Search found 14 matches

by niels
Mon Feb 16, 2009 4:13 am
Forum: Estimation
Topic: Cointegration equations
Replies: 0
Views: 1261

Cointegration equations

I have estimated a Vector error correction model with 2 cointegration equations, and I want to obtain the values for the coefficients. But, I think Eviews transforms the estimates because the first two variables has the value 1,0 and 0,1, and the coefficients for the rests changes each time I re-est...
by niels
Tue Feb 10, 2009 6:43 am
Forum: Estimation
Topic: Vector of Cointegrating eq
Replies: 0
Views: 1220

Vector of Cointegrating eq

When estimating a vector error-correction model with 2 cointegration equations where can I see the coefficients for both equations ?

Niels
by niels
Mon Jan 05, 2009 2:52 pm
Forum: Estimation
Topic: Test for seasonal unit roots
Replies: 2
Views: 2153

Re: Test for seasonal unit roots

Thanks a lot - I will see if I can use.

Regards
Niels
DK
by niels
Mon Jan 05, 2009 2:49 pm
Forum: Programming
Topic: Forecast with endogenous and exogenous variables
Replies: 8
Views: 5987

Re: Forecast with endogenous and exogenous variables

Yes, it works. However, there is one problem. When I run the program with ' set step size is 3 month !step = 3 ' move sample !step obs at a time for !i = 1 to !length-!window+1-!step step !step I thought the result would be a 3 month forecast from today, move sample 1 period ahead and then make new ...
by niels
Mon Jan 05, 2009 3:56 am
Forum: Estimation
Topic: Test for seasonal unit roots
Replies: 2
Views: 2153

Test for seasonal unit roots

Is it possible to perform test for seasonal unit roots in Eviews (the HEGY-test) ?
by niels
Mon Jan 05, 2009 1:51 am
Forum: Programming
Topic: Forecast with endogenous and exogenous variables
Replies: 8
Views: 5987

Forecast with endogenous and exogenous variables

Hi ! I am using a vector error correction model (VEC) to perform forecast with. When I run the program (see below) it assumes that all variables are endogenous. Is it possible to keep only one the variables as endogenous and the rest as exogenous ? Maybe I need to add something to the .solve line......
by niels
Wed Dec 10, 2008 1:41 pm
Forum: Estimation
Topic: Dynamic forecast
Replies: 1
Views: 2618

Re: Dynamic forecast

I have solved the problem. In the Solve Model I can select which equations are exogenous (click on the VEC-equation and a box named Properties shows up. Under endogenous it is possible to assign which variables are exogenous for a specific period.). Afterwards I run the forecasts. Perfect, but, now ...
by niels
Tue Dec 09, 2008 3:22 pm
Forum: Estimation
Topic: Dynamic forecast
Replies: 1
Views: 2618

Dynamic forecast

I have a question concerning the forecast options in Eviews. After estimating a VEC-model I want to make the following forecasts: 1) For the forecast period I want to use ex ante values for only one of the variables in the system (the endogenous variable) and ex post values for the rest (exogenous) ...
by niels
Tue Nov 18, 2008 5:10 am
Forum: Programming
Topic: Dynamic forecasting with coefficient update in a VEC-model
Replies: 5
Views: 6400

Re: Dynamic forecasting with coefficient update in a VEC-model

Thanks for your quick answer. I modifed the program and the results are stored in a series. But the problem now is that the forecast-serie from the program differs the forecasts obtained manually (by making a model from the VEC-specification and then solve the model). When I am running the forecast ...
by niels
Mon Nov 17, 2008 1:51 pm
Forum: Estimation
Topic: Test for parameter stability in a VEC-model
Replies: 2
Views: 5686

Re: Test for parameter stability in a VEC-model

Thanks for your advice.

Niels
by niels
Mon Nov 17, 2008 1:49 pm
Forum: Programming
Topic: Dynamic forecasting with coefficient update in a VEC-model
Replies: 5
Views: 6400

Re: Dynamic forecasting with coefficient update in a VEC-model

I am trying to create a dynamic forecasting for a VEC-model which also re-estimates the model after each forecast. But I have problems with storing the data in the temporary file (receive the message "TMP_EURUSD_FC is not defined in "GENR EURUSD_FC = TMP_EURUSD_FC"). The program is as...
by niels
Sat Nov 15, 2008 8:07 am
Forum: Programming
Topic: Dynamic forecasting with coefficient update in a VEC-model
Replies: 5
Views: 6400

Dynamic forecasting with coefficient update in a VEC-model

In Eviews there is a sample program on how to do a rolling forecast with coefficient update (rollfcst1.pgm) when you have an equation. I am working with an VECM and since the dynamic forecasting option is only with constant coefficient estimates (I assume) I am not sure how to do the forecast. Regar...
by niels
Sat Nov 15, 2008 4:05 am
Forum: Estimation
Topic: Test for parameter stability in a VEC-model
Replies: 2
Views: 5686

Test for parameter stability in a VEC-model

Hi ! I have estimated a VEC-model, and now I would like to do a test for parameter stability (like forward and backward recursive tests of constancy (described in Juselius 2006) or CUSUM test). Under Eviews help topics I can only find tests for misspecification. Is there anyone who can help me :D Th...
by niels
Mon Nov 10, 2008 1:48 am
Forum: Estimation
Topic: Residuals from VAR-model
Replies: 1
Views: 2295

Residuals from VAR-model

Hi there! How can it be that when I estimate a VAR-model and do a test for normality in the residuals the test-results are different compared to the normality-test conducted when the residuals are obtained from the procedure "Make residuals" ?

Bibi

Niels Mellemgaard
Denmark

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