Search found 29 matches

by misscats
Wed Apr 15, 2015 6:49 am
Forum: Estimation
Topic: Compute dynamic conditional correlations of residuals
Replies: 0
Views: 904

Compute dynamic conditional correlations of residuals

Dear all I searched a while for the issue but most of results are related to GARCH model. I ran a GMM model and got two series of residuals. I wonder whether it is possible to compute dynamic conditional correlations by giving my saved two sets of residuals in Eviews. Thanks for your help. Misscats
by misscats
Tue Apr 14, 2015 10:04 am
Forum: Programming
Topic: Problem with @keep (@keepmap) @drop (@dropmap)
Replies: 6
Views: 2255

Re: Problem with @keep (@keepmap) @drop (@dropmap)

Great. Many thanks.
by misscats
Mon Apr 13, 2015 5:11 am
Forum: Programming
Topic: Problem with @keep (@keepmap) @drop (@dropmap)
Replies: 6
Views: 2255

Re: Problem with @keep (@keepmap) @drop (@dropmap)

Hi Gareth

Do you have any alternative suggestion if I want to have something like:

wfsave normal.wf1 @keep a*

and it only saves any series starting with a from the current workfile?

Thanks,
misscats
by misscats
Thu Apr 03, 2014 2:08 am
Forum: Estimation
Topic: Constant conditional correlation bivariate GARCH
Replies: 6
Views: 4574

Re: Constant conditional correlation bivariate GARCH

Many thanks for your reply, trubador.
by misscats
Wed Apr 02, 2014 11:34 am
Forum: Estimation
Topic: Constant conditional correlation bivariate GARCH
Replies: 6
Views: 4574

Re: Constant conditional correlation bivariate GARCH

This tread is the only place I could find ccc garch codes providing some useful codes. I try to apply the code (for trivariate garch) to a bivariate garch. I find it out it is not as straightforward as it is. Here is my code for a ccc bivariate garch-in-mean model. The code works fine. The table rep...
by misscats
Wed Apr 02, 2014 7:58 am
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 77
Views: 88487

Re: Dynamic conditional correlation multivariate GARCH

Sorry about that.
Many many thanks for your help and patient! :)
by misscats
Wed Apr 02, 2014 7:13 am
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 77
Views: 88487

Re: Dynamic conditional correlation multivariate GARCH

1) Correlation should change over time in order to be dynamic. 2) http://www.eviews.com/Addins/addins.shtml 3) No, you cannot impose seperate structures (e.g. like VAR). You can include all explanatory variables at once. Insignificant ones will turn out to have small t-values. Please keep in mind t...
by misscats
Wed Apr 02, 2014 6:33 am
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 77
Views: 88487

Re: Dynamic conditional correlation multivariate GARCH

Hi trubador I checked DCCGARCH11 add-in and I need to arrange someone to upgrade my Eviews(7) to Eviews 8 from the work. So far, I only can read the DCCGARCH11 add-in documentary. I have some questions regarding to it: (1) I just finished the coding (with a lot of your help) and got some results. I ...
by misscats
Wed Apr 02, 2014 6:09 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 121
Views: 80422

Re: DCCGARCH11

Dear trubador
Does this need Eviews 8 or higher to go with?

Thanks.
by misscats
Wed Apr 02, 2014 4:33 am
Forum: Estimation
Topic: Missing values in LOGL series under Bi-variate GARCH
Replies: 28
Views: 24970

Re: Missing values in LOGL series under Bi-variate GARCH

Thanks trubador. I appreciated your help very much. It is very helpful to have this forum and you here. I am learning more and more now.
by misscats
Wed Apr 02, 2014 4:30 am
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 77
Views: 88487

Re: Dynamic conditional correlation multivariate GARCH

I use the codes provided here and modify to my need. It works through. As I want to have the result of dynamic conditional correlation of variances, is it the value of corr12? If so, it is odd, as it doesn't change after the logl dcc estimation. Is this correct? Or, should I calculate it on my own w...
by misscats
Wed Apr 02, 2014 3:49 am
Forum: Data Manipulation
Topic: Removing NA values from a series in the workfile
Replies: 33
Views: 26961

Re: Removing NA values from a series in the workfile

Pagecontract if x<>na Thank you Gareth. Thanks for inspiring me. I also try to code in a different way and it also works: for %sheet 1 2 3 %range = %sheet wfopen "C:\Users\...\Data.xlsx" range=%range @keep smb hml mom dummy1 ret @selectif ret<>na next
by misscats
Wed Apr 02, 2014 2:52 am
Forum: Estimation
Topic: Missing values in LOGL series under Bi-variate GARCH
Replies: 28
Views: 24970

Re: Missing values in LOGL series under Bi-variate GARCH

As I already mentioned in this post and have reiterated here , this is an issue of sample adjustment. Since you are using fx(-1), you loose the observation at the beginning. All you have to do is change the following line: sample s2 3 @last Other than that, in order to ease estimation and/or conver...
by misscats
Tue Apr 01, 2014 11:49 am
Forum: Data Manipulation
Topic: Removing NA values from a series in the workfile
Replies: 33
Views: 26961

Re: Removing NA values from a series in the workfile

Yes, both the wfopen and import commands have a range statement to select the range of cells to import. Many many thanks. But back to my initial question: how to write the code for the below action? Proc->Contract Current Page then set the sample to "if X<>NA" where X is the series with t...
by misscats
Tue Apr 01, 2014 11:47 am
Forum: Estimation
Topic: Missing values in LOGL series under Bi-variate GARCH
Replies: 28
Views: 24970

Re: Missing values in LOGL series under Bi-variate GARCH

Hi, first of all, thanks for many of you contributing a lot of discussion in order to help me solve my problems step by step. I use Atish's code and modify it for my own need. The code works fine if my first equation's independent variables are ftallsh fx ir smb hml mom dummy1 However, I want to set...

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