Search found 9 matches

Tue Mar 06, 2012 9:35 pm
Forum: Programming
Topic: "String too large" error in xrun command (with Matlab)
Replies: 0
Views: 428

"String too large" error in xrun command (with Matlab)

Dear all, When I use Eviews COM client connected with Matlab and use command "xrun A" to execute a command A in Matlab I got the error message "string too large", even thought the command A is in fact executed in Matlab already ( I saw the result in matlab). Has anyone experience...
Wed Aug 25, 2010 3:41 am
Forum: Programming
Topic: Source code for Generalized Impulse Response?
Replies: 2
Views: 1570

Re: Source code for Generalized Impulse Response?

EViews Gareth wrote:We do not release source code, and even if we did, it would not be of much help since it is written in fairly obscure c++

Tue Aug 24, 2010 9:29 pm
Forum: Programming
Topic: Source code for Generalized Impulse Response?
Replies: 2
Views: 1570

Source code for Generalized Impulse Response?

Hi all, I would like to develop the code for generating the Generalized Impulse Response (GIR) based on resampling the errors since its distribution is not multivariate normal as assumption. So I really appreciate if anybody can post the source code for GIR function built-in Eviews. Thanks a lot and...
Wed Jun 17, 2009 8:13 pm
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 75
Views: 75888

Re: Dynamic conditional correlation multivariate GARCH

you can use "z c" for the mean equation, I think. However, since the z is standardized residual then the c must be very close to 0. Anyway, you just estimate to see the possible initial value for T(1) and T(2). The equation for the conditional variance should be q11_{t}= 1-T(1)-T(2) + T(1)...
Tue Jun 16, 2009 11:39 am
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 75
Views: 75888

Re: Dynamic conditional correlation multivariate GARCH

I agree with trubador. You can estimate the GARCH(1,1) for the q11 and q22 (Based on z1, z2 respectively) to get the starting value for T(1) and T(2). However, in this case, it's not really sensitive if the sample size is large enough, say 3500-4000 obs. I tried and see the estimated result is appro...
Sun Jun 14, 2009 1:39 pm
Forum: Programming
Topic: Giacomini&White 2006 and Diebold&Mariano 1995
Replies: 1
Views: 1622

Re: Giacomini&White 2006 and Diebold&Mariano 1995

Why don't you use Matlab for the Giacomini & White 2006. They provide the code already. But if you want, you can use the Matlab code to derive the code for Eviews. It's just OLS method. However, I suggest that you use Matlab because the matrix language in matlab is more convenient and more power...
Fri Mar 27, 2009 1:39 am
Forum: Estimation
Topic: How to optimize Dynamic Regression Quantile
Replies: 0
Views: 1009

How to optimize Dynamic Regression Quantile

Eviews can esimate an equation by Quantile Regression (LAD) but how can it estimate for the dynamic regression quantile? I mean the estimation of this following regression: q(alpha,t)=a + b.q(Alpha,t-1)+ epxilon With q(Alpha,t) is the alpha-quantile of distribution give confidence level at time t. M...
Fri Mar 20, 2009 4:32 am
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 75
Views: 75888

Re: Dynamic conditional correlation multivariate GARCH

You can consider this code. I used it last year for my research and you should be ok if using it for the bivariate. For trivariate u need to modify a litle bit especially for the log likelihood function. 'change path to program path %path=@runpath cd %path 'load workfile containing the return series...
Wed Mar 11, 2009 6:33 am
Forum: Estimation
Topic: How to estimate CAViaR model in Eviews
Replies: 0
Views: 1039

How to estimate CAViaR model in Eviews

I am working on the project which models Value at Risk with CAViaR but i face trouble in programing this model in Eviews. Could you guys help me on this stuff? I really appreciate that. Thank you so much!