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Thanks very much!

Hi All, I need to run a regression where the dependent variable is a rating number (simply 1 to 5) and independent variables are 4 ratios which when we add them all they will always be equal to 1. Attached is a snapshot of the data and I would be grateful if you could help me picking the right estim...

Hi all, I have two variables (a & b) which are almost identical but from two different sources: graph.jpg Variable (a) is the one that we are currently using in our models and it goes back to 2010. Variable (b) is the new one which is more reliable however it only goes back to 2018. The plan is ...

Hi Matt,

Thanks very much. This is exactly what I was looking for .

Cheers,
Siroos

Hi All, I am trying to get dummy variables for 24 hours of the 5 working days of the week (i.e. Monday 00:00 AM to Friday 11:00 PM) I have the hourly dummies code (I don't need the minutes): group dummies2 @expand(@hour,@minute) %hms = "0000 0005 0010 0015 0020 0025 0030 0035 0040 0045 0050 005...

Thanks very much Matt.

Hi there,
I have been working with a huge model (>3000 equations) and I was wondering if there is a way to save the dependency graph (interactively) so I can use it again. It takes around an hour to create it each time.
Cheers,
Siroos

Thank you Carlo, but I already dropped the constant, when use them together, so there should be no problem.
Cheers,
Siroos

Hi, I would like to show the behavior of a variable during specific hours of a day. For example, for AUD we have a dummy variable (D_LOC) which covers from 23:00-06:00 and another dummy (D_FOR) which covers the remaining hours of a day, from 06:00-23:00. Now problem is, I get different results when ...

Thank you very much for your reply.

Hi, I have been trying to remove the Autocorrelation from my model but it seems impossible. The best results come from an ARMA-EGARCH model with Student’s t error distribution. I have also tried with no pre-sampling but still nothing. The data is 15-MINUTES Australian Dollar exchange rate returns ag...

I think you have perfect multicollinearity problem (dummy trap) amoung your dummies try to drop one of them or in some cases you may also drop c.

Thank you very much, now it makes scense. Now my questions is if the formula that I have applied for conditional variance is correct? Var = (1/N)*(Return-(@mean(return)))^2 What if I remove the scaling by 1/N since I have more than 700,000 observations. Will it be better? and finally how about the s...

Hi, I have been trying to include conditional variance into my model. I have extracted the conditional variance (garch) from the return equation but I would like to know how eviews calculates it. I have tried this formula [Var = (1/N)*(Return-(@mean(return)))^2]. graphically they are very close but ...

I have checked the stationarity of the returns again and ADF and PP unit root tests give p-value around 0.0001 which we can conclude that returns are stationary. Turning off the "Backcast presample MA terms" also wouldn't give any improvement same as different GARCH-M specifications. The o...