic: Right specification of GARCH models?
Replies: 0
Views: 498

### 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...
Tue May 21, 2019 3:35 pm
Forum: Econometric Discussions
Topic: GARCH MODEL with multiple explanatory variables
Replies: 1
Views: 315

### 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...
Tue May 21, 2019 3:31 pm
Forum: Econometric Discussions
Topic: GARCH MODEL with multiple explanatory variables
Replies: 1
Views: 315

### 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...
Tue May 21, 2019 11:13 am
Forum: Estimation
Topic: Dummy variable for summer
Replies: 2
Views: 409

### 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
Tue May 21, 2019 11:01 am
Forum: Estimation
Topic: Dummy variable for summer
Replies: 2
Views: 409

### 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...
Wed May 15, 2019 10:01 am
Forum: Econometric Discussions
Topic: Data with outliers
Replies: 3
Views: 407

### 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...
Wed May 15, 2019 9:44 am
Forum: Econometric Discussions
Topic: Data with outliers
Replies: 3
Views: 407

### 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...
Thu Apr 11, 2019 6:49 am
Forum: Econometric Discussions
Topic: Residual Diagnostics on a GARCH model
Replies: 0
Views: 497

### 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...
Thu Feb 28, 2019 8:31 am
Forum: Data Manipulation
Topic: Removing outliers with IQR?
Replies: 2
Views: 447

### 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)`
Thu Feb 28, 2019 8:11 am
Forum: Data Manipulation
Topic: Removing outliers with IQR?
Replies: 2
Views: 447

### 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...
Wed Feb 27, 2019 10:43 am
Forum: Data Manipulation
Topic: Removing outliers with IQR?
Replies: 2
Views: 447

### 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...
Tue Feb 26, 2019 10:30 am
Forum: Estimation
Topic: Dummy variables for each holiday day?
Replies: 2
Views: 519

### 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...
Tue Feb 26, 2019 9:59 am
Forum: Estimation
Topic: Dummy variables for each holiday day?
Replies: 2
Views: 519

### 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...