Search found 443 matches

by EViews Matt
Fri Sep 11, 2020 2:26 pm
Forum: Models
Topic: Adding model residuals and averages to a new series
Replies: 1
Views: 209

Re: Adding model residuals and averages to a new series

Hello, While you can include the expression for the mean directly in your model specification, I haven't thought of a way around explicitly creating the equation residuals. Perhaps more expressive series naming would improve transparency satisfactorily. For example, {%eqName}.makeresids {%eqName}_re...
by EViews Matt
Tue Sep 01, 2020 1:03 pm
Forum: Programming
Topic: Programme
Replies: 1
Views: 237

Re: Programme

Hello,

If you're referring to the HSIAO add-in, it can be found on the EViews Add-ins page.
by EViews Matt
Wed Aug 26, 2020 4:27 pm
Forum: Models
Topic: actexist
Replies: 7
Views: 668

Re: actexist

In the model you sent me, the last 10 equations did not have add factor enabled. The odd add factor names worked fine for me, e.g., variable pcja00's add factor is named pcja00_a2 because pcja00_a is another variable in the model. I think the root issue was just that 10 variables were missing add fa...
by EViews Matt
Wed Aug 26, 2020 4:14 pm
Forum: Estimation
Topic: structural VAR and restrictions
Replies: 8
Views: 574

Re: structural VAR and restrictions

Performing the unit root test with the dummies would help confirm that you've accounted for observed non-stationarity, but you can still run the VAR to see what happens regardless.
by EViews Matt
Wed Aug 26, 2020 4:04 pm
Forum: Data Manipulation
Topic: How to make impulse response lines an area
Replies: 3
Views: 413

Re: How to make impulse response lines an area

Unfortunately, I'm not aware of a simple way to accomplish what you want. I've reworked an old example of mine to show how you could create a graph with a filled area band for the confidence interval. This example is probably overkill, but it demonstrates the core task of creating a mixed type graph...
by EViews Matt
Tue Aug 25, 2020 5:49 pm
Forum: Models
Topic: actexist
Replies: 7
Views: 668

Re: actexist

I believe the issue is a set of missing add factors for 10 variables named pcja??_a. Some series with that name pattern are add factors for variables named pcja??, but the 10 variables I speak of unfortunately are named like add factors and would have their own add factor series named pcja??_a_a. Si...
by EViews Matt
Tue Aug 25, 2020 10:46 am
Forum: Data Manipulation
Topic: How to make impulse response lines an area
Replies: 3
Views: 413

Re: How to make impulse response lines an area

Hello,

Is the issue that the confidence lines are not being shown or that you want the area between the confidence lines to be filled?
by EViews Matt
Tue Aug 25, 2020 9:27 am
Forum: Estimation
Topic: structural VAR and restrictions
Replies: 8
Views: 574

Re: structural VAR and restrictions

Hello,

The VAR would not determine where the structural breaks occur (the values of the dummy series), so the dummies would be exogenous variables.
by EViews Matt
Sun Aug 23, 2020 12:36 pm
Forum: Models
Topic: actexist
Replies: 7
Views: 668

Re: actexist

Hmm. Yes, please do share your workfile.
by EViews Matt
Fri Aug 21, 2020 9:57 am
Forum: Models
Topic: actexist
Replies: 7
Views: 668

Re: actexist

Hello,

I'm also surprised that didn't work as expected. However, in this case I believe the (v=n) option to addinit is a workable substitute.
by EViews Matt
Wed Aug 19, 2020 9:21 am
Forum: Estimation
Topic: structural VAR and restrictions
Replies: 8
Views: 574

Re: structural VAR and restrictions

Hello,

You can certainly try it. Just keep in mind that since the SVAR is derived from an underlying VAR, if the VAR model of your data at levels is poor then I doubt you can place much confidence in the SVAR IRFs.
by EViews Matt
Fri Aug 14, 2020 1:04 pm
Forum: Estimation
Topic: IRF in VARX
Replies: 3
Views: 411

Re: IRF in VARX

Hello, I've modified my example below to operate over a simple panel. If it works fine on your machine then there may be a sample issue with your dataset, would you be able to post your workfile and whatever program you've used to create the IRFs? ' Create a sample VAR(2) with 2 exogenous variables ...
by EViews Matt
Mon Aug 10, 2020 2:36 pm
Forum: Estimation
Topic: structural VAR and restrictions
Replies: 8
Views: 574

Re: structural VAR and restrictions

Hello, That error ideally only occurs when the restrictions you've chosen don't agree with the underlying data, i.e., EViews cannot find results that simultaneously satisfy your restrictions and match the VAR's residual covariance matrix. Given that you've over-constrained the SVAR, that result is n...
by EViews Matt
Tue Jul 28, 2020 11:32 am
Forum: Estimation
Topic: IRF in VARX
Replies: 3
Views: 411

Re: IRF in VARX

Hello, I assume you're using an EViews VAR object for your model, and unfortunately the built-in IRF tools don't support shocks to exogenous variables. Conceptually, all you need to do is zero all your endogenous and exogenous data, except for the shock you want, and then run a forecast. From a prac...
by EViews Matt
Mon Jun 22, 2020 1:59 pm
Forum: Programming
Topic: Rolling regressions with conditions
Replies: 5
Views: 738

Re: Rolling regressions with conditions

Hello,

Your extra requirements would be relatively minor changes to a rolling regression program, (1) a new outer loop to go through each of your 100 stocks, and (2) an if statement to check whether you should skip the current regression if there are fewer than 24 non-NA observations available.

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