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
Search found 8 matches
- Wed Mar 15, 2017 8:27 am
- Forum: Estimation
- Topic: Beta-t-EGARCH
- Replies: 0
- Views: 2415
- Sat Mar 15, 2014 8:30 am
- Forum: Add-in Support
- Topic: DCCGARCH11
- Replies: 121
- Views: 420356
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 ...
- Wed Jul 20, 2011 9:20 am
- Forum: Data Manipulation
- Topic: Unbalanced Panel Manipulation
- Replies: 3
- Views: 4447
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
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
- Wed Jul 20, 2011 3:17 am
- Forum: Data Manipulation
- Topic: Unbalanced Panel Manipulation
- Replies: 3
- Views: 4447
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
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
- Fri Jul 15, 2011 8:34 am
- Forum: Estimation
- Topic: Panel Data - Quantile Regression
- Replies: 5
- Views: 6465
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...
- Sun Feb 28, 2010 7:12 am
- Forum: Programming
- Topic: Impulse Response Function is a system (multivariate GARCH)
- Replies: 0
- Views: 2640
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
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
- Thu Jul 09, 2009 6:36 am
- Forum: Programming
- Topic: a program for the kpss test
- Replies: 4
- Views: 8279
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?
would it be possible for the EViews team or somebody else to post it in the repository?
- Fri Nov 07, 2008 9:50 am
- Forum: Estimation
- Topic: GARCH Hedge Ratio Using BEKK
- Replies: 5
- Views: 10253
Re: GARCH Hedge Ratio Using BEKK
does anyone know whether there is a way of estimating a multivariate GARCH-M in EViews 6?