Search found 6 matches
- Sat Sep 15, 2018 5:46 am
- Forum: Econometric Discussions
- Topic: Kalman filter with GARCH errors
- Replies: 0
- Views: 3852
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...
- Sun Aug 12, 2018 6:07 am
- Forum: Estimation
- Topic: 2sls by hand vs. 2sls EViews
- Replies: 2
- Views: 4074
Re: 2sls by hand vs. 2sls EViews
I was right that it is trivial:) Thank you.
- Fri Aug 10, 2018 8:25 am
- Forum: Estimation
- Topic: 2sls by hand vs. 2sls EViews
- Replies: 2
- Views: 4074
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.
- Wed Jul 25, 2018 2:13 am
- Forum: Add-in Support
- Topic: UCSVM
- Replies: 12
- Views: 43694
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?
- Fri Mar 16, 2018 4:09 am
- Forum: Program Repository
- Topic: Gaussian copula - toy example
- Replies: 0
- Views: 39252
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 ...
- Fri Jan 05, 2018 5:16 am
- Forum: Add-in Support
- Topic: BBQ add-in
- Replies: 12
- Views: 19467
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...