Search found 7 matches

by Sielenna
Wed Mar 21, 2012 7:58 am
Forum: Econometric Discussions
Topic: Clustered errors
Replies: 27
Views: 27075

Re: Clustered errors

Hi, I have a cross-sectional dataset of 130 observations. These observations are selected over 20 different countries, for different periods in time. I do not have an equal number of observations for each country, nor do I have equal time periods for each observations. Eg: 3 observations for country...
by Sielenna
Thu Aug 04, 2011 6:09 am
Forum: Econometric Discussions
Topic: simulate CV structural break
Replies: 0
Views: 980

simulate CV structural break

Hi,

Does anyone know how you have to simulate critical values for a unit root when your series contains a structural break?
by Sielenna
Mon May 16, 2011 12:18 am
Forum: Add-in Support
Topic: ARIMASel (Automatic ARIMA selection)
Replies: 85
Views: 97586

Re: ARIMASel (Automatic ARIMA selection)

Because a VAR Object with only one endogenous variable and no exogenous variables is the same as an AR model of that variable with the same lags. (regressioncoefficients, standard deviations, t-values are all the same- so why wouldn't the optimal lag length be?)
by Sielenna
Fri May 13, 2011 1:41 am
Forum: Add-in Support
Topic: ARIMASel (Automatic ARIMA selection)
Replies: 85
Views: 97586

Re: ARIMASel (Automatic ARIMA selection)

Hi, When I use the add-in to determine the optimal AR lag length of a series I get an AR(1) according to the Hannan-Quinn criteria. When I estimate the same model as a VAR-object with the same series the Hannan-Quinn criteria points at an AR(5). I entered 10 lags as maximum lag length in both the Ad...
by Sielenna
Wed May 04, 2011 1:49 am
Forum: Add-in Support
Topic: ARIMASel (Automatic ARIMA selection)
Replies: 85
Views: 97586

Re: ARIMASel (Automatic ARIMA selection)

Thank you very much!
by Sielenna
Tue May 03, 2011 8:22 am
Forum: Add-in Support
Topic: ARIMASel (Automatic ARIMA selection)
Replies: 85
Views: 97586

Re: ARIMASel (Automatic ARIMA selection)

I have to determine the appropriate AR specification of at least 100 series. I want eviews to save the recommended specification under the same (or a slightly adjusted) name as the series. Is it possible to program this or do I as have to replace chosenstr (in your example) by the seriesname each ti...
by Sielenna
Tue May 03, 2011 6:17 am
Forum: Add-in Support
Topic: ARIMASel (Automatic ARIMA selection)
Replies: 85
Views: 97586

Re: ARIMASel (Automatic ARIMA selection)

string chosenstr = {%eqname}.@spec
How can I change the above code such that Eviews gives automatically the name of the open series to the recommended specification?

Kind greetings,

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