## Search found 18 matches

Mon Nov 26, 2018 1:05 am
Forum: Estimation
Topic: Obtaining weights with Principal component analysis
Replies: 6
Views: 4312

### Re: Obtaining weights with Principal component analysis

Hi there, I would like to obtain the minimum average partial statistic for PCA so that I can ascertain the 'optimal' number of principle components to retain. I am aware that this is a built in function for choosing the optimal number of factors in the factor analysis tool but I was wondering how I ...
Tue Sep 18, 2018 11:38 pm
Forum: Estimation
Topic: Obtaining weights with Principal component analysis
Replies: 6
Views: 4312

### Re: Obtaining weights with Principal component analysis

Thank you for your response Glenn - I have managed to obtain what i wanted to calculate from your code. I did have another more general question - i understand that EViews can report both the loadings and the eigenvectors, why would these be the same when using the covariance method of PCA? Thanks, ...
Wed Sep 12, 2018 10:56 am
Forum: Programming
Topic: Frequency conversion settings
Replies: 4
Views: 1294

### Re: Frequency conversion settings

Makes sense - thanks Gareth!
Wed Sep 12, 2018 10:54 am
Forum: Estimation
Topic: Obtaining weights with Principal component analysis
Replies: 6
Views: 4312

### Re: Obtaining weights with Principal component analysis

Hi there, I have a very similar question on PCA to the original here so hopefully this is the right place to post this. I have run covariance PCA on a set of normalised data and extracted the eigenvectors, eigenvalues and the first principle component. What I am struggling with is if I apply the fol...
Fri Sep 07, 2018 7:49 am
Forum: Programming
Topic: Frequency conversion settings
Replies: 4
Views: 1294

### Re: Frequency conversion settings

How does this work if you are pulling directly from a database?

E.g. if I am pulling an annual GDP series from Bloomberg or Haver into a quarterly work file it will automatically follow the setting that I have last used in the general options?
Fri Sep 07, 2018 3:04 am
Forum: Programming
Topic: Frequency conversion settings
Replies: 4
Views: 1294

### Frequency conversion settings

Hi there, Is there a way for me to ensure that the low to high frequency conversion settings will always be the same when I run a particular program? For example, in some instances I might want to use a constant value for the period say if I were using a policy rate, whilst if I were pulling through...
Wed Aug 22, 2018 3:12 am
Topic: Large Bayesian VAR
Replies: 33
Views: 6867

### Re: Large Bayesian VAR

Hi there, Can I just confirm that the definition of the impulse responses is for a 1 standard deviation shock to the variable of interest when using the recursive/cholesky decomposition definition of the IRFs? If this is the case in the output if I shock the fed funds rate by 1 s.d. the chart is sho...
Thu Aug 16, 2018 5:36 am
Topic: Large Bayesian VAR
Replies: 33
Views: 6867

### Re: Large Bayesian VAR

Thanks Dakila - could you explain to me the difference between the generalized and cholesky impulse response functions? Am i right in thinking that generalized allow you to estimate the impact of the shocks independent of the impact of the shock on other variables within the system, hence you do not...
Wed Aug 08, 2018 6:24 am
Topic: Large Bayesian VAR
Replies: 33
Views: 6867

### Re: Large Bayesian VAR

Thank you. Is it possible to view the final coefficient estimates and the impulse responses in an extractable format rather than a frozen graph object?
Thanks,
Abigail
Wed Aug 08, 2018 2:14 am
Topic: Large Bayesian VAR
Replies: 33
Views: 6867

### Re: Large Bayesian VAR

Thank you for your quick response dakila. How is the cholesky ordering specified? Is this taken from the ordering of the variables in the model specification?
Wed Aug 08, 2018 12:37 am
Topic: Large Bayesian VAR
Replies: 33
Views: 6867

### Re: Large Bayesian VAR

Hi there I am trying to estimate a LBVAR in using the add in but I have a couple of questions on the estimation procedure. 1. Is the model estimated following the hierarchical approach of Giannone et al (2012) in their paper prior selection for vector autoregressions? 2. Are the impulse responses fo...
Wed Sep 13, 2017 7:48 am
Forum: Data Manipulation
Topic: Elementwise multiplication
Replies: 6
Views: 2101

### Re: Elementwise multiplication

Oh wow! I was being genuinely moronic... Just needed to transpose one of the matrices. Apologies!
Wed Sep 13, 2017 6:55 am
Forum: Data Manipulation
Topic: Elementwise multiplication
Replies: 6
Views: 2101

### Re: Elementwise multiplication

Hi Gareth

This only works if the matrices are of the same size, in excel the data has to be the same number of columns as rows in the first.

Is there a way to do the matrix product of two matrices of differing sizes?

First matrix is 15x15 and the second is 1x15.

Thanks,
Abi
Wed Sep 13, 2017 1:26 am
Forum: Data Manipulation
Topic: Elementwise multiplication
Replies: 6
Views: 2101

### Re: Elementwise multiplication

Hi there, I am looking for the eviews command that would replicate the excel function mmult, this function is described as "Returns the matrix product of two arrays. The result is an array with the same number of rows as array1 and the same number of columns as array2.". I have been using ...
Wed Aug 30, 2017 3:38 am
Forum: Estimation
Topic: BVAR
Replies: 5
Views: 1659

### Re: BVAR

I have now found the documentation! Apologies - Abi