Search found 13 matches

by QSnakecharmer
Thu Apr 16, 2009 2:01 pm
Forum: Estimation
Topic: SVAR: I am puzzled
Replies: 0
Views: 1881

SVAR: I am puzzled

Ok, I really need help friends... (1) When I ask Eviews to estimate a six variables' SVAR(p) of order p=1 with a long-run triangular matrix (with zeros above) "a la" Blanchard-Quah, I receive this ERROR MESSAGE from Eviews: "Hessian matrix is near singular at final iteration parameter...
by QSnakecharmer
Tue Apr 07, 2009 9:14 am
Forum: Programming
Topic: Simulation study and Value at Risk
Replies: 2
Views: 5391

Re: Simulation study and Value at Risk

To my knowledge, there's no way to do monte carlo simulations like the one you want to do in eviews right now (maybe someone can write a program for that). What i usually do is to fit the model in eviews and then make a copy of it in excel (you just have to build the math structure of the AR-GARCH a...
by QSnakecharmer
Tue Apr 07, 2009 9:06 am
Forum: Econometric Discussions
Topic: Time Series
Replies: 1
Views: 2298

Re: Time Series

Unit roots tests come first, then, when the j-order of integration of the variables is determined (in case of variables that are stationary in differences), then you fit an ARIMA(p,j,q).
by QSnakecharmer
Tue Apr 07, 2009 8:54 am
Forum: Estimation
Topic: SVAR response standard errors
Replies: 1
Views: 1934

SVAR response standard errors

Hello! I estimated a Structural VAR with long-run (Blanchard-Quah) restrictions. Everything is fine in the estimation, but when I ask Eviews to display (structural) impulse-response functions with response standard errors, these standard errors doesn’t appear! What's happening? Can anyone help me? I...
by QSnakecharmer
Mon Mar 30, 2009 1:46 pm
Forum: Econometric Discussions
Topic: Granger Causality Testing
Replies: 4
Views: 19568

Re: Granger Causality Testing

Yep, the interpretation is good, but the results depend on the number of lags you use in the test. Remember that the fact that X does not granger-cause Y doesn’t necessarily imply that Y is independent of X, granger causality only refers to the capacity of X to forecast Y, if your reject granger-cau...
by QSnakecharmer
Mon Mar 30, 2009 1:37 pm
Forum: Programming
Topic: why lag length=0
Replies: 1
Views: 2541

Re: why lag length=0

This could be because there's no need to account for autocorrelation, but try using another information criteria (as SIC). If the ADF test is VERY important in your analysis, then don't use criteria, do the ADF regressions yourself (as a common regression) and use the lag lenght necesary to account ...
by QSnakecharmer
Mon Mar 30, 2009 1:33 pm
Forum: Suggestions and Requests
Topic: Correlation analysis
Replies: 2
Views: 4216

Re: Correlation analysis

I agree. I use correlation analysis more often.
by QSnakecharmer
Mon Mar 30, 2009 1:31 pm
Forum: Data Manipulation
Topic: Value Maps - Charts
Replies: 6
Views: 3524

Re: Value Maps - Charts

Yep, there is a way in fact, but is a little hidden one. Make a line & symbol graph (you will only see numbers, yes), then FREEZE IT, then in the freeze graph go to proc->options -> axis/scale choose "bottom axis" (in the "Edit Axis" menu) and when you have done this you will...
by QSnakecharmer
Mon Mar 30, 2009 1:18 pm
Forum: Suggestions and Requests
Topic: Suggestion: Temporal Disagregation (Litterman/Chow-Lin etc)
Replies: 5
Views: 6309

Re: Suggestion: Temporal Disagregation (Litterman/Chow-Lin etc)

I agree with Fabio, Chow-Lin and other interpolation methods would be an interesting option to add in future versions. I also use the frequency conversion tools of Eviews a lot.
by QSnakecharmer
Mon Mar 30, 2009 1:12 pm
Forum: Estimation
Topic: Maximising log likelihood functions
Replies: 1
Views: 2926

Re: Maximising log likelihood functions

Well, I’ve only tried once to use the Logl, and I couldn’t tell you much, but in my opinion first you have to define the function x’B that you want to maximize (I guess you already have it), replaced in the likelihood function, and then you have to solve the expanded form (the logarithm of maximum l...
by QSnakecharmer
Mon Mar 30, 2009 12:57 pm
Forum: General Information and Tips and Tricks
Topic: ACD autoregressive conditional duration
Replies: 4
Views: 5090

Re: ACD autoregressive conditional duration

To my knowledge, eviews has not incorporated duration models yet (so, there are no ACD examples yet).
by QSnakecharmer
Mon Mar 30, 2009 12:53 pm
Forum: Econometric Discussions
Topic: non normal residuals in VAR
Replies: 4
Views: 15293

Re: non normal residuals in VAR

First try lag-length and order selection criteria to establish the lag-length order of the VAR model. The problem could be that you’re using too few lags (1) to capture the relationship between your variabless so there’s information left in the residuals (that’s what autocorrelation and non-normalit...
by QSnakecharmer
Mon Mar 30, 2009 12:08 pm
Forum: Estimation
Topic: VAR estimation with parameter constraints
Replies: 2
Views: 5267

Re: VAR estimation with parameter constraints

Another possible solution to estimate a VAR with parameter constraints in Eviews is to estimate the original (unrestricted) VAR model and then use the “make system” option in the “procs” option of the VAR model object. This creates a “System” object, where you could erase the parameters (variables) ...

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