Search found 149 matches

Wed May 11, 2016 11:02 am
Forum: Estimation
Topic: BVAR (litterman prior)
Replies: 3
Views: 1692

Re: BVAR (litterman prior)

Is it a simple AR(p) on each endogenous variable (p being endogenous lags)?

Yes, sigma_i^2s are the variances of residuals from univariate pth order autoregressions.
Wed May 11, 2016 10:43 am
Forum: Estimation
Topic: BVAR (litterman prior)
Replies: 3
Views: 1692

Re: BVAR (litterman prior)

EViews specifies the Litterman hyperparameters to be lambda1>0, lambda2 in [0,1] and lambda3>0. sigma_i and sigma_j are calculated by your choice of the initial covariance options: univariate AR, diagonal VAR, or full VAR estimates. According to your hyperparameters specification, EViews sets the co...
Tue Jan 19, 2016 1:35 pm
Forum: Estimation
Topic: Normal-Wishart Prior
Replies: 1
Views: 1314

Re: Normal-Wishart Prior

Hi Adina, Yes, EViews implemented the conjugate Normal-Wishart prior and derived the analytical posterior results. The current EViews allows you to specify only 2 hyperparameters, mu1 and lambda1, for the coefficients Normal prior. The Wishart prior values are fixed as S = identity (scale matrix) an...
Fri May 22, 2015 1:56 pm
Forum: Estimation
Topic: BVAR Eviews8 Forecast
Replies: 3
Views: 1507

Re: BVAR Eviews8 Forecast

The variance of the coefficients is assumed to have the form with the *three* hyperparameters (please see the attachment).

Can you provide me your Matlab script and the name of the toolbox(es) required for the script? I would like to run the script to replicate the result.
Mon Feb 09, 2015 10:32 am
Topic: CDtest (cross-sectional dependence test)
Replies: 9
Views: 13974

Re: CDtest (cross-sectional dependence test)

Can you upload your workfile so that I can replicate the error?
Tue Sep 02, 2014 8:16 am
Topic: How to perform the cross-sectional dependence test (Pesaran)
Replies: 3
Views: 2863

Re: How to perform the cross-sectional dependence test (Pesa

Fri Aug 29, 2014 8:47 am
Topic: How to perform the cross-sectional dependence test (Pesaran)
Replies: 3
Views: 2863

Re: How to perform the cross-sectional dependence test (Pesa

Can you be more specific?

Wed Jul 02, 2014 11:21 am
Topic: CDtest (cross-sectional dependence test)
Replies: 9
Views: 13974

Re: CDtest (cross-sectional dependence test)

There were computational issues because the given panel data is severely unbalanced (especially, *T<4*). Please reinstall your cdtest addin, and then you will see the following table with a warning message*. The table shows the NA* value for the Frees test because computation of the appropriate quan...
Wed Jul 02, 2014 10:47 am
Forum: Program Repository
Topic: Random draw from Wishart
Replies: 0
Views: 2806

Random draw from Wishart

Below is a subroutine to produce a random draw from the specified Wishart distribution. 'command: wish(S, h, n) -- generates multivariate Wishart random variables 'Inputs: h --- m-by-m scale matrix ' n --- scalar degree of freedom 'Outputs: S = m-by-m matrix draw from the Wishart distribution 'Note:...
Wed Jul 02, 2014 10:44 am
Forum: Program Repository
Topic: Random draw from multivariate Normal
Replies: 0
Views: 3181

Random draw from multivariate Normal

Below is a subroutine to produce a sample from the specified multivariate normal distribution. Comments are welcomed. 'command: vector(k) y; vector(k) mean; sym(k) cov; mvrnd(y, mean, cov) will generate a multivariate normal random variate y 'Inputs: mean --- k-by-1 mean vector ' cov --- k-by-k symm...
Wed Jun 11, 2014 8:42 am
Forum: Programming
Topic: Work with data from a txt file
Replies: 4
Views: 1929

Re: Work with data from a txt file

I am very confused about your question. Are you trying to read your data from your ASCII file and create a new series which contains specific scalar values? read(t=dat) input.txt 2 will read data from an ASCII file *input.txt* in the default directory and show you 2 series, which are named to be SER...
Tue May 27, 2014 2:40 pm
Topic: BPTest (Breusch-Pagan LM test for random effects)
Replies: 43
Views: 49040

Re: BPTest (Breusch-Pagan LM test for random effects)

This implies that your dataset is too large so that the SLM test cannot be performed. I would suggest to exclude the SLM test from the list for now.

I will figure out how to deal with the large dataset problem.
Thu May 22, 2014 8:13 am
Forum: Data Manipulation
Topic: splitting data into n equal parts (terciles, quartiles,etc)
Replies: 1
Views: 1585

Re: splitting data into n equal parts (terciles, quartiles,e

Can you be more specific? Are you trying to generate a dummy (e.g. 1 if x \in 0.25%, 0 otherwise), or trying to sort out your data?
Tue May 20, 2014 9:08 am
Forum: Programming
Topic: filter the extreme values
Replies: 4
Views: 2007

Re: filter the extreme values

Code: Select all

series xtop10 = @recode(x>@quantile(x, .90), 1, 0)
series xbottom10 = @recode(x<@quantile(x, .10), 1, 0)
Fri May 16, 2014 9:28 am
Forum: Data Manipulation
Topic: Residual Plot
Replies: 1
Views: 2055

Re: Residual Plot

Standard deviations of residuals. If errors~N(0,1), then the dashed lines would be -1 and 1.