Search found 40 matches

by AfonsoRod
Thu Oct 03, 2019 9:36 am
Forum: Add-in Support
Topic: Automatic ARIMA selection - Too many ARMA terms
Replies: 11
Views: 406

Re: Automatic ARIMA selection - Too many ARMA terms

EViews Gareth wrote:http://eviews.com/help/helpintro.html#page/content%2Fseries-Automatic_ARIMA_Forecasting.html%23


Thank you for all the help
by AfonsoRod
Thu Oct 03, 2019 9:33 am
Forum: Add-in Support
Topic: Automatic ARIMA selection - Too many ARMA terms
Replies: 11
Views: 406

Re: Automatic ARIMA selection - Too many ARMA terms

EViews Gareth wrote:Not sure.


As an aside, you should really use the built in automatic arima selection rather than the outdated add-in.


I do not have knowledge of that built in automatic arima selection. Where can I learn more about it?
by AfonsoRod
Thu Oct 03, 2019 9:28 am
Forum: Add-in Support
Topic: Automatic ARIMA selection - Too many ARMA terms
Replies: 11
Views: 406

Re: Automatic ARIMA selection - Too many ARMA terms

EViews Gareth wrote:Sorry, I should have been more clear.

#AR + #MA + #AR*#SAR + #MA*#SMA


Just one last thing: If in the "Searchable SAR terms" I write the options 0, 7 and 12, does that mean I have 3 SAR terms or just 2?
by AfonsoRod
Thu Oct 03, 2019 9:13 am
Forum: Add-in Support
Topic: Automatic ARIMA selection - Too many ARMA terms
Replies: 11
Views: 406

Re: Automatic ARIMA selection - Too many ARMA terms

It is number of AR terms * number of SAR terms plus MA*SMA Eviews Gareth, I'm sorry for the pressing, but in the tests I'm doing after your last help I tried to conduct two different tests, namely: - 4 AR terms, 4 MA terms, 3 SAR terms and 3 SMA terms (0, 7 and 12) - 6 AR terms, 6 MA terms, 2 SAR t...
by AfonsoRod
Wed Oct 02, 2019 1:54 pm
Forum: Add-in Support
Topic: Automatic ARIMA selection - Too many ARMA terms
Replies: 11
Views: 406

Re: Automatic ARIMA selection - Too many ARMA terms

EViews Gareth wrote:It is number of AR terms * number of SAR terms plus MA*SMA


Thank you for the help
by AfonsoRod
Wed Oct 02, 2019 11:14 am
Forum: Add-in Support
Topic: Automatic ARIMA selection - Too many ARMA terms
Replies: 11
Views: 406

Re: Automatic ARIMA selection - Too many ARMA terms

Seasonal ARMA terms are multiplicative in the restriction. Eviews Gareth, thank you for your answer. But even if the seasonal ARMA terms are multiplicative shouldn't it still be possible to perform the test? 8 AR terms + 8 MA terms + ( 2 * 2 SAR terms) + ( 2 * 2 SMA terms ) = 24 ARMA terms Also, ev...
by AfonsoRod
Wed Oct 02, 2019 9:29 am
Forum: Add-in Support
Topic: Automatic ARIMA selection - Too many ARMA terms
Replies: 11
Views: 406

Automatic ARIMA selection - Too many ARMA terms

Dear all I am trying to use the Automatic ARIMA selection add-in to select the correct ARMA terms to use. I read that, since I have daily data, I should test for 8 maximum number of AR and MA terms (7 days +1). Also, i also want to test my data for SAR and SMA terms. Hence, I specified ARMA add-in a...
by AfonsoRod
Wed Sep 25, 2019 9:24 am
Forum: Econometric Discussions
Topic: Different Unit Root Tests results
Replies: 0
Views: 442

Different Unit Root Tests results

Dear all I am working with a dataset with daily frequency with a total of 1461 observations. I performed Unit Root Tests to my variables but I ended up with some different results, as you can see in the image below: urt.png I have painted in yellow the results that tell me that my data is I(1) with ...
by AfonsoRod
Thu Jun 13, 2019 7:41 am
Forum: Econometric Discussions
Topic: Garch and calendar anomalies
Replies: 1
Views: 363

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...
by AfonsoRod
Tue Jun 11, 2019 9:51 am
Forum: Econometric Discussions
Topic: Estimate VAR model using GARCH
Replies: 0
Views: 339

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...
by AfonsoRod
Wed May 22, 2019 12:37 pm
Forum: Econometric Discussions
Topic: Right specification of GARCH models?
Replies: 0
Views: 642

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: 426

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: 426

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: 487

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: 487

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...

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