Search found 8 matches

by theodore04
Wed Mar 15, 2017 8:27 am
Forum: Estimation
Topic: Beta-t-EGARCH
Replies: 0
Views: 733

Beta-t-EGARCH

Dear All,

I was wondering if you are aware of an EViews program or add-in that can estimate the Beta-t-EGARCH that is available here:

http://www.econ.cam.ac.uk/DCS/programs.html

regards
Theo
by theodore04
Sat Mar 15, 2014 8:30 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 121
Views: 79508

Re: DCCGARCH11

is the documentation available? This thread is about dccgarch11 add-in. The add-in allows you to build and estimate Dynamic Conditional Correlation models, which are the more flexible and parameterized class of Multivariate GARCH-family. It is written/designed with primarily educational purposes in ...
by theodore04
Wed Jul 20, 2011 9:20 am
Forum: Data Manipulation
Topic: Unbalanced Panel Manipulation
Replies: 3
Views: 1786

Re: Unbalanced Panel Manipulation

thanks.

is there any problem when one has a panel dataset?

what happens when for a cross section the first obs is missing?

is there a danger that is using info from the previous cross section?

thanks
by theodore04
Wed Jul 20, 2011 3:17 am
Forum: Data Manipulation
Topic: Unbalanced Panel Manipulation
Replies: 3
Views: 1786

Unbalanced Panel Manipulation

Dear All,

I have an unbalanced panel and want/wish to make it balanced. Is there a quick way of doing this?

Is there a way of replacing the NA values with the average of the observation before and after or something like this?

regards
by theodore04
Fri Jul 15, 2011 8:34 am
Forum: Estimation
Topic: Panel Data - Quantile Regression
Replies: 5
Views: 3123

Re: Panel Data - Quantile Regression

so is it performing a cross section quantile regression irrespective of the cross section and the time dimension? It is estimating a standard quantile regression on the stacked data, with the exception that any lags you have will not cut across cross-sections. Assuming you have no lags, it will give...
by theodore04
Sun Feb 28, 2010 7:12 am
Forum: Programming
Topic: Impulse Response Function is a system (multivariate GARCH)
Replies: 0
Views: 1315

Impulse Response Function is a system (multivariate GARCH)

Dear All,

I am estimating multivariate GARCH (BEKK) through the Systems in EViews. Once I have a got the estimates are you aware of a code that can help me get the impulse responses?

thanks
by theodore04
Thu Jul 09, 2009 6:36 am
Forum: Programming
Topic: a program for the kpss test
Replies: 4
Views: 4676

Re: a program for the kpss test

I am also looking for an EViews code to perform the KPSS test statistic.

would it be possible for the EViews team or somebody else to post it in the repository?
by theodore04
Fri Nov 07, 2008 9:50 am
Forum: Estimation
Topic: GARCH Hedge Ratio Using BEKK
Replies: 5
Views: 5616

Re: GARCH Hedge Ratio Using BEKK

does anyone know whether there is a way of estimating a multivariate GARCH-M in EViews 6?

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