Search found 3327 matches

by startz
Wed Jul 18, 2018 8:29 am
Forum: Estimation
Topic: Panel VAR EViews 9
Replies: 8
Views: 275

Re: Panel VAR EViews 9

Is it possible do do some of this by manually writing out the VAR as a standard regression?
by startz
Tue Jul 17, 2018 5:57 am
Forum: Estimation
Topic: Insufficient observations
Replies: 3
Views: 71

Re: Insufficient observations

EViews starts estimation with whatever is stored in the c vector. In your case, this is causing some division by zero. Try saying

Code: Select all

c = 1
before you start the estimation.
by startz
Mon Jul 16, 2018 9:10 am
Forum: Estimation
Topic: Near Singular Matrix Error
Replies: 37
Views: 29240

Re: Near Singular Matrix Error

Perhaps you should ask your instructor why normality matters in this application.

After all, lots of things just aren't normal.
by startz
Mon Jul 16, 2018 8:48 am
Forum: Estimation
Topic: Near Singular Matrix Error
Replies: 37
Views: 29240

Re: Near Singular Matrix Error

(1) You haven't said what the problem is. Non-normality does not invalidate a VAR.
(2) Sometimes you can take logs or make other transformations of the data to make residuals more normal.
by startz
Mon Jul 16, 2018 7:35 am
Forum: Econometric Discussions
Topic: Interpretation of the Breusch Pagan Godfrey test for heteroskedasticity
Replies: 1
Views: 44

Re: Interpretation of the Breusch Pagan Godfrey test for heteroskedasticity

You are interpreting p-values backwards. A low p-value means reject the null.
by startz
Sun Jul 15, 2018 12:31 pm
Forum: Estimation
Topic: Near Singular Matrix Error
Replies: 37
Views: 29240

Re: Near Singular Matrix Error

Normality is of almost no importance for estimating an impulse response function. Sometimes people transform variables, for example taking logs, to get more normal residuals. But then of course you have to translate the transformed impulse response function back to the variable you actually care abo...
by startz
Sun Jul 15, 2018 8:09 am
Forum: Estimation
Topic: Near Singular Matrix Error
Replies: 37
Views: 29240

Re: Near Singular Matrix Error

My question is why are you concerned about non-normality?
by startz
Sun Jul 15, 2018 6:13 am
Forum: Estimation
Topic: Near Singular Matrix Error
Replies: 37
Views: 29240

Re: Near Singular Matrix Error

What do you think the problem is?
by startz
Sun Jul 15, 2018 6:12 am
Forum: Data Manipulation
Topic: Correlation
Replies: 2
Views: 61

Re: Correlation

Look at the function

Code: Select all

@movcor(x,y,n)
by startz
Sat Jul 14, 2018 10:45 am
Forum: Estimation
Topic: Near Singular Matrix Error
Replies: 37
Views: 29240

Re: Near Singular Matrix Error

No, the VAR is fine with highly correlated variables.
by startz
Sat Jul 14, 2018 10:15 am
Forum: Estimation
Topic: Near Singular Matrix Error
Replies: 37
Views: 29240

Re: Near Singular Matrix Error

Perhaps run with one lag and run with two and see if it makes any difference. The real issue is that only having 20 observations limits what you can do.
by startz
Sat Jul 14, 2018 9:24 am
Forum: Estimation
Topic: Near Singular Matrix Error
Replies: 37
Views: 29240

Re: Near Singular Matrix Error

This probably suggests adding one more lag to the VAR. But you have very few observations, so it's not entirely obvious whether you should.
by startz
Sat Jul 14, 2018 8:37 am
Forum: Estimation
Topic: Near Singular Matrix Error
Replies: 37
Views: 29240

Re: Near Singular Matrix Error

The article is just wrong.

A VAR is just a collection of least squares regressions. Normality and heteroskedasticity matter for coefficient tests, but usually no one is interested in doing those for a VAR. Autocorrelation does matter-it's usually handled by adding lags to the VAR.
by startz
Sat Jul 14, 2018 8:16 am
Forum: Estimation
Topic: Near Singular Matrix Error
Replies: 37
Views: 29240

Re: Near Singular Matrix Error

I would just proceed without the test.

And why do you want to test for heteroskedasticity anyway?

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