Search found 14 matches

by VictorV
Wed Jan 07, 2015 3:09 pm
Forum: Programming
Topic: ARMAX model - Sinusoidal function
Replies: 8
Views: 2846

Re: ARMAX model - Sinusoidal function

I actually need this model as the conditional mean equation for a GARCH model, i.e. ARMAX-GARCH. I assume that this will become very difficult using state space models for the conditional mean?
by VictorV
Wed Jan 07, 2015 9:43 am
Forum: Programming
Topic: ARMAX model - Sinusoidal function
Replies: 8
Views: 2846

Re: ARMAX model - Sinusoidal function

I'm sorry I don't really understand your state space solution. Could you explain this in more detail?
Thanks!
by VictorV
Wed Jan 07, 2015 3:53 am
Forum: Programming
Topic: ARMAX model - Sinusoidal function
Replies: 8
Views: 2846

Re: ARMAX model - Sinusoidal function

Thanks a lot! This should solve the problem. However how would I now correctly specify the MA term?
by VictorV
Thu Dec 18, 2014 12:38 pm
Forum: Programming
Topic: ARMAX model - Sinusoidal function
Replies: 8
Views: 2846

ARMAX model - Sinusoidal function

I am trying to model an ARMAX model with both seasonal dummies and a sinusoidal function (see attachment). I currently have the following: "p c x1 x2 x3 x4 x5 @trend sin(@trend*@acos(-1)/365) ar(1) ar(7) ar(14) ma(1)" . where x are the indicator functions. However now I am still missing th...
by VictorV
Mon Jun 18, 2012 1:38 am
Forum: Programming
Topic: How to convert yearly to 3-yearly data
Replies: 1
Views: 673

How to convert yearly to 3-yearly data

Can someone help me out with converting a yearly time-series into a 3-yearly time series?

I have a time series with yearly data from 1871 until 2011 and I want to convert this to a 3 yearly time series (i.e. 1871,1874,1877...) by deleting all intermediate years.

Thanks!
by VictorV
Tue Jun 05, 2012 12:31 am
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 165955

Re: Basic Rolling Regression

That should do it, I'm sorry for the inconvenience!
by VictorV
Sun Jun 03, 2012 10:08 am
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 165955

Re: Basic Rolling Regression

So what do I do wrong? Here is a screenshot where you can clearly see the spreadsheet from the 13th entry
by VictorV
Fri Jun 01, 2012 12:40 am
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 165955

Re: Basic Rolling Regression

Here it is!

I found out that the coefficient matrix does give enough entries. With 372 obs and a window of 50 the coef matrix gives 322 entries.
So the only problems I have are with the fcast series.
by VictorV
Thu May 31, 2012 1:55 am
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 165955

Re: Basic Rolling Regression

Dear Esther, I had another look at 4-period-ahead forecast code you helped me with but I think it is still not correct. When running the rolling regression with a window of 20, the spreadsheet gives output from the 13th entry. When adjusting the window this does not change and even with a window of ...
by VictorV
Wed May 30, 2012 4:11 am
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 165955

Re: Basic Rolling Regression

Dear Esther, I have one more question regarding your forecasting model. If I would now like to use a 1-period-ahead forecast rolling regression only, could I simply change the '+2' in '-1' in the following code: ' 4-period-ahead forecast %4pers = @otod(@dtoo(%start)+!i+!window-1) 'start point %4pere...
by VictorV
Wed May 30, 2012 3:05 am
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 165955

Re: Basic Rolling Regression

Thanks!!!
by VictorV
Tue May 29, 2012 7:06 am
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 165955

Re: Basic Rolling Regression

I'm having some difficulty trying to apply the 4-period-ahead forecasts, based on LS equation. I coppied the whole code and made only 2 adjustments. My original series is a monthly stock price index from 1980m01 - 2010m12 (372 obs). The equation I want to forecast is just "P c P(-1)". Ther...
by VictorV
Fri May 25, 2012 12:15 am
Forum: Data Manipulation
Topic: Product Series
Replies: 2
Views: 1031

Re: Product Series

Thanks!
by VictorV
Thu May 24, 2012 6:28 am
Forum: Data Manipulation
Topic: Product Series
Replies: 2
Views: 1031

Product Series

I'm having great difficulty building a series with interest rate r where I need the product from i=1 to t of ( 1+r_i ). Using the comment @prod(x) gives just the total product of the whole series and not a new series where the entry at time t equals the product of the previous entries. Could anyone ...

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