Search found 10 matches
- Wed Jun 02, 2021 5:06 am
- Forum: Programming
- Topic: Rolling forefasting evaluation
- Replies: 2
- Views: 9617
Re: Rolling forefasting evaluation
No answer?
- Sat May 29, 2021 2:22 pm
- Forum: Programming
- Topic: Rolling forefasting evaluation
- Replies: 2
- Views: 9617
Rolling forefasting evaluation
Hi, I used the Easther codes of rolling regression for one step ahead forecasting, and I would like to generate rolling forecasting evaluation as well, this is the code that Im using: ' set window size !window = 729 ' set step size !step = 1 ' get size of workfile !length = @obsrange ' declare equat...
- Tue May 25, 2021 1:50 pm
- Forum: Program Repository
- Topic: Basic Rolling Regression
- Replies: 134
- Views: 3188290
Re: Basic Rolling Regression
Hi,
Thank you for this very usefull subject and codes.
Can someone please help me how can I generate the vector of rolling forecasting evaluations for each one of rolling forecasting point?
Thanks
Thank you for this very usefull subject and codes.
Can someone please help me how can I generate the vector of rolling forecasting evaluations for each one of rolling forecasting point?
Thanks
- Fri Nov 29, 2019 5:50 am
- Forum: Programming
- Topic: R Integration
- Replies: 10
- Views: 16955
Re: R Integration
Just an update! I checked the PC default protocol and it was correct. I contacted with IT department and they thought the problem might be related to my library path, so I changed the library location and still didn't work, then we thought as the codes stop working when its simulation turn there mig...
- Thu Nov 28, 2019 3:46 am
- Forum: Programming
- Topic: R Integration
- Replies: 10
- Views: 16955
Re: R Integration
Thank you for your answer Steve! actually I don't get confirmation for successful completion of the previous step, even if the code is not running and I wait so long the previous step does not generate any confirmation message, although it doesnt also generate error message! so it gives the impressi...
- Wed Nov 27, 2019 2:29 am
- Forum: Programming
- Topic: R Integration
- Replies: 10
- Views: 16955
Re: R Integration
Hi, thanks for this amazing feature! Im trying to use R integration to run a type of TVP VAR. It works well until I try the R confint command to generate the confidence interval for IRF. The error is: Server Busy, the action can not be completed because the other program is busy. Choose Switch To to...
- Sun Apr 28, 2019 10:16 am
- Forum: Add-in Support
- Topic: Threshold Structural VAR
- Replies: 127
- Views: 276018
Re: Threshold Structural VAR
Hi, is there any recent developed code to obtain confidence intervals for the thsvar impulse responses? thanks for the add in, but its totally impossible to convince a reviewer to have positive comments about a paper that generates impulse responses without the confidence intervals, its like reporti...
- Mon Feb 19, 2018 10:16 am
- Forum: Add-in Support
- Topic: Threshold Structural VAR
- Replies: 127
- Views: 276018
Re: Threshold Structural VAR
Hi dakila, would you please tell me in this TSVAR add-in, which method is applied to calculate the impulse responses? thanks
- Tue Jan 02, 2018 5:34 am
- Forum: Add-in Support
- Topic: Threshold Structural VAR
- Replies: 127
- Views: 276018
Re: Threshold Structural VAR
Hi, thank you very much for this usefull add in. What I understand is that this add in estimates a threshold SVAR, so the errors are uncorrelated structural shocks? however my concern is about restrictions in SVAR, there is no possibility to impose the short and long run restrictions on SVAR when us...
- Thu Dec 21, 2017 10:21 am
- Forum: Econometric Discussions
- Topic: How to read the result of BEKK GARCH model for testing volatility spillover between Asian stock markets
- Replies: 3
- Views: 12118
Re: How to read the result of BEKK GARCH model for testing volatility spillover between Asian stock markets
Hi, I have read all over the forum about the diagonal BEKK results interpretation but I am still confused :cry: . I underestand that if I have a bivariate diagonal BEKK estimation including asset i and j, then matrix A represents the effect of shock in asset i at time t-1 on the subsequent co-volati...