Search found 6 matches

by joff
Sat Sep 15, 2018 5:46 am
Forum: Econometric Discussions
Topic: Kalman filter with GARCH errors
Replies: 0
Views: 89

Kalman filter with GARCH errors

Dear all, I would like to ask about your opinion regarding the estimation of TVP model in Eview when the conditional variance of error term is time-varying. One way to go would be to use a Kalman filter with GARCH errors as in: https://www.jstor.org/stable/1392543?seq=1#page_scan_tab_contents Howeve...
by joff
Sun Aug 12, 2018 6:07 am
Forum: Estimation
Topic: 2sls by hand vs. 2sls EViews
Replies: 2
Views: 178

Re: 2sls by hand vs. 2sls EViews

I was right that it is trivial:) Thank you.
by joff
Fri Aug 10, 2018 8:25 am
Forum: Estimation
Topic: 2sls by hand vs. 2sls EViews
Replies: 2
Views: 178

2sls by hand vs. 2sls EViews

Attached is my replication of the example from Wooldridge textbook. I am puzzled because I get different coefficient estimates (EViews vs. by hand). If anybody has an explanation for this I would be grateful. I am sure it is something trivial but I just dont see it.
by joff
Wed Jul 25, 2018 2:13 am
Forum: Add-in Support
Topic: UCSVM
Replies: 2
Views: 786

Re: UCSVM

Thank you for this add-in. Would you maybe consider adding an option to include additional regressors (with TVP) in the mean equation?
by joff
Fri Mar 16, 2018 4:09 am
Forum: Program Repository
Topic: Gaussian copula - toy example
Replies: 0
Views: 927

Gaussian copula - toy example

This is just a simple example of Gaussian copula written for educational purposes but maybe someone will find it usefull. 'Example of Gaussian copula with arbitrary marginal distributions (simulation and estimation)' wfcreate u 5000 scalar n = @obssmpl scalar k = 3 'Simulate k series using standard ...
by joff
Fri Jan 05, 2018 5:16 am
Forum: Add-in Support
Topic: BBQ add-in
Replies: 12
Views: 2021

Re: BBQ add-in

Hi. I have tested the add-in using US GDP data from 1947q1 to 2017q3 over the whole sample the add-in works fine. However, when I play with the sample lenght I get two error messages (replication files are attached): - Non numeric argument (e.g. for sample 1985q1 2017q3) - Division by zero (e.g. for...

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