Search found 4 matches
- Thu Apr 04, 2019 12:19 pm
- Forum: Econometric Discussions
- Topic: WLS eviews options for weights
- Replies: 1
- Views: 3103
Re: WLS eviews options for weights
Any help, please?
- Tue Mar 19, 2019 3:28 am
- Forum: Econometric Discussions
- Topic: WLS eviews options for weights
- Replies: 1
- Views: 3103
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...
- Fri Mar 08, 2019 9:15 am
- Forum: Programming
- Topic: Lag selection
- Replies: 16
- Views: 18389
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?
But is the mentioned code correct for the purpose / logical? I.e. does it select the optimal lag values?
- Fri Mar 08, 2019 8:39 am
- Forum: Programming
- Topic: Lag selection
- Replies: 16
- Views: 18389
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...