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Hi everybody! I am estimating a VAR model between two variables and find the appropriate lag length to be 15 by the HQ criteria. I have two questions: (1) In order to avoid the over-parametrization pb, Id like to reduce #lags. What should I do? Is there any other type of more sophisticated VAR that ...

Gareth, tx a ton for your response. Is it one-step ahead forecasts? What does Eviews do? I'm a bit confused

Hi everybody! I want to test the out-of-sample forecasting ability of a VECM on Eviews and am stuck. What I do is the following: 1) I divide my sample in two (I have monthly data series) 2) I estimate the VECM in my first sub-sample 3) I solve the model for my second sub-sample and manually compute ...

Thank you! This was SO HELPFUL! )

Hi everyone! I am stuck again in Eviews and will appreciate your help a ton. I am doing forecasts in VAR manually (i.e. make model & solve) but then I would like to compute the normalized means squared error (NMSE), mean absolute error (MAE) and mean absolute percentage error (MAPE). I compute t...

Hi Gareth, tx so much for your attention! I am using daily data and want to estimate out-of-sample forecasts for 1-day ahead, 2-days ahead, 3-day ahead, 6-day ahead, 7-days ahead, and 360-days ahead separately.

Hi everybody, I have a question about forecasting in Eviews, and will appreciate guidance so much. I am stuck. I want to forecast GDP with several leading indicators using VAR approach in Eviews. I want to do out-of-sample forecasting for multiple steps (1, 2, 3, 4, 10, 15, etc). After I estimate th...

Good afternoon! I am running OLS regressions in Eviews with a very large number of observations and get very low Rsquared values because of that. I was wondering if there is anyway for me to increase the R-squared values while still keeping my large sample. If it is not possible, what is the most re...

Ive made it thanks so much! have a great day!

good afternoon ! I am new to programming in eviews and I have a rather simple question. I want to generate a series x that takes the value 1 if y is 0 and 0 otherwise. I run the following code but I get an error:( I will appreciate a lot if anybody can offer some feedback... for i=1:1910 if y(i)=0 g...

Good afternoon! I just need some feedback about empirical research(asset pricing)... How many years of data would you recommend if a researcher employs daily observations? How about with monthly or yearly observations? Are there any typical cut-offs? ı I am using daily data for seven years and have ...

Thank you so much! I just forgot to adjust my sample.

Best,

Selin

Good afternoon! I have run some AR(1) AR(2) regressions and created residual series. However, most of my residual values are missing (NA). I have run the same regressions many times but I always get NA residuals. I will really appreciate it if you can help me fix this problem. Thank you very much! S...

Now I understand Thank you so much for the clarification! Have a wonderful day!

Selin

Thank you very much :) So I paste one of my regressions. I am just regressing a portfolio's total beta on its return as below. (total portfolio beta=betam1+betam2-betam3-betam4 and RET=portfolio return) I'm happy about the positive and significant coefficient but am just worried about the strange R-...