Search found 4 matches

by awaidy
Mon Jul 15, 2019 9:18 am
Forum: Econometric Discussions
Topic: Quarterization of Annual Data with EViews
Replies: 0
Views: 811

Quarterization of Annual Data with EViews

Hello all, So, I have annual data on certain series but now I realize that I need quarterly data for estimation purposes. EViews does provide a way of doing that. But I wanted to ask how 'academic' would that be? Is there a theoretical justification for that? By that, I mean are there some papers wr...
by awaidy
Mon Jul 15, 2019 7:57 am
Forum: Programming
Topic: Rolling Regression with a VAR
Replies: 3
Views: 559

Re: Rolling Regression with a VAR

Also, I found basic programs that forecast with an equation. But I was having difficulties adapting them to a VAR. Probably because the coefficient matrix of a VAR would be different?

Please help :)
by awaidy
Mon Jul 15, 2019 7:52 am
Forum: Programming
Topic: Rolling Regression with a VAR
Replies: 3
Views: 559

Rolling Regression with a VAR

Hello all, I am working with a workfile (attached) and I want to do a 4-period ahead forecast with a VAR. The data is quarterly from 1960q1 through 2017q4. So, this is what I want it to do: 1. Estimate a VAR over 40 observations ((40/4) = 10 years) and then forecast 4 periods ahead. 2. The forecaste...
by awaidy
Fri Jun 28, 2019 12:21 pm
Forum: Estimation
Topic: Anticipated Monetary Policy Shock in VAR
Replies: 0
Views: 602

Anticipated Monetary Policy Shock in VAR

Hello all, so I was trying to implement a VAR and generate impulse responses with anticipated shocks (shocks at a lag h of monetary policy rate). I know that it is easily executed in Dynare. But, is there a possibility to do this in EViews - perhaps through a manually written code?

Thank you!

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