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: 4541
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: 4541
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: 3665
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: 3665
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: 5602
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: 5602
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: 5602
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: 5602
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: 3
- Views: 12665
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: 4970
Re: Problem with if statement
Thanks, Gareth!
- Mon Sep 12, 2011 7:33 am
- Forum: Programming
- Topic: Problem with if statement
- Replies: 4
- Views: 4970
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: 5232
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: 4970
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: 5232
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: 5232
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...