## Search found 33 matches

Fri Jan 04, 2013 12:44 pm
Forum: Estimation
Topic: Modeling the error variance in a state space model
Replies: 3
Views: 2646

### Re: Modeling the error variance in a state space model

Ah, I had a feeling the solution was something along those lines. What I am after is an unobserved components model with stochastic volatility such as in Stock and Waton (2006). I see why that example you gave wouldn't work. However, I just realized that the variance of the disturbance actually need...
Fri Jan 04, 2013 8:31 am
Forum: Estimation
Topic: Modeling the error variance in a state space model
Replies: 3
Views: 2646

### Modeling the error variance in a state space model

Hello, I have been through the user guide and am able to estimate state space models quite comfortably, but have not been able to figure out how I can posit a dynamic process for the error variance. For instance, consider the following simple model: @SIGNAL y = trend + [VAR=EXP(C(1))] @STATE trend =...
Wed Aug 15, 2012 9:40 am
Forum: Estimation
Topic: Factor rotation: target method
Replies: 2
Views: 2069

### Re: Factor rotation: target method

Ah, that makes sense! Much appreciated.
Wed Aug 15, 2012 7:14 am
Forum: Estimation
Topic: Factor rotation: target method
Replies: 2
Views: 2069

### Factor rotation: target method

After reading the Eviews manual my understanding is that the target method allows one to place restrictions on the loading matrix to help interpret the factors. I am using this method, restricting some of the loadings to be zero. However, once the rotation is completed, although the resulting score ...
Wed Aug 15, 2012 7:07 am
Forum: Estimation
Topic: Factor model restrictions
Replies: 6
Views: 2817

### Re: Factor model restrictions

Hi Glenn, Thanks for your response. As you know, the factors and loadings are not uniquely identified in factor models. Here is an example of a technical paper explaining the different kinds of restrictions that facilitate identification: http://www.columbia.edu/~sn2294/papers/rotate.pdf And here is...
Thu Aug 02, 2012 8:48 am
Forum: Estimation
Topic: Factor model restrictions
Replies: 6
Views: 2817

### Re: Factor model restrictions

Is it something you guys are looking in to for future versions? You can't achieve identification in factor models without imposing restrictions on the loadings matrix.
Wed Aug 01, 2012 12:06 pm
Forum: Estimation
Topic: Factor model restrictions
Replies: 6
Views: 2817

### Re: Factor model restrictions

Bumping this. To put it more simply, is there a way to restrict certain factor loadings to be zero?
Fri Jul 13, 2012 8:03 am
Forum: Estimation
Topic: Factor model restrictions
Replies: 6
Views: 2817

### Factor model restrictions

Hello, I am wondering if there is a way in Eviews to impose restrictions on the factor structure matrix when estimating a factor model. I am interested in extracting factors, some of which should be common to the whole data set (the usual procedure achieves this), but also some which are only common...
Thu Feb 09, 2012 9:00 am
Forum: Programming
Topic: Spline regression
Replies: 1
Views: 1593

### Spline regression

I am wondering if there is a straightforward way to include a cubic spline (with specified knots) in a regression. The only form in which I have come across splines in eviews is as an interpolation method, which is not what I am looking for. Any help would be appreciated.
Mon Sep 12, 2011 11:03 am
Forum: Programming
Topic: Problem with if statement
Replies: 4
Views: 2808

### Re: Problem with if statement

Thanks, Gareth!
Mon Sep 12, 2011 7:33 am
Forum: Programming
Topic: Problem with if statement
Replies: 4
Views: 2808

### Re: Problem with if statement

Thanks, startz. That did work, though I probably should have been more specific about what I am trying to do (I think your solution only tackles this particular example). I want to create a conditional statement that says when forex=na, replace the na with whatever the last actual value was of forex...
Mon Sep 12, 2011 7:02 am
Forum: Programming
Topic: Drop insignificant variables and reeestimate equation
Replies: 5
Views: 2836

### Re: Drop insignificant variables and reeestimate equation

Thanks, that worked perfectly. Enjoy the jungle!
Mon Sep 12, 2011 7:01 am
Forum: Programming
Topic: Problem with if statement
Replies: 4
Views: 2808

### Problem with if statement

I am having a problem with a ridiculously routine task. I am trying to execute an if statement of the following type series check = @isna(forex) if check=1 then series m = 1 endif I don't actually want to create a series 'm' that equals 1, but have shown that for simplicity. When I run this code, ev...
Wed Sep 07, 2011 8:10 am
Forum: Programming
Topic: Drop insignificant variables and reeestimate equation
Replies: 5
Views: 2836

### Re: Drop insignificant variables and reeestimate equation

Thanks, Gareth. I've got it working but have one problem. I want to use @spec to save the specification of each estimation. However, when I use @spec after the stepwise function, it saves the specification that includes all the search regressors as opposed to the final selected regressors that I am ...
Fri Sep 02, 2011 8:50 am
Forum: Programming
Topic: Drop insignificant variables and reeestimate equation
Replies: 5
Views: 2836

### Drop insignificant variables and reeestimate equation

Hello, I am running a loop that estimates an equation for each of 29 series. Amongst the regressors are 12 seasonal dummies(@seas) since I am working with non-seasonally adjusted monthly data. Having estimates these equations, I would like to write some code that drops those seasonal dummies in each...

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