Search found 35 matches

by stoddj
Fri Oct 04, 2019 9:03 am
Forum: Models
Topic: problem with scenario
Replies: 3
Views: 4753

Re: problem with scenario

Thanks very much. Here is the workfile. Look at MODEL01, which is based on VAR01. The series I tried to manipulate and treat exogenously is CO2AV, which has been set on a path for a 30% decline as CO2AV_1. // Jim Stodder
by stoddj
Thu Oct 03, 2019 3:46 pm
Forum: Models
Topic: problem with scenario
Replies: 3
Views: 4753

problem with scenario

I have previously used the overwrite/exclude option in a model linked to a VEC, but I am having trouble with my current model. In an earlier model (to which I still have access) I rewrote several endogenous variables, forcing them to decline rapidly, and then marking the new variables with the "...
by stoddj
Thu Jul 26, 2018 6:23 pm
Forum: Estimation
Topic: cointegration output with restrictions
Replies: 1
Views: 1429

Re: cointegration output with restrictions

I should have mentioned my version, which is 9.5.
by stoddj
Thu Jul 26, 2018 3:17 pm
Forum: Estimation
Topic: cointegration output with restrictions
Replies: 1
Views: 1429

cointegration output with restrictions

This may be a newbie question. I've imposed restrictions on the cointegration equation in a VEC model. The result I see shows only the coefficients on the cointegrating equation, but nothing else -- no standard errors, R-squared, etc. Is there a way to do this? I can get full regression output via t...
by stoddj
Fri Jun 26, 2015 5:25 pm
Forum: Econometric Discussions
Topic: ARDL Documentation, EViews 9
Replies: 4
Views: 2853

Re: ARDL Documentation, EViews 9

OK, thank you for clarifying that. But let me suggest that I may not be alone in reading the EViews output literally. In my variable LRTURN, it reads: "ARDL Cointegrating And Long Run Form Dependent Variable: LRTURN." According to what you're saying, shouldn't it read D(LRTURN)? Note that ...
by stoddj
Fri Jun 26, 2015 3:53 pm
Forum: Econometric Discussions
Topic: ARDL Documentation, EViews 9
Replies: 4
Views: 2853

Re: ARDL Documentation, EViews 9

Thank you for this reply, but I still don't understand. I see that the RHS variables are in differences, as you say, while the cointegrating equation itself is in levels -- as normal for an ECM. And I see that the LHS variable is in levels, as you say -- so not standard ECM form. Why does the docume...
by stoddj
Fri Jun 26, 2015 2:36 pm
Forum: Econometric Discussions
Topic: ARDL Documentation, EViews 9
Replies: 4
Views: 2853

ARDL Documentation, EViews 9

The EViews 9 User's Guide for ARDL testing, equation (27.1), shows an auto-regressive equation, with both y and x terms in levels . In turning this into an estimate of cointegrated and long-run relationships, (27.3) then transforms (27.1) into an ECM form -- with both x and y in first difference lag...
by stoddj
Tue Jan 20, 2015 12:56 pm
Forum: Estimation
Topic: Using Cointreg in a VEC model
Replies: 1
Views: 1494

Re: Using Cointreg in a VEC model

This is by way of a partial 'reply' to my own post. I'd still like an answer to those questions posed, about differeneces in the form of the cointegrating equation when estimated as 'stand alone,' as opposed to when it is embedded within a VEC model. As I said before, this may be a beginner-level er...
by stoddj
Mon Dec 29, 2014 4:52 pm
Forum: Estimation
Topic: Using Cointreg in a VEC model
Replies: 1
Views: 1494

Using Cointreg in a VEC model

I wish to use variables in the cointegration portion of a VEC model, some of which will NOT be included in the VAR portion. Therefore the COINTREG routine naturally suggests itself. My difficulty is in a first step, trying to get 'up to speed.' That is, I'm unable to replicate the cointegration resu...
by stoddj
Fri Jan 10, 2014 6:40 pm
Forum: Data Manipulation
Topic: Cross-sections dropped in Pedroni resid. cointeg. test
Replies: 1
Views: 1364

Cross-sections dropped in Pedroni resid. cointeg. test

I don't understand why my panels have been dropped and no estimation given (output is 'NA') in the 2 ADF tests (both Panel and Group) for the Pedroni residual conitegration tests. The read-out from Eviews 8.2 is as follows: "Cross-sections included: 6 in non-parametric (PP) test; 0 (6 dropped) ...
by stoddj
Sun Mar 10, 2013 6:15 pm
Forum: Estimation
Topic: Panel Bootstrap
Replies: 1
Views: 1423

Panel Bootstrap

I am wondering if EViews 8 can perform bootstrapping with panel data. I don't yet have version 8, but don't see any such capacity in the online materials. I realize that these methods are still fairly new. The following seems like a good reference: Di Lorio, Francesca and Fachin, Stefano, A Panel Co...
by stoddj
Mon Feb 11, 2013 3:47 pm
Forum: Estimation
Topic: Panel cointegration estimations - possible with Eviews 7?
Replies: 32
Views: 18911

Re: Panel cointegration estimations - possible with Eviews 7

OK, Glen -- that's the sort of basic assurance I was looking for. Guess I'll just have to dig in to the original papers and try to program it. Thanks again.
by stoddj
Fri Feb 08, 2013 2:31 pm
Forum: Estimation
Topic: Panel cointegration estimations - possible with Eviews 7?
Replies: 32
Views: 18911

Re: Panel cointegration estimations - possible with Eviews 7

I'm concerned, however, that asymptotic results may not help me much, given my small sample size. I have too look at the small sample size properties of these estimators, which as you know are all over the place. Many of them are quite 'over-sized' at low T (so that rejection of the null of no-coint...
by stoddj
Thu Feb 07, 2013 8:53 pm
Forum: Estimation
Topic: Panel cointegration estimations - possible with Eviews 7?
Replies: 32
Views: 18911

Re: Panel cointegration estimations - possible with Eviews 7

Thanks a heap, Glen. I'm frankly surprised that all 11 Pedroni tests can be viewed as tests of cointegration in FMOLS regressions. :oops: But looking back at his 1996 and 2000 papers with titles that begin "FMOLS," and especially the 2001 REStat paper, this makes sense. I would never have ...
by stoddj
Thu Feb 07, 2013 4:43 pm
Forum: Estimation
Topic: Panel cointegration estimations - possible with Eviews 7?
Replies: 32
Views: 18911

Re: Panel cointegration estimations - possible with Eviews 7

I may be a bit dense here, but it appears you are saying that the Phillips-Perron (PP) statistics, both panel and group, are based on the FMOLS estimate. Is that right? Maybe I missed it, but I didn't see that mentioned in the documentation. (This appears unchanged from EViews 7 to 8).

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