Search found 2643 matches

by EViews Glenn
Thu Feb 06, 2020 2:24 pm
Forum: Estimation
Topic: Kalman filter state vector unmatch
Replies: 11
Views: 6688

Re: Kalman filter state vector unmatch

The patch has been released.
by EViews Glenn
Wed Feb 05, 2020 12:02 pm
Forum: Estimation
Topic: Kalman filter state vector unmatch
Replies: 11
Views: 6688

Re: Kalman filter state vector unmatch

Apologies. Found the issue and we will get a fix out shortly. I'm very sorry for the inconvenience. Thanks again for your help.
by EViews Glenn
Tue Feb 04, 2020 7:58 pm
Forum: Estimation
Topic: Kalman filter state vector unmatch
Replies: 11
Views: 6688

Re: Kalman filter state vector unmatch

Thanks for the additional info. I'll get back to you as soon as possible.
by EViews Glenn
Tue Feb 04, 2020 11:26 am
Forum: Estimation
Topic: Kalman filter state vector unmatch
Replies: 11
Views: 6688

Re: Kalman filter state vector unmatch

If you change your option to smoothing, you match the TSP results (note that your TSP command smooths). ss1.makestate(t=smooth) f* [edit: However, in this case the smooths and the filtered should align. All of the reported one-step ahead and smoothed look fine and all of our test cases report that t...
by EViews Glenn
Fri Jan 31, 2020 1:39 pm
Forum: Estimation
Topic: Kalman filter state vector unmatch
Replies: 11
Views: 6688

Re: Kalman filter state vector unmatch

Could you please repost the spreadsheet if possible?
by EViews Glenn
Mon Jan 13, 2020 10:12 am
Forum: Estimation
Topic: Confidence Intervals for Quantile Regression
Replies: 1
Views: 2363

Re: Confidence Intervals for Quantile Regression

We are forming symmetric CIs under the assumption of asymptotic normality, even in the case of bootstrapping, as the latter is for the coefficient covariance and not for the coefficient distribution.
by EViews Glenn
Mon Dec 16, 2019 12:06 pm
Forum: General Information and Tips and Tricks
Topic: Question about ARMA forecasting
Replies: 2
Views: 2824

Re: Question about ARMA forecasting

Funny, I'm not seeing that behavior. Estimation from 1953 to 2018 gives estimates with 789 observations for ARMA-ML. Dynamic forecasting for 2019 gives values starting at -1.04 and ascending gradually to -0.55 As to the behavior that you reported... I'm not saying that this is what happened, but not...
by EViews Glenn
Wed Oct 30, 2019 11:54 am
Forum: Data Manipulation
Topic: Sort panel data
Replies: 3
Views: 3280

Re: Sort panel data

It should work. Can you give us a bit more detail on precisely what you are doing, what you expect, and what you are seeing.

Thanks.
by EViews Glenn
Wed Oct 30, 2019 11:36 am
Forum: Data Manipulation
Topic: Confidence ellipse / eigenvectors
Replies: 1
Views: 3438

Re: Confidence ellipse / eigenvectors

Two parts to the question. First, you can add a confidence ellipse as a layer to the scatterplot. From the interface, click on the graph, and select the desired confidence ellipse in the Fit Line combo. In command form group grp1 x y grp1.scat cellipse There are options for the computation of the el...
by EViews Glenn
Wed Oct 30, 2019 11:31 am
Forum: Estimation
Topic: Imposing parameter restrictions on state sapce models
Replies: 2
Views: 3900

Re: Imposing parameter restrictions on state sapce models

You can reparameterize using the @logistic or other such transformation. Simply replace the current parameter, say C(5), with @logit(C(5)). EViews will estimate the deep unrestricted parameter, while the model sees the restricted value.
by EViews Glenn
Wed Oct 30, 2019 11:28 am
Forum: Estimation
Topic: Markov Switching Regression
Replies: 5
Views: 3816

Re: Markov Switching Regression

Unfortunately, computing forecast standard errors for MS switching is extremely difficult and not currently supported. Support will almost certainly have to be using simulation methods, which are likely to be computationally intensive. I'll put this on the list of things to consider for future devel...
by EViews Glenn
Thu Oct 17, 2019 8:45 am
Forum: Estimation
Topic: Markov Switching Regression
Replies: 5
Views: 3816

Re: Markov Switching Regression

I'm don't understand the request.
by EViews Glenn
Thu Sep 19, 2019 9:12 am
Forum: Bug Reports
Topic: switchreg small thing
Replies: 1
Views: 3526

Re: switchreg small thing

Sorry to take so long. Missed seeing this one.

It will be fixed in the next patch.
by EViews Glenn
Thu Sep 19, 2019 8:26 am
Forum: Estimation
Topic: Multiple Breakpoint Test with ARMA
Replies: 1
Views: 2805

Re: Multiple Breakpoint Test with ARMA

Not built-in. The nonlinear nature of the estimators makes this difficult.
by EViews Glenn
Thu Sep 19, 2019 8:25 am
Forum: Estimation
Topic: Funny state switching
Replies: 3
Views: 3287

Re: Funny state switching

Have to think about this. Can you send me the workfile?

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