Search found 43 matches
- Tue Nov 26, 2019 9:30 am
- Forum: Econometric Discussions
- Topic: Raw Novice - need some advice
- Replies: 1
- Views: 4206
Re: Raw Novice - need some advice
There are some things you should do before running your regression, namely the unit root tests. It is not clear if you have done it or not.
- Mon Nov 25, 2019 8:52 am
- Forum: Econometric Discussions
- Topic: how to interpret Eviews impulse response graph results
- Replies: 1
- Views: 4401
Re: how to interpret Eviews impulse response graph results
I think your results can not be trusted, since I believe that those red lines must be in the same quadrant, which does not happen in any of your graphs. I am not acquainted enough with VAR models to tell you how can you solve that problem, so my advice is for you to study well the fundamentals of th...
- Tue Nov 19, 2019 10:27 am
- Forum: Econometric Discussions
- Topic: GARCH model with Variance Equation coefficients greater than 1
- Replies: 0
- Views: 7361
GARCH model with Variance Equation coefficients greater than 1
Dear all I have estimated a GARCH(p,q) model with multiple explanatory variables. Also, in order to solve problems regarding auto-correlation, partial auto-correlation and heteroskedasticity I have joined some ARMA and SARMA terms. However, my variance equation coefficients sum up to a little bit mo...
- Thu Oct 03, 2019 9:36 am
- Forum: Add-in Support
- Topic: Automatic ARIMA selection - Too many ARMA terms
- Replies: 11
- Views: 15400
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
- Thu Oct 03, 2019 9:33 am
- Forum: Add-in Support
- Topic: Automatic ARIMA selection - Too many ARMA terms
- Replies: 11
- Views: 15400
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As an aside, you should really use the built in automatic arima selection rather than the outdated add-in.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?
- Thu Oct 03, 2019 9:28 am
- Forum: Add-in Support
- Topic: Automatic ARIMA selection - Too many ARMA terms
- Replies: 11
- Views: 15400
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?
- Thu Oct 03, 2019 9:13 am
- Forum: Add-in Support
- Topic: Automatic ARIMA selection - Too many ARMA terms
- Replies: 11
- Views: 15400
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...
- Wed Oct 02, 2019 1:54 pm
- Forum: Add-in Support
- Topic: Automatic ARIMA selection - Too many ARMA terms
- Replies: 11
- Views: 15400
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
- Wed Oct 02, 2019 11:14 am
- Forum: Add-in Support
- Topic: Automatic ARIMA selection - Too many ARMA terms
- Replies: 11
- Views: 15400
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...
- Wed Oct 02, 2019 9:29 am
- Forum: Add-in Support
- Topic: Automatic ARIMA selection - Too many ARMA terms
- Replies: 11
- Views: 15400
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...
- Wed Sep 25, 2019 9:24 am
- Forum: Econometric Discussions
- Topic: Different Unit Root Tests results
- Replies: 0
- Views: 6682
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 ...
- Thu Jun 13, 2019 7:41 am
- Forum: Econometric Discussions
- Topic: Garch and calendar anomalies
- Replies: 1
- Views: 3385
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: 2904
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: 3169
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: 3429
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...