Search found 33 matches

by kelaynak
Sun Nov 21, 2010 4:31 am
Forum: Estimation
Topic: multicolliniearity in the system (GMM-HAC)?
Replies: 0
Views: 897

multicolliniearity in the system (GMM-HAC)?

Hello,
I am dealing with dynamic panel data in simulatnaous system Equations.

In Eviews 7.1, Is there any way to detect multicolliniearity in system after using the system in GMM-HAC option?
Thanks in advance
by kelaynak
Mon Sep 06, 2010 10:58 pm
Forum: Estimation
Topic: p value for J-statistics for simultaneous equation (gmm)
Replies: 3
Views: 7422

Re: p value for J-statistics for simultaneous equation (gmm)

Gareth, Thanks for reply and your help. I am using Eviews system -GMM-Hac For eviews system-gmm HAC, for the following model , total moment conditions is just total instrument number? Could you please help me for it? In 2 equations, I have total 12 instruments (including constant), so total moments ...
by kelaynak
Sat Sep 04, 2010 7:40 am
Forum: Estimation
Topic: p value for J-statistics for simultaneous equation (gmm)
Replies: 3
Views: 7422

p value for J-statistics for simultaneous equation (gmm)

Hello, Could you please help me how I can find p-value for J-statistics in simulataneous equation with GMM? Specifically, I am looking "the degrees of freedom (df)" number for simulatneous equation with GMM method. I could not find how to calculate it. IF I know that, I think I can find p-...
by kelaynak
Fri Aug 27, 2010 10:03 pm
Forum: Suggestions and Requests
Topic: instrumental rank for simultaneous equaion system (gmm)
Replies: 0
Views: 1281

instrumental rank for simultaneous equaion system (gmm)

Hello, In system object (simulatneousg equations) for gmm-hac and gmm-cross secion, there is J-statistics, but there is no instrumental rank info. Therefore, I can cant calculate sargan statistcs p-value and I cannot give a comment for J-statistic. In panel Equation for gmm, Eviews give both J-stati...
by kelaynak
Fri Aug 27, 2010 5:13 am
Forum: Estimation
Topic: instrumental rank for simultaneous equation (GMM method)
Replies: 0
Views: 1246

instrumental rank for simultaneous equation (GMM method)

Hello, Could you please help me how I can find instrumental rank for simultaneous equations with GMM for panel data? I want to calculate sargan stattistics by using J-statistics. I need instrumental rank for calculation. In Panel Estimation, Eviews give both instrumental rank and J-statistics , but ...
by kelaynak
Wed Aug 25, 2010 11:01 pm
Forum: Estimation
Topic: Hansen/Sargan test for simultaneous equations with gmm
Replies: 0
Views: 2556

Hansen/Sargan test for simultaneous equations with gmm

Hello, In simultaneous equations for panel data, there is J-statistics for GMM. In manual I found that I can get Sargan test result (p-value) by using J-statistics pval=@chisq(j-statistics, (instrument rank - number of variables)) for panel data. 1) Is it also valid for simultaneousg equation in pan...
by kelaynak
Sat Aug 07, 2010 11:42 am
Forum: Estimation
Topic: Dynamic Panel Method/Arelleno-Bond
Replies: 3
Views: 4478

Re: Dynamic Panel Method/Arelleno-Bond

Hello In eviews manual (panel estimation examples), there is manually calculation method for first order auto correlation for panel. - first saving residuals then regress resid on resid(-1) and checking coeefcient whether it is less -0.5 or not. If higher, no first order autocorrelation. There is al...
by kelaynak
Sat Aug 07, 2010 9:36 am
Forum: Estimation
Topic: Dynamic Panel Method/Arelleno-Bond
Replies: 3
Views: 4478

Re: Dynamic Panel Method/Arelleno-Bond

Hello, I also need those Arellano-bond test for 1 st order autocorrelation (M1) and second order autocorrelation (M2) Is there M1 and M2 test for dynamic panel estimation in GMM in Eviews 7.1? I could not find that option in Eviews Or if there is no that choice automatic, is there any way to do it m...
by kelaynak
Thu Jul 08, 2010 3:10 am
Forum: Estimation
Topic: persistence parameter in EGARCH
Replies: 0
Views: 1209

persistence parameter in EGARCH

Hello all, Do you know how to find persistence parameter in EGARCH? I could not get any info in Eviews 7 manual. In literature, I found that "persistence of volatility is captured by the β coefficient alone in EGARCH specification", but it is not clear whether all absolute of sum β's <1 or...
by kelaynak
Thu Jun 24, 2010 2:33 pm
Forum: Add-in Support
Topic: EqTabs (Equation summaries)
Replies: 35
Views: 30489

Re: EqTabs (Equation summaries)

Hello Gareth,
It is very helpful program, thank you

I used EqTabs stack table version for AR MA model (ls y c ar(p) ma(q)) but it did not give the probability values of AR and MA coeffcient, it just gives C's probability. How can I get probabilities of AR and MA coefficienst?
Thanks
by kelaynak
Wed Jun 23, 2010 12:05 pm
Forum: Add-in Support
Topic: ARIMASel (Automatic ARIMA selection)
Replies: 85
Views: 88115

Re: ARIMASel (Automatic ARIMA selection)

Gareth, Thank you for reply and your help. It is really helpful program. Is it possible to increase AR and MA to 20 instead of 10? I know, you make reservation some ARMA parameters for SAR and SMA as there is limitation for usage of ARMA parameters in Eviews, but, in case I make 0 to SAR and SMA, Ca...
by kelaynak
Wed Jun 23, 2010 4:28 am
Forum: Add-in Support
Topic: ARIMASel (Automatic ARIMA selection)
Replies: 85
Views: 88115

Re: ARIMASel (Automatic ARIMA selection)

Hello Gareth, Thank you for add-in, it is really great. I tried to use "dlog(aust).arimasel" in comment promth , but it gave error. But when I try to use it without "dlog" in that case it works. 1) Is it possible to use dlog(series).arimasel? I would like to use dlog of my series...
by kelaynak
Mon Jun 21, 2010 2:41 pm
Forum: Programming
Topic: regression in loop structure and saving results
Replies: 5
Views: 4025

Re: regression in loop structure and saving results

Thanks Gareth.
But I could not find the translation formula from tstats to p in there?
I am remembering that in Eviews manual I see the transformation formula from tstats to p value, but I could not find it now.
If you know the formula, could you please give it?
by kelaynak
Mon Jun 21, 2010 5:13 am
Forum: Programming
Topic: regression in loop structure and saving results
Replies: 5
Views: 4025

Re: regression in loop structure and saving results

Thanks Gareth, Especially the second viewtopic that you suggested contains the program that I needed :) I just need to modify it to my system :D I will add "@rbar2" for Adjusted R2 in program. But what about, probabilities of all coefficient in regression equations? Is there any @ commnets...
by kelaynak
Sun Jun 20, 2010 12:19 pm
Forum: Programming
Topic: regression in loop structure and saving results
Replies: 5
Views: 4025

regression in loop structure and saving results

Hello, I am new in programming. May be my question so simple. If you help me, I really appreciate your help. I want do several regresiion in a loop structure for the below model for finding best AR MA parameters. I want to get all AIC, SBC, adj R2 and probabilities of coefficients (a0,a1,a2,a3) in a...

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