Search found 23 matches

by j.galimberti
Mon Dec 26, 2011 12:11 pm
Forum: Estimation
Topic: SSpace spec order matters?
Replies: 1
Views: 1389

SSpace spec order matters?

Dear friends, I am doing some experiments with Eviews SSpace object for estimation of trend/cycle of GDP, and I recently observed something at least intriguing for me: the order at which you specify @state equations do matter for the result of the ML estimation on this object! I will paste in what f...
by j.galimberti
Sun Aug 28, 2011 12:16 pm
Forum: Estimation
Topic: Where does the HP-filter estimates come from?
Replies: 3
Views: 2141

Re: Where does the HP-filter estimates come from?

Thanks trubador, but still not matching exactly.
by j.galimberti
Wed Aug 24, 2011 7:39 am
Forum: Estimation
Topic: Where does the HP-filter estimates come from?
Replies: 3
Views: 2141

Where does the HP-filter estimates come from?

Dear all, I was trying to replicate the results obtained from the Eviews built-in Hodrick-Prescott filter, but I am a bit puzzled with some very small discrepancies. I tried the matrix solution as in http://forums.eviews.com/viewtopic.php?f=3&t=3877&hilit=hodrick+prescott , but the results a...
by j.galimberti
Sun May 22, 2011 2:43 am
Forum: Program Repository
Topic: Random draws from multivariate normal distribution
Replies: 5
Views: 6740

Re: Random draws from multivariate normal distribution

Can you please send us your covariance matrix and the number of observations? Notice that things are not supposed to match exactly (as they are random), but asymptoticaly they tend to be equal. Thus the number of observations in your sample may affect how these matrices "match". One way to...
by j.galimberti
Mon Aug 02, 2010 4:11 pm
Forum: Program Repository
Topic: Random draws from multivariate normal distribution
Replies: 5
Views: 6740

Random draws from multivariate normal distribution

Dear all, It follows a code that I have developed during some other works. It generates !size series randomly distributed according to a multivariate normal with the covariance matrix also generated randomly. This may be changed to generate according to the desired covariance matrix. Just make sure ...
by j.galimberti
Wed Jun 09, 2010 7:07 am
Forum: Programming
Topic: Referencing objects in pages other than the currently active
Replies: 1
Views: 741

Referencing objects in pages other than the currently active

Hello there, I would like to know how could I acess an object from a page other than the one currently active. I would like to do it without needing to change the active page using pageselect. I hope there is a way for doing so because it seems to me that this changes of pages are very performance c...
by j.galimberti
Wed Oct 07, 2009 11:16 am
Forum: Program Repository
Topic: Proxy-variable search procedure
Replies: 1
Views: 3756

Re: Proxy-variable search procedure

A note related to this procedure was published at:
http://www.accessecon.com/Pubs/EB/2009/ ... -I4-P6.pdf
by j.galimberti
Wed Sep 16, 2009 6:01 pm
Forum: Program Repository
Topic: Panel unit root test with bootstrapping
Replies: 0
Views: 2951

Panel unit root test with bootstrapping

# Description: this program implements the estimation and test of panel unit roots using the methodology proposed by Maddala and Wu (1999). It differs from the available procedure in the software by offering estimates of significance levels obtained from a bootstrap procedure. # Data type: panel. Th...
by j.galimberti
Wed Sep 16, 2009 6:00 pm
Forum: Program Repository
Topic: Proxy-variable search procedure
Replies: 1
Views: 3756

Proxy-variable search procedure

# Description: this program runs a proxy-variable search procedure between those variables pre-specified by the researcher as possible proxies for the focused theoretical variables. To do this it runs a sensitivity analysis, adapted from Sala-i-Martin (1997) that calculates confidence probabilities ...
by j.galimberti
Wed Sep 16, 2009 5:58 pm
Forum: Program Repository
Topic: Power laws estimation
Replies: 0
Views: 2318

Power laws estimation

# Description: this program estimates a power law for financial returns time series. See Gabaix (2008) section 6.
# Data type: times series.

The code is available at:
http://sites.google.com/site/jkgeconoen ... ical-works
by j.galimberti
Wed Sep 16, 2009 5:57 pm
Forum: Program Repository
Topic: Analysis of variance for regressions (ANOVA)
Replies: 2
Views: 6451

Analysis of variance for regressions (ANOVA)

# Description: this program decomposes an estimated regression variance into its explained and unexplained components, where the former is decomposed by explanatory variable.
# Data type: cross-section and panel.

The code is available at:
http://sites.google.com/site/jkgeconoen ... ical-works
by j.galimberti
Thu May 07, 2009 7:57 am
Forum: Program Repository
Topic: TAR Panel Unit Root Tests - with bootstrap
Replies: 2
Views: 6996

Re: TAR Panel Unit Root Tests - with bootstrap

Hello Mr. Wang, I am glad to hear from you. Well, for the linear case (no threshold) the LLC, the IPS, and even the MW are ready to use directly by eviews interface. You will only need to code if you want to bootstrap your p-values, and that's what I have done for MW...I haven't done for LLC and IPS...
by j.galimberti
Sun Apr 12, 2009 10:33 am
Forum: Program Repository
Topic: TAR Panel Unit Root Tests - with bootstrap
Replies: 2
Views: 6996

TAR Panel Unit Root Tests - with bootstrap

I have developed some program codes for TAR panel unit root tests, extending Caner and Hansen (2001) to panel data context, with a Fisher-type test proposed by Maddala and Wu (1999). This code is available at: http://sites.google.com/site/jkgeconoeng/technical-works The code collection also contains...
by j.galimberti
Tue Mar 03, 2009 5:37 pm
Forum: Programming
Topic: Dickey-Fuller p-value
Replies: 4
Views: 4896

Re: Dickey-Fuller p-value

Thanks again! But I had found it before.

Anyway, I'm going to bootstrap the statistic as sugested by Maddala and Wu (1999). The time dimension of my sample is to short to use the tabulated critical values.

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