Search found 25 matches

by mwu888
Wed Jan 04, 2012 8:12 am
Forum: Estimation
Topic: Eigenvectors from Principle Component Analysis
Replies: 1
Views: 1103

Eigenvectors from Principle Component Analysis

I used Eviews and Matlab to extract the factor loadings (eigenvectors) on a dataset. For a particular principle component (PC 3), Eviews shows negative signs on the factor loadings while Matlab had positive signs. Not sure if this is a bug in Eviews. I said this because a commercial software that I ...
by mwu888
Tue Dec 20, 2011 6:42 pm
Forum: Estimation
Topic: Principal Component Regression
Replies: 5
Views: 1999

Re: Principal Component Regression

EviewsGlenn:

What is the command line for copying the eigenvectors from the Principal Component Analysis table into a matrix as a column vector? Thank you.
by mwu888
Thu Dec 08, 2011 12:19 pm
Forum: Estimation
Topic: Principal Component Regression
Replies: 5
Views: 1999

Re: Principal Component Regression

EviewGlenn:

Do you have any examples or illustrations that can be shared with me? I just want to make sure what I am doing is correct--to be on the safe side.
by mwu888
Tue Dec 06, 2011 8:09 pm
Forum: Estimation
Topic: Principal Component Regression
Replies: 5
Views: 1999

Principal Component Regression

Hi EviewGareth:

Can Eviews perform principal component regression? I don't see this as an option in the drop down when creating an Equation object.
by mwu888
Fri Sep 30, 2011 8:01 pm
Forum: Econometric Discussions
Topic: Orthogonal Regression
Replies: 0
Views: 719

Orthogonal Regression

Does anyone know if Eviews can perform orthogonal regression?
by mwu888
Fri Sep 30, 2011 7:59 pm
Forum: Programming
Topic: Sample coding for extracting Eigenvectors
Replies: 2
Views: 822

Re: Sample coding for extracting Eigenvectors

Hey Gareth,

My meaning of extract is to save the eigenvectors in a variable. Thanks for pointing out the command reference.
by mwu888
Fri Sep 30, 2011 11:44 am
Forum: Programming
Topic: Sample coding for extracting Eigenvectors
Replies: 2
Views: 822

Sample coding for extracting Eigenvectors

Hi,

Can anyone with Eviews programming experience to post sample code on how to extact eigenvectors? One condition: these eigenvectors are computed using ordinary covariances.

Thank you!
by mwu888
Wed Sep 21, 2011 1:06 pm
Forum: Econometric Discussions
Topic: Information Criterion
Replies: 2
Views: 1056

Re: Information Criterion

Sorry. My English must be really bad. Allow me to try it again.

Is there a way to run stepwise regression with the option of using a specific information criterion such as AIC or BIC? I know this can be accomplished in R. I don't see such a flexibility in Eviews.
by mwu888
Wed Sep 21, 2011 5:35 am
Forum: Econometric Discussions
Topic: Information Criterion
Replies: 2
Views: 1056

Information Criterion

Using Eviews version 7.2. I would like to know if there is a way to run OLS using information criterion such as AIC, BIC, or adjusted R^2. I think I am right by saying that this cannot be accomplished directly using the GUI interface. I imagine this has to be done using the command line. Can someone...
by mwu888
Tue Sep 20, 2011 12:01 pm
Forum: Estimation
Topic: Recursive estimation
Replies: 5
Views: 2683

Re: Recursive estimation

I meant:

Using observations from 1990M01 to 1999M12 to estimate 2000M01(forecast). Then using observations from 1990M01 to 2000M01(actual) to estimate 2000M02.
by mwu888
Tue Sep 20, 2011 9:21 am
Forum: Estimation
Topic: Recursive estimation
Replies: 5
Views: 2683

Re: Recursive estimation

Gareth, If I have a recursive regression that estimates the following: 1) Estimate 2000M01 using observations from 1990M01 to 1999M12. 2) Estimate 2000M02 using observations from 1990M01 to 2000M01. Follwing your logic, for 1) I would set the sample period as follows: 1990M01 to 2000M01? And 2) 1990...
by mwu888
Tue Sep 20, 2011 7:16 am
Forum: Estimation
Topic: Recursive estimation
Replies: 5
Views: 2683

Recursive estimation

Hi, I am struggling with doing this task in Eviews. I have an OLS equation with one independent variable (of lag 1). The sample period is from 2000M01 to 2001M12. Once I have this estimated equation, I go to View-->Stability Diagnostics-->Recursive Estimates (OLS only), I clicked on the Recursive Co...
by mwu888
Tue Sep 20, 2011 6:20 am
Forum: Programming
Topic: Rolling Regression Forecasting
Replies: 6
Views: 3678

Re: Rolling Regression Forecasting

Eview Gareth,

Can you direct me to discussions on model selection method on this board? Thank you.
by mwu888
Fri Sep 16, 2011 12:22 pm
Forum: Programming
Topic: Rolling Regression Forecasting
Replies: 6
Views: 3678

Re: Rolling Regression Forecasting

Hi, I know there is an existing rolling regression add-ins for Eviews. However, I am looking for a rolling regression add-in that performs rolling regression AND have the model selects the given regressors that maximizes a selection criterion (like Akaike) for one-step forecast. Is there such an add...
by mwu888
Tue Sep 06, 2011 5:22 am
Forum: Estimation
Topic: GARCH(1,1) example in help file
Replies: 1
Views: 683

GARCH(1,1) example in help file

Hi,

Eviews help file provides an example of GARCH(1,1) model of the first difference of log daily S&P 500 (DLOG(SPX)). The sample period is from 1/2/90 to 12/31/1999. So the estimated variance from this model is for 1/2000, right?

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