Search found 40 matches
- Mon May 20, 2013 5:47 am
- Forum: Econometric Discussions
- Topic: Lag length criteria
- Replies: 0
- Views: 2005
Lag length criteria
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 ...
- Mon May 06, 2013 8:38 am
- Forum: Estimation
- Topic: VECM forecasting
- Replies: 3
- Views: 4596
Re: VECM forecasting
Gareth, tx a ton for your response. Is it one-step ahead forecasts? What does Eviews do? I'm a bit confused
- Mon May 06, 2013 2:15 am
- Forum: Estimation
- Topic: VECM forecasting
- Replies: 3
- Views: 4596
VECM forecasting
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 ...
- Thu Mar 28, 2013 9:12 am
- Forum: Estimation
- Topic: VAR forecast performance
- Replies: 2
- Views: 3528
Re: VAR forecast performance
Thank you! This was SO HELPFUL! )
- Thu Mar 28, 2013 8:46 am
- Forum: Estimation
- Topic: VAR forecast performance
- Replies: 2
- Views: 3528
VAR forecast performance
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...
- Mon Feb 18, 2013 10:45 am
- Forum: Estimation
- Topic: Eviews-multi-step forecasting
- Replies: 2
- Views: 3511
Re: Eviews-multi-step forecasting
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.
- Mon Feb 18, 2013 2:41 am
- Forum: Estimation
- Topic: Eviews-multi-step forecasting
- Replies: 2
- Views: 3511
Eviews-multi-step forecasting
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...
- Mon Aug 13, 2012 12:26 pm
- Forum: Econometric Discussions
- Topic: low Rsquared values
- Replies: 0
- Views: 1871
low Rsquared values
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...
- Sat Aug 11, 2012 2:14 pm
- Forum: Programming
- Topic: generating series
- Replies: 2
- Views: 2799
Re: generating series
Ive made it thanks so much! have a great day!
- Sat Aug 11, 2012 1:35 pm
- Forum: Programming
- Topic: generating series
- Replies: 2
- Views: 2799
generating series
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...
- Tue Aug 07, 2012 11:19 am
- Forum: Econometric Discussions
- Topic: number of years
- Replies: 0
- Views: 1785
number of years
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 ...
- Tue Aug 07, 2012 11:11 am
- Forum: Estimation
- Topic: NA values in OLS regressions
- Replies: 2
- Views: 3241
Re: NA values in OLS regressions
Thank you so much! I just forgot to adjust my sample.
Best,
Selin
Best,
Selin
- Tue Aug 07, 2012 10:48 am
- Forum: Estimation
- Topic: NA values in OLS regressions
- Replies: 2
- Views: 3241
NA values in OLS regressions
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...
- Fri Aug 03, 2012 2:26 pm
- Forum: Econometric Discussions
- Topic: R-squared
- Replies: 7
- Views: 7111
Re: R-squared
Now I understand Thank you so much for the clarification! Have a wonderful day!
Selin
Selin
- Fri Aug 03, 2012 1:17 pm
- Forum: Econometric Discussions
- Topic: R-squared
- Replies: 7
- Views: 7111
Re: R-squared
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-...