Search found 10 matches
- Mon Aug 07, 2017 7:05 am
- Forum: Add-in Support
- Topic: DCCGARCH11
- Replies: 121
- Views: 435147
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...
- Mon Aug 07, 2017 1:52 am
- Forum: Add-in Support
- Topic: DCCGARCH11
- Replies: 121
- Views: 435147
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...
- Mon Aug 07, 2017 1:32 am
- Forum: Add-in Support
- Topic: DCCGARCH11
- Replies: 121
- Views: 435147
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...
- Thu Aug 03, 2017 4:22 pm
- Forum: Programming
- Topic: Program running interrupted every 15 minutes
- Replies: 3
- Views: 3480
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)...
- Thu Aug 03, 2017 9:37 am
- Forum: Programming
- Topic: Program running interrupted every 15 minutes
- Replies: 3
- Views: 3480
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...
- Tue Aug 01, 2017 8:42 am
- Forum: Estimation
- Topic: GARCH DCC for large number of series. How to loop?
- Replies: 0
- Views: 2472
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...
- Wed Apr 18, 2012 8:46 am
- Forum: Econometric Discussions
- Topic: Explanatory variable in variance equation Multivariate GARCH
- Replies: 0
- Views: 1985
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...
- Mon Apr 04, 2011 9:47 am
- Forum: Estimation
- Topic: Help with fitted values
- Replies: 8
- Views: 15277
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
Thanks
- Tue Feb 01, 2011 7:12 am
- Forum: Programming
- Topic: How to store beta coefficients from 700 cross-sections
- Replies: 3
- Views: 4441
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...
- Sun Jan 30, 2011 5:08 pm
- Forum: Programming
- Topic: How to store beta coefficients from 700 cross-sections
- Replies: 3
- Views: 4441
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...