Search found 14 matches

by JoaoPereira
Tue Feb 19, 2013 4:30 pm
Forum: General Information and Tips and Tricks
Topic: Newey west automatic selection of bandwidth
Replies: 3
Views: 3412

Re: Newey west automatic selection of bandwidth

Hi Gareth

I´m sorry about that. I didn't know.

Thks anyway
J Pereira
by JoaoPereira
Tue Feb 19, 2013 11:36 am
Forum: General Information and Tips and Tricks
Topic: Newey west automatic selection of bandwidth
Replies: 3
Views: 3412

Re: Newey west automatic selection of bandwidth

Hello Gareth Could you give me some tips about my issue? I've been analysing some calculations of automatic bandwidth Newey West procedure but none of them match the result. I even don´t know if there are different methods we can use, or if the methods are simply not correct.The autocovariance formu...
by JoaoPereira
Fri Feb 15, 2013 8:55 am
Forum: General Information and Tips and Tricks
Topic: Newey west automatic selection of bandwidth
Replies: 3
Views: 3412

Newey west automatic selection of bandwidth

Hi I' m trying to understand the formulae behind the calculation of automatic bandwidth with kernel. When I work with Andrews method everything is ok but when the chosen method is Newey West (page 781 user's guide II) I'm facing some difficulties. I have a lot of work done but I'm afraid I'm a bit l...
by JoaoPereira
Sun Feb 10, 2013 12:10 pm
Forum: Bug Reports
Topic: Truncated uniform Kernel function
Replies: 1
Views: 1718

Truncated uniform Kernel function

Hello In page 785 in User's guide II Eviews 7 in the table with Kernel function properties about Truncated uniform(1st line) we have a q=0 that don't correspond to the value Rb=1/5 (4th column),for according to the formulae Rb=1/(2q+1) (see below table), q should be 2 and not 0. To put things clear ...
by JoaoPereira
Fri Feb 08, 2013 8:15 am
Forum: Estimation
Topic: Newey West bartlett Kernel automatic bandwidth
Replies: 3
Views: 2349

Re: Newey West bartlett Kernel automatic bandwidth

Hello Gareth

Thank you very much
My mistake sorry
Joao Pereira
by JoaoPereira
Thu Feb 07, 2013 4:29 am
Forum: Estimation
Topic: Newey West bartlett Kernel automatic bandwidth
Replies: 3
Views: 2349

Re: Newey West bartlett Kernel automatic bandwidth

Hi Gareth

Could you give any tip about my issue?

I´d appreciate
Tks

Joao Pereira
by JoaoPereira
Tue Feb 05, 2013 5:41 am
Forum: Estimation
Topic: Newey West bartlett Kernel automatic bandwidth
Replies: 3
Views: 2349

Newey West bartlett Kernel automatic bandwidth

Hello I' m working with autocorrelation and experiencing the effect of different bandwidths in the results of a model.With fixed bandwidth I have no problems but when it comes to automatic bandwidth,I get a difference in the result. Particularly I'm dealing with Newey-West estimator with kernel func...
by JoaoPereira
Sun Jan 13, 2013 4:04 pm
Forum: General Information and Tips and Tricks
Topic: Newey - West covariance formula
Replies: 10
Views: 12272

Re: Newey - West covariance formula

Hi

Just to help I attached an excel sheet with the example I've been trying to work out

Regards

João Pereira
by JoaoPereira
Sun Jan 13, 2013 3:01 pm
Forum: General Information and Tips and Tricks
Topic: Newey - West covariance formula
Replies: 10
Views: 12272

Re: Newey - West covariance formula

I'm using Eviews 7
Can I send my calculations in Excel to Help?

João Pereira
by JoaoPereira
Sat Jan 12, 2013 7:01 pm
Forum: General Information and Tips and Tricks
Topic: Newey - West covariance formula
Replies: 10
Views: 12272

Re: Newey - West covariance formula

Hi
I´ve just send you a post and I notice that it's very badly formatted.The problem is that I don´t know how to do it.

I appologize for that

Tks

Joao Pereira
by JoaoPereira
Sat Jan 12, 2013 6:54 pm
Forum: General Information and Tips and Tricks
Topic: Newey - West covariance formula
Replies: 10
Views: 12272

Re: Newey - West covariance formula

I´m just trying to see witch is the correct formula behind the calculation because the formulas I got didn't match. So I started with a very simple case with only 4 obs ( consumption(cons) depending on salary(sal) ) cons sal 100 500 150 600 200 600 180 500 The outputs are OLS = cons c sal β1=-35 β2=...
by JoaoPereira
Fri Jan 11, 2013 9:06 am
Forum: General Information and Tips and Tricks
Topic: Newey - West covariance formula
Replies: 10
Views: 12272

Newey - West covariance formula

Hello I've been trying to get to the results of Newey West estimator with a formula but I didn´t succeed so far.I had a look in the manual (guide II) but it is confusing. The exercise I' m dealing with is as follows Lag specification - none Kernell - Bartlett Bandwith - Newey fixed Truncate integer ...
by JoaoPereira
Fri Jan 04, 2013 2:35 am
Forum: General Information and Tips and Tricks
Topic: Wald Statistic in Chow test
Replies: 12
Views: 7458

Re: Wald Statistic in Chow test

Hi Gareth

Thks for your response .I've already got the result

All the best
João Pereira
by JoaoPereira
Thu Jan 03, 2013 12:21 pm
Forum: General Information and Tips and Tricks
Topic: Wald Statistic in Chow test
Replies: 12
Views: 7458

Wald Statistic in Chow test

Hello all I've just entered the forum and I'll much appreciate if someone can help. I' m working with Chow test , and in the output from Eviews three different results are given: F-statistic,Loglike and Wald Statistic. I was asked to confirm the Wald statistic but I didn´t succeed so far.I checked t...

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