Search found 10 matches

by divac
Mon Aug 07, 2017 7:05 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 121
Views: 74361

Re: DCCGARCH11

Hi, I'm experiencing problem with DCCGARCH(1,1) add-in. I have install the DCCGARCH add-in to the add-in manager. However, any time I run the DCC(1,1) test, Eviews stops working. I'm using Eviews 9. Please does anyone have an idea of what I should do to get it running. Any chance you are running AR...
by divac
Mon Aug 07, 2017 1:52 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 121
Views: 74361

Re: DCCGARCH11

I have a different problem with the add-in. I am trying to run a program with a large number of loops in Eviews 9.5. I've noticed that after 15 minutes of running a program file in the quiet mode Eviews shows an error message. One message was saying something like "!TODAY is not defined" a...
by divac
Mon Aug 07, 2017 1:32 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 121
Views: 74361

Re: DCCGARCH11

Hi, I'm experiencing problem with DCCGARCH(1,1) add-in. I have install the DCCGARCH add-in to the add-in manager. However, any time I run the DCC(1,1) test, Eviews stops working. I'm using Eviews 9. Please does anyone have an idea of what I should do to get it running. Any chance you are running AR...
by divac
Thu Aug 03, 2017 4:22 pm
Forum: Programming
Topic: Program running interrupted every 15 minutes
Replies: 3
Views: 857

Re: Program running interrupted every 15 minutes

Sounds like a coding error. Maybe. I am mostly adapting existing codes for my own needs, but it is strange.I am running 2-step DCC Garch regressions using one of the add-ins and it works fine for say 5-10 stocks (I started with 3 stocks and then increased it to 5 and then 10; all is estimated fine)...
by divac
Thu Aug 03, 2017 9:37 am
Forum: Programming
Topic: Program running interrupted every 15 minutes
Replies: 3
Views: 857

Program running interrupted every 15 minutes

Hi, I am trying to run a program with a large number of loops in Eviews 9.5. I've noticed that after 15 minutes of running a program file in quiet mode Eviews shows an error message. One message was saying something like "!TODAY is invalid" and the second one was "%TYPE" somethin...
by divac
Tue Aug 01, 2017 8:42 am
Forum: Estimation
Topic: GARCH DCC for large number of series. How to loop?
Replies: 0
Views: 735

GARCH DCC for large number of series. How to loop?

Dear all, I am trying to collect dynamic conditional correlations for a large number of pairwise regressions. I thought to run a loop to change variables around, but struggled... Here is the example of what I am trying to do for a pair of two series: system mysys1 mysys1.append x1=c(1) mysys1.append...
by divac
Wed Apr 18, 2012 8:46 am
Forum: Econometric Discussions
Topic: Explanatory variable in variance equation Multivariate GARCH
Replies: 0
Views: 875

Explanatory variable in variance equation Multivariate GARCH

Hi, I have 7 assets diagonal BEKK model with a single explanatory variable in the variance equation. The only specification that does not give me a message about the matrix being not PSD (either in constant or Explanatory variable) is when constant is diagonal and Explanatory variable is RANK ONE ma...
by divac
Mon Apr 04, 2011 9:47 am
Forum: Estimation
Topic: Help with fitted values
Replies: 8
Views: 9940

Re: Help with fitted values

is there any way to program repetition of storing fitted values from a number of equations (say 100)? so after I ran 100 equations (eq{!i}) I would have 100 myfitted{!i} variables.

Thanks
by divac
Tue Feb 01, 2011 7:12 am
Forum: Programming
Topic: How to store beta coefficients from 700 cross-sections
Replies: 3
Views: 2112

Re: How to store beta coefficients from 700 cross-sections

The data example is attached. There are 12 interest rates (from 3months to 30 years). Together they represent a yield curve at each point in time. I would like to model the yield curve with two independent variables, say X1 and X2 using OLS. Then I would like to store a constant, beta1 and beta2 fro...
by divac
Sun Jan 30, 2011 5:08 pm
Forum: Programming
Topic: How to store beta coefficients from 700 cross-sections
Replies: 3
Views: 2112

How to store beta coefficients from 700 cross-sections

Hi, I have the time series for 12 interest rates (700 obs each maturity). I would like to estimate each set of interest rates (e.g. maturities from 1month to 120months, think of it as a term structure) as a function of 3 variables (which might NOT vary over time) for each point in time (e.g. as if i...

Go to advanced search