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by startz
Sat Jun 16, 2018 2:36 pm
Forum: General Information and Tips and Tricks
Topic: Fama-MacBeth regression
Replies: 2
Views: 55

Re: Fama-MacBeth regression

I can see why you're confused. The Excel file seems to have 36 series plus a date. There don't appear to be any explanatory variables. Nothing looks like a panel.
by startz
Wed Jun 06, 2018 6:28 am
Forum: Data Manipulation
Topic: Creating new group with negative dependant variable
Replies: 5
Views: 136

Re: Creating new group with negative dependant variable

In EViews, groups are just collections of series and all series in a workfile page are the same length. You can exclude observations from processing by using the smpl command or by setting elements equal to NA. If you want, I suppose you could do smpl 16 30 yy = y xx1 = x1 xx2 = x2 xx3 = x3 xx4 = x4...
by startz
Tue Jun 05, 2018 5:51 am
Forum: Econometric Discussions
Topic: How does one practically implement a Vector Autoregression (VAR)?
Replies: 3
Views: 131

Re: How does one practically implement a Vector Autoregression (VAR)?

To know whether a model is a standard VAR, you'll have to show what you want all the equations to look like.
by startz
Tue Jun 05, 2018 5:48 am
Forum: Estimation
Topic: Estimating sub-samples within the sample
Replies: 2
Views: 90

Re: Estimating sub-samples within the sample

Use the smpl command. Something like

Code: Select all

smpl if industry="iron"
by startz
Sun Jun 03, 2018 6:33 am
Forum: Estimation
Topic: ARMA(2,2) - GARCH-M estimation
Replies: 3
Views: 91

Re: ARMA(2,2) - GARCH-M estimation

The C vector is the coefficient vector. It appears in the workfile and you can open and edit it like any other object.

I am curious why you think an ARMA(2,2) model is appropriate, and what stock market returns you are using.
by startz
Sat Jun 02, 2018 4:08 pm
Forum: Econometric Discussions
Topic: How does one practically implement a Vector Autoregression (VAR)?
Replies: 3
Views: 131

Re: How does one practically implement a Vector Autoregression (VAR)?

A VAR is simply a set of OLS regressions of each endogenous variable on lags of all the endogenous variables and on the exogenous variables. Just enter in a couple of endogenous variables and you'll see what you get.
by startz
Sat Jun 02, 2018 6:49 am
Forum: Estimation
Topic: ARMA(2,2) - GARCH-M estimation
Replies: 3
Views: 91

Re: ARMA(2,2) - GARCH-M estimation

Try different starting values in the C vector.

Also, why would you think that ARMA(2,2) is a sensible model for stock returns? (I'm assuming that the data is from a more or less efficient market.)
by startz
Fri Jun 01, 2018 7:05 am
Forum: Programming
Topic: restricted regression vs unrestricted regression
Replies: 3
Views: 95

Re: restricted regression vs unrestricted regression

The general case is

Code: Select all

ls (y-b2*x2) c x1


where you substitute the desired value for b2
by startz
Fri Jun 01, 2018 5:31 am
Forum: Programming
Topic: restricted regression vs unrestricted regression
Replies: 3
Views: 95

Re: restricted regression vs unrestricted regression

You have it corrrect.
by startz
Sat May 19, 2018 7:21 am
Forum: Estimation
Topic: Non-linear least squares regression
Replies: 4
Views: 157

Re: Non-linear least squares regression

Since your equation is nonlinear in parameters you need to write it out in equation form, as shown in the documentation.

The easiest way to indicate that a parameter needs to be estimated is to call it c(1) or c(2), etc. That's how EViews knows it is a parameter rather than a data series.
by startz
Fri May 18, 2018 9:11 am
Forum: Econometric Discussions
Topic: Significance of impulse response VAR
Replies: 6
Views: 4364

Re: Significance of impulse response VAR

All it means is that there is not strong statistical evidence that the response is different from zero.
by startz
Thu May 17, 2018 6:03 am
Forum: General Information and Tips and Tricks
Topic: merge graph series and smoothed markov switching
Replies: 3
Views: 153

Re: merge graph series and smoothed markov switching

open a group with both series and graph them.
by startz
Wed May 16, 2018 4:17 pm
Forum: Econometric Discussions
Topic: Question on GMM estimation
Replies: 1
Views: 96

Re: Question on GMM estimation

You can't have fewer instruments than coefficients.
by startz
Wed May 16, 2018 8:56 am
Forum: General Information and Tips and Tricks
Topic: merge graph series and smoothed markov switching
Replies: 3
Views: 153

Re: merge graph series and smoothed markov switching

After the estimation, proc/make regime results will create a series for you.

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