Search found 4 matches

by Patric9871
Thu Apr 04, 2019 12:19 pm
Forum: Econometric Discussions
Topic: WLS eviews options for weights
Replies: 1
Views: 450

Re: WLS eviews options for weights

Any help, please?
by Patric9871
Tue Mar 19, 2019 3:28 am
Forum: Econometric Discussions
Topic: WLS eviews options for weights
Replies: 1
Views: 450

WLS eviews options for weights

Hi, I am modelling financial data with very high frequency. I have more than 150 000 observations (1 minute rates of return), but many of them are equal to 0, because there is not always transaction made every minute. I am using Eviews 9, 64-bit ver My model looks like that: rate(t) = f(rate(t-1), r...
by Patric9871
Fri Mar 08, 2019 9:15 am
Forum: Programming
Topic: Lag selection
Replies: 16
Views: 8759

Re: Lag selection

From the estimation results there is no difference, they are the same.
But is the mentioned code correct for the purpose / logical? I.e. does it select the optimal lag values?
by Patric9871
Fri Mar 08, 2019 8:39 am
Forum: Programming
Topic: Lag selection
Replies: 16
Views: 8759

Re: Lag selection

Hi, I am using Eviews 9. I would like to confirm if my programm for optimal lag selection based on AIC in standard LS reg is correct. Regression: Y(C, Y-1, ... Y-k, X1 ... X1-j, X2... X2-j, ... X5...,X5-j, dummy) X1... X5 have the same lag (j) Y has lag k I want to find optimal (min AIC) combination...

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