Search found 87 matches

by maragloria
Tue Nov 19, 2019 8:46 am
Forum: Programming
Topic: unrestricted VAR: possible to impose another constant value when forecasting?
Replies: 4
Views: 187

Re: unrestricted VAR: possible to impose another constant value when forecasting?

Hello Matt,

Thanks for your prompt reply. Is there a model command I could use to overwrite the constant value? I'll be performing rolling regressions, and I'll like to program the 4 steps you suggest.

Thanks again,

Mara
by maragloria
Mon Nov 18, 2019 1:25 pm
Forum: Programming
Topic: unrestricted VAR: possible to impose another constant value when forecasting?
Replies: 4
Views: 187

unrestricted VAR: possible to impose another constant value when forecasting?

Hi there,

I would like to know if it would be possible to change the constant in an unrestricted VAR to a different value prior to performing (dynamic) forecasts?
No other coefficient estimates need to change besides the constant.

Many thanks,

Mara
by maragloria
Thu Aug 29, 2019 1:57 pm
Forum: Programming
Topic: @strdate for current sample
Replies: 2
Views: 308

Re: @strdate for current sample

Thanks for the prompt reply!
by maragloria
Thu Aug 29, 2019 1:19 pm
Forum: Programming
Topic: @strdate for current sample
Replies: 2
Views: 308

@strdate for current sample

Hi there,

I understand that @strdate returns a string list corresponding to each element in workfile.
Is there a similar function available to obtain each element in the the current sample ?

Many thansk,

Mara
by maragloria
Fri Sep 22, 2017 6:13 am
Forum: Programming
Topic: fitted value off-scale - panel group-mean method
Replies: 5
Views: 1683

Re: fitted value off-scale - panel group-mean method

Thank you for your reply. If I understand correctly your explanation, the off-scale is a result of EViews using the mean betas to get the fit. Since a country-specific beta can be quite different from the mean, the resultant country-specific fit can be "off". I manually calculated fitted v...
by maragloria
Thu Sep 21, 2017 2:27 pm
Forum: Programming
Topic: fitted value off-scale - panel group-mean method
Replies: 5
Views: 1683

Re: fitted value off-scale - panel group-mean method

Please find it attached. Thank you!
by maragloria
Thu Sep 21, 2017 10:45 am
Forum: Programming
Topic: fitted value off-scale - panel group-mean method
Replies: 5
Views: 1683

fitted value off-scale - panel group-mean method

Hi there, I'm doing panel cointegration estimations, comparing group-mean with weighted-pooled method. Something weird is happenning with the fitted value when using group-mean method. It's off-scale compared to the values of the dependant variable. This does not happen with the weighted-pooled meth...
by maragloria
Wed Sep 06, 2017 7:31 am
Forum: Estimation
Topic: panel fully-modified OLS: AIC selects negative whitening lag
Replies: 4
Views: 1889

Re: panel fully-modified OLS: AIC selects negative whitening lag

Thank you very much.
Just a follow-up question, if instead I use a fixed lag number, then the same number is used for each individual cross-section, right?
by maragloria
Tue Sep 05, 2017 3:14 pm
Forum: Estimation
Topic: panel DOLS: how to exclude dummy interaction terms from short-run dynamics?
Replies: 1
Views: 1104

panel DOLS: how to exclude dummy interaction terms from short-run dynamics?

Hello, I'm trying to account for structural breaks in the cointegrating relatioship by including breakpoint dummies interacting with the long-run coefficients (as well as the intercept shift term) using panel DOLS estimator. How can I tell EViews (9.5) not to include these dummy interactions in the ...
by maragloria
Tue Aug 29, 2017 11:14 am
Forum: Estimation
Topic: panel fully-modified OLS: AIC selects negative whitening lag
Replies: 4
Views: 1889

panel fully-modified OLS: AIC selects negative whitening lag

Hello, I'm using EViews 9.5. I'm using FM-OLS to estimate data in panel. When using information criteria such as AIC or BIC to select the whitenning lags, I'm getting: "Long-run covariance estimates (Prewhitening with lags = -1 from AIC, maxlags = 4 ... )" I find that strange, as if I try ...
by maragloria
Tue Aug 01, 2017 9:35 am
Forum: Programming
Topic: retrieving lags selected by AIC/BIC
Replies: 9
Views: 3291

Re: retrieving lags selected by AIC/BIC

Got it! Thank you very much.
by maragloria
Tue Aug 01, 2017 9:14 am
Forum: Programming
Topic: retrieving lags selected by AIC/BIC
Replies: 9
Views: 3291

Re: retrieving lags selected by AIC/BIC

Hello Gareth, I run the following code to retrieve the lags selected by AIC, using ARDL/PMG panel estimator. The code searches for the minimum AIC. 'run ARDL/PMG estimation !maxlagcrit=4 !mininfocrit=10 for !lagdep=1 to !maxlagcrit for !lagexp=1 to !maxlagcrit equation _eqardl_aic.ardl(fixed,deplags...
by maragloria
Fri Jul 28, 2017 5:09 pm
Forum: Programming
Topic: retrieving lags selected by AIC/BIC
Replies: 9
Views: 3291

Re: retrieving lags selected by AIC/BIC

Thank you for the reply, I'll use the residuals option.
by maragloria
Fri Jul 28, 2017 1:32 pm
Forum: Programming
Topic: retrieving lags selected by AIC/BIC
Replies: 9
Views: 3291

Re: retrieving lags selected by AIC/BIC

equation eqdols.cointreg(method=dols, lag=1, lead=1, panmethod=grouped) neerln cpieff nfa totln prodeff gdebteff
!aictemp=_eqdols.@aic

I also used the "pooled" and "w-pooled" methods (and greater number of lags & leads) to check if matters; I still got NA.

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