Search found 11 matches

by oek_stat
Thu Sep 22, 2011 6:01 am
Forum: Suggestions and Requests
Topic: Markov Switching Models
Replies: 8
Views: 9561

Re: Markov Switching Models

Markov Switching is still missing. Am I right? Can anyone help me programming a rolling regression with a markov-switching vector error correction model. I don't want to wait for another period of 3 years.
by oek_stat
Tue Dec 07, 2010 5:54 am
Forum: Program Repository
Topic: Fetching stock data into EViews
Replies: 4
Views: 6240

Re: Fetching stock data into EViews

I can't download the price of ETFs like the iTraxx Europe 5-Year (DXSR.DE).
Perhaps there is a problem with points because the download of the stock price of BASF (BAS.DE) also doesn't work.
by oek_stat
Wed Dec 01, 2010 4:12 am
Forum: Programming
Topic: Dynamic forecasting with coefficient update in a VEC-model
Replies: 5
Views: 6190

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

I think you only have to delete the following code from your program: 'reset sample to forecast period smpl @first+!i+!window-1 @first+!i+!window-2+!step The VEC-Estimation works with lags. So you don't use the last data point of the estimation sample. Therefore you don't have to change your sample ...
by oek_stat
Mon Nov 15, 2010 9:18 am
Forum: Econometric Discussions
Topic: Johansen critical values
Replies: 3
Views: 2199

Re: Johansen critical values

Thank You for the answer. I've searched for articles related to my problem and in the Journal of Econometrics I've found an easy to implement solution. The article calls "Approximations for cointegration tests with stationary exogenous regressors" (2005) from Boswijk and Doornik. Probably ...
by oek_stat
Fri Nov 12, 2010 2:53 am
Forum: Econometric Discussions
Topic: Johansen critical values
Replies: 3
Views: 2199

Johansen critical values

I need to include a stationary variable as an exogenous one in the Johansen cointegration test; however, I noticed that the following note appears when performing this test "critical values may be not valid with exogenous variables", so what critical values are valid in this case? Can you ...
by oek_stat
Fri Nov 12, 2010 2:34 am
Forum: Estimation
Topic: Johansen with exogenous variables
Replies: 1
Views: 1316

Johansen with exogenous variables

E-Views offers the VECM with exogenous variables, but the cointegration test do not show the correct critical values. Why?
How can I calculate these values?
Do you know any tabulation for these values?
by oek_stat
Wed Nov 03, 2010 3:34 am
Forum: Estimation
Topic: principal component factor analysis
Replies: 13
Views: 8052

Re: principal component factor analysis

It works! Thanks a lot! But how can I save the results in a rolling forecast. Below you can see the program code. I haven't any idea how to save pc1. I do only get the values of the last estimation of pc1. ' set window size !window =120 ' get size of workfile !length = @obsrange ' Sample for estimat...
by oek_stat
Tue Nov 02, 2010 6:08 am
Forum: Estimation
Topic: VECM preestimation
Replies: 3
Views: 2377

Re: VECM preestimation

Thank You for the advice. I've done it. It really wasn't very hard.
by oek_stat
Tue Nov 02, 2010 6:05 am
Forum: Estimation
Topic: principal component factor analysis
Replies: 13
Views: 8052

Re: principal component factor analysis

I know how to get principal components of a group by using the menu.
But I want to do a rolling forecast and therefore I need the code for saving component scores.
Can anyone help me?
by oek_stat
Thu Sep 30, 2010 5:08 am
Forum: Estimation
Topic: VECM preestimation
Replies: 3
Views: 2377

VECM preestimation

Is there any possibility to do forecasts with a vector error correction model by using a rolling window?
by oek_stat
Thu Sep 30, 2010 1:57 am
Forum: Add-in Support
Topic: VARForecast (VAR forecasting)
Replies: 44
Views: 40540

Re: VARForecast (VAR forecasting)

Hello,
I have got a problem with the forecast. I estimate my var model and then I start the forecast and get the error message "y already exists".
y is the endogeneous variable I want to predict. It exists because I need y for the estimation. What is my fault?

Go to advanced search