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When you explain the algorithm you mention: “Calculate the estimate of the scale Sigma_MAD = Median(|yk – x’kB|)/0.6745 for k=p,…n” My question is why the alternative values of k start in p and not in 1? It implies that the smallest p absolute deviations are excluded when computing the median. It w...

Hello, now I have two questions about the content of the document in which you explain how the IRLS add-in works in eviews. When you explain the algorithm you mention: “Calculate the estimate of the scale Sigma_MAD = Median(|yk – x’kB|)/0.6745 for k=p,…n” My question is why the alternative values of...

Thanks, I downloaded and installed the new add-in and I try other weight functions as you suggested. It seems to be working fine. Now, given that the procedure stops when a reasonable estimate of sigma is not available, how will it be possible not to stop a program that includes robust regression es...

This is the workfile 26_5.WF1 . For each frequency (note that I have a different page for each frequency: 1min, 5min,…)my regressions should take the following form: robustreg r c dif dif(-1) robustreg r c dif dif(-1) dif(-2) robustreg r c dif dif(-1) dif(-2) dif(-3) robustreg r c dif dif(-1) dif(-2...

Hello, now I'm receiving the message “_SE01 is not defined” in some of my regressions. I cannot figure it out why since I am running regressions with the same data but aggregated differently. I have 1, 5, 10 and 15 minutes versions of the same data and I’ve got the problem in the 1 and 5 minutes ver...

Hi, I am running the add-in but if I try to include several lags of an explanatory variable by using the standard command line x(-1 to -2) then I receive the message: "RSV is not identified". When I include the same lags of the explanatory but listed separately x(-1) x(-2) then it works fi...

Hello, I am now running test regressions with the robustreg add-in. Single equation of this form y c x x(-1), that is y is my dependent, there is a constant and the explanatory variables are X and the first lag of X. I am using the default weight function (bisquare). When I run the add-in I get this...

Found it! I'm on it by now. Thanks!

Hi. I downloaded and instaled the robustreg add-in. Where do I find documentation about how to use it?

Regards
Manfred.