Search found 2598 matches

by EViews Glenn
Tue Nov 21, 2017 10:36 am
Forum: Estimation
Topic: GMM issue when estimating LR coefficients directly (ECM)
Replies: 6
Views: 853

Re: GMM issue when estimating LR coefficients directly (ECM)

Can you send the workfile along with enough detail on what you are doing so that we can try to replicate the estimation settings?
by EViews Glenn
Mon Nov 20, 2017 10:57 am
Forum: Estimation
Topic: Difference between AR1 and lagged variable coefficients
Replies: 2
Views: 351

Re: Difference between AR1 and lagged variable coefficients

Further, the default AR estimation method is ML.
by EViews Glenn
Mon Nov 20, 2017 10:56 am
Forum: Estimation
Topic: Censored regression Tobit - Forecast. Error Message
Replies: 1
Views: 322

Re: Censored regression Tobit - Forecast. Error Message

For what period do you wish to compute the forecast? [Edit: I took a closer look at the equation while waiting for a response to the original question and noticed that the censoring is specified by indicator variable. As noted in the manual, in this case, you cannot compute the forecasts of the cond...
by EViews Glenn
Fri Nov 17, 2017 11:34 am
Forum: Econometric Discussions
Topic: overlapping graphs
Replies: 1
Views: 292

Re: overlapping graphs

Which Markov switching graph?
by EViews Glenn
Fri Nov 17, 2017 11:32 am
Forum: Estimation
Topic: Cochrane Orcutt
Replies: 9
Views: 968

Re: Cochrane Orcutt

It's actually not iterated Corchrane-Orcutt. It's straight non-linear least squares. In general, this doesn't matter, but sometimes does for instrumental variables. I believe we have a discussion of this in the manual.
by EViews Glenn
Mon Nov 13, 2017 11:15 pm
Forum: Estimation
Topic: Eviews 9 clustered standard errors
Replies: 2
Views: 544

Re: Eviews 9 clustered standard errors

You want White period as this allows for within cross section between period correlation.

Yes. http://www.eviews.com/EViews10/ev10ecest_n.html#cluster
by EViews Glenn
Mon Nov 13, 2017 6:59 pm
Forum: Estimation
Topic: one-way unbalanced random effect model (Swamy/Arora)
Replies: 8
Views: 1018

Re: one-way unbalanced random effect model (Swamy/Arora)

( My apologies. I am often too busy to get back here very often and missed your followup posting. I had thought that I had answered the question and I just saw the updated thread today. Please feel free to followup on the discussion with the wider audience at cross validated. ) ------- That said, I ...
by EViews Glenn
Thu Nov 09, 2017 10:44 am
Forum: Bug Reports
Topic: Seasonal autoregression typo
Replies: 1
Views: 297

Re: Seasonal autoregression typo

Yes. We'll get it fixed. Thank you.
by EViews Glenn
Mon Oct 30, 2017 10:33 am
Forum: Bug Reports
Topic: Unit Root test with structural break
Replies: 3
Views: 532

Re: Unit Root test with structural break

There appears to be a bug in the parsing engine. We have code which carefully makes certain to consider only relevant breakpoint selection so that we don't parse options for invalid methods. Unfortunately, the code is currently also ignoring one or two valid methods in your case. For the moment, you...
by EViews Glenn
Mon Oct 30, 2017 10:28 am
Forum: Programming
Topic: Overflow when making residuals series
Replies: 4
Views: 764

Re: Overflow when making residuals series

We're going to have to see the workfile with the estimated system object.
by EViews Glenn
Wed Oct 25, 2017 12:20 pm
Forum: Programming
Topic: Overflow when making residuals series
Replies: 4
Views: 764

Re: Overflow when making residuals series

Are these residuals post-estimation or during estimation?
by EViews Glenn
Mon Oct 23, 2017 10:02 pm
Forum: Estimation
Topic: one-way unbalanced random effect model (Swamy/Arora)
Replies: 8
Views: 1018

Re: one-way unbalanced random effect model (Swamy/Arora)

The overall scaling is built into our GLS transform. I don't have my books handy, but it strikes me that one reason for GLS coefficient covariance differences arises because there are multiple consistent estimators. One approach uses the (X' Omega^-1 X)^-1. This is a consistent estimator and probabl...
by EViews Glenn
Mon Oct 23, 2017 10:58 am
Forum: Data Manipulation
Topic: two way panel
Replies: 9
Views: 1022

Re: two way panel

True. I forget that you are unbalanced.
by EViews Glenn
Mon Oct 23, 2017 10:57 am
Forum: Estimation
Topic: one-way unbalanced random effect model (Swamy/Arora)
Replies: 8
Views: 1018

Re: one-way unbalanced random effect model (Swamy/Arora)

Not the correct estimator. The standard GLS estimator is
var(b) = (X' Omega^-1 X)^-1

So for the quasi-demeaned data, you'll have
var(b) = (Z'Z)^-1

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