## Search found 11 matches

Sun Aug 23, 2015 10:10 pm
Forum: Program Repository
Topic: Automatic ARMA selection
Replies: 47
Views: 55594

### Re: Automatic ARMA selection

Sun Aug 23, 2015 7:15 pm
Forum: Program Repository
Topic: Automatic ARMA selection
Replies: 47
Views: 55594

### Re: Automatic ARMA selection

Hi Gareth, I ran the code on one of my series. In addition, i tried to confirm results using the Automatic ARIMA selection addin. The results vary. While the Schwarz value against zero lag comes same in both cases, it varies for lag 1,2,3 and 4. i want to specify that i have one more independent var...
Mon Nov 11, 2013 4:16 am
Forum: Estimation
Topic: Markov switching model
Replies: 30
Views: 36860

### Re: Markov switching model

And thanks a lot for the explanation provided by you. Very helpful!

Warm Regards
Sun Nov 10, 2013 11:28 pm
Forum: Programming
Topic: Rolling VEC and Exogeneity
Replies: 1
Views: 2207

### Re: Rolling VEC and Exogeneity

Dear Team, I have used Dynamic Cointegration (Johansen's cointegration, with a rolling window). Now I have twin objectives: 1) to estimate the rolling speed of adjustment coefficients and 2) rolling LR test statistic for rolling weak exogeneity tests. I am not at all skilled at programming. I tried ...
Sun Nov 10, 2013 11:27 pm
Forum: Estimation
Topic: Markov switching model
Replies: 30
Views: 36860

### Re: Markov switching model

Dear Gareth, I used the Markov Switching model for particular series and the results were generated after 7 iterations. However, I forgot to save the equation, so the re-estimated the equation and this time, the results were generated post 10 iterations. I faced two problems: 1. The results (coeffic...
Wed Sep 04, 2013 11:18 am
Forum: Program Repository
Topic: Automatic ARMA selection
Replies: 47
Views: 55594

### Re: Automatic ARMA selection

Thank you Gareth. Then I think I will go ahead with the try and error method by fixing the maximum lag length at 4 for the daily data.
Mon Sep 02, 2013 11:39 pm
Forum: Program Repository
Topic: Automatic ARMA selection
Replies: 47
Views: 55594

### Re: Automatic ARMA selection

Thank you Gareth.

I tried running this in Eviews 6. It says "{%MATNAME} is not defined".

Warm Regards,
Priyanshi
Mon Sep 02, 2013 6:48 am
Forum: Program Repository
Topic: Automatic ARMA selection
Replies: 47
Views: 55594

### Re: Automatic ARMA selection

Hi Gareth,

This code is actually very useful. Thank you for sharing.

However, as I tried running it, I am getting an error message "%matname is not a valid string or scalar name.". I am using Eviews 7. Will this code won't work on Eview 7?

Warm Regards,
Priyanshi
Mon Sep 02, 2013 5:50 am
Forum: Data Manipulation
Topic: Insufficient numbers of observations and White Test
Replies: 7
Views: 3417

### Re: Insufficient numbers of observations and White Test

Dear Gareth and Startz,

Thank you so much for your replies. I got the Eviews updated on my machine and re-estimated the equation and it is working successfully now.

Thank you so much!

Warm Regards,
Priyanshi
Sun Sep 01, 2013 7:44 pm
Forum: Data Manipulation
Topic: Insufficient numbers of observations and White Test
Replies: 7
Views: 3417

### Re: Insufficient numbers of observations and White Test

Dear Startz, Thank you so much for your kind reply. I re-checked the equation. However, I couldn't detect the error in the equation. Is 3000 an insufficient number of observations for running this equation? I referred to an academic paper and the author has successfully estimated this model for 752 ...
Sun Sep 01, 2013 3:37 am
Forum: Data Manipulation
Topic: Insufficient numbers of observations and White Test
Replies: 7
Views: 3417

### Re: Insufficient numbers of observations and White Test

Hi Gareth, I am trying to run the following regression. It has two dummy variables apart from 5 time series. I am working on a data set containing 3000 observations. y c y(-1) y1(-1) d1*y1(-1) d2*y1(-1) y2(-1) d1*y2(-1) d2*y2(-1) y3(-1) d1*y3(-1) d2*y3(-1) y4(-1) d1*y4(-1) d2*y4(-1) However, I am ge...