Search found 36 matches

by PERRYGOGAS
Mon Nov 29, 2010 8:41 am
Forum: Estimation
Topic: Maximum Number of Regressors in OLS
Replies: 9
Views: 2499

Re: Maximum Number of Regressors in OLS

Hello and thank you! how do I specify the size?

I mean that ok I created a coefficient vector with 1000 rows named cc. But trying to estimate an OLS from Quick-Estimate Equation with 1000 regressors I still get an error message. How can I do it?
by PERRYGOGAS
Mon Nov 29, 2010 1:15 am
Forum: Estimation
Topic: Maximum Number of Regressors in OLS
Replies: 9
Views: 2499

Maximum Number of Regressors in OLS

What is the maximum number of regressors I can use in EVIEWS? I need to estimate a model with 750 autoregressive lags.

Thank you very much!
by PERRYGOGAS
Mon Oct 18, 2010 8:09 am
Forum: Econometric Discussions
Topic: Lag Structure in a VAR
Replies: 1
Views: 2118

Lag Structure in a VAR

Trying to estimate a VAR where I have no autocorrelation and normality in the errors I find that the only way to achieve both is to have a lag structure that is not continuous i.e. the lag intervals must be 1-10, 36-40. How legitimate is this? is it ok to use a lag structure like this? Am I missing ...
by PERRYGOGAS
Fri Oct 01, 2010 1:26 pm
Forum: Estimation
Topic: Hypothesis Testing on Cointegrating Vectors
Replies: 0
Views: 705

Hypothesis Testing on Cointegrating Vectors

I use within a VAR the View/Cointegration Test and I get the output that I attach here. System 1.rtf Question: From theory I expect to find the Cointegrating Vectors: [1,0,-1] and [0,-1,-1]. Is it possible to test directly in the "2 Cointegrating Equation(s):" panel the null that B(1,3)=-1?
by PERRYGOGAS
Mon Sep 27, 2010 1:37 pm
Forum: Estimation
Topic: Johansen Cointergration Test and Residuals
Replies: 2
Views: 1172

Re: Johansen Cointergration Test and Residuals

You could make a VAR with the same co-integrating relationship as that given by the co-integration test. Then from the VAR you can make the residuals. Great! I was just trying to do this. Just to be 100% sure: the residuals I get from the VAR are the same as the Johansen cointegration residuals? An...
by PERRYGOGAS
Mon Sep 27, 2010 11:28 am
Forum: Estimation
Topic: Johansen Cointergration Test and Residuals
Replies: 2
Views: 1172

Johansen Cointergration Test and Residuals

How can I obtain the residuals from the standard Johansen cointegration test?
I want to experiment with different lag lengths so that the residuals are normal and not serially correlated.
by PERRYGOGAS
Mon Mar 15, 2010 2:26 pm
Forum: Estimation
Topic: Imposing Restrictions in Johansen Coint
Replies: 2
Views: 1000

Re: Imposing Restrictions in Johansen Coint

Thank you very much for the swift response!
by PERRYGOGAS
Mon Mar 15, 2010 2:05 pm
Forum: Estimation
Topic: Imposing Restrictions in Johansen Coint
Replies: 2
Views: 1000

Imposing Restrictions in Johansen Coint

I am testing cointegration and I need to impose some identifying restrictions. The problem is that according to the manual I should get a tab labelled "VEC Restrictions" as I saw in the manual: http://img11.imagehosting.gr/out.php/i1357924_11.jpg But what I get in my EVIEWS 6 is the follo...
by PERRYGOGAS
Mon Jan 05, 2009 10:02 am
Forum: Estimation
Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
Replies: 58
Views: 69454

Re: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?

Am I right that the above program will estimate a multivariate GARCH-M where
the explanatory variables in the mean equations are only the constants (mu) and
the lagged GARCH term?
by PERRYGOGAS
Mon Jan 05, 2009 9:51 am
Forum: Estimation
Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
Replies: 58
Views: 69454

Re: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?

Dear tubador, I have modified the program as below. Hope it is OK now. The programming language of EVIEWS looks a bit strange to me and not very intuitive. I have had experience with RATS etc. and I find this much different. Maybe there is a steep learning curve for this. If you could take a look an...
by PERRYGOGAS
Mon Jan 05, 2009 9:24 am
Forum: Estimation
Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
Replies: 58
Views: 69454

Re: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?

In the original code I see that in the notes the variances are defined wrong: ' H(1,1) = variance of y1 (saved as var_y1) ' H(1,2) = cov of y1 and y2 ( saved as var_y2 ) ' H(2,2) = variance of y2 ( saved as cov_y1y2 ) They should be cov_y1y2 and var_y2 respectively. Hope this does not carry down to ...
by PERRYGOGAS
Tue Dec 30, 2008 6:08 pm
Forum: Estimation
Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
Replies: 58
Views: 69454

Re: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?

Dear trubador, Thank you for the help and thank you for your patience. I am using Eviews 6 as well. I will use the bivariate GARCH program then, but having limited experience with programming EVIEWS I do not know how to include the GARCH variance or standard deviation in the mean equation. This is t...
by PERRYGOGAS
Sat Dec 27, 2008 3:49 pm
Forum: Estimation
Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
Replies: 58
Views: 69454

Re: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?

Tried the tv_garch program but I think it is nothing like the one above: @LOGL LOGL SQRES1 = (Y1-MU(1))^2 SQRES2 = (Y2-MU(2))^2 SQRES3 = (Y3-MU(3))^2 RES1RES2 = (Y1-MU(1))*(Y2-MU(2)) RES1RES3 = (Y1-MU(1))*(Y3-MU(3)) RES2RES3 = (Y3-MU(3))*(Y2-MU(2)) VAR_Y1 = OMEGA(1)^2 + BETA(1)^2*VAR_Y1(-1) + ALPHA(...
by PERRYGOGAS
Sat Dec 27, 2008 12:35 pm
Forum: Estimation
Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
Replies: 58
Views: 69454

Re: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?

Thank you for the reply and help. Is the program you refer to a trivariate GARCH-M?
I am only going to use a bivariate model for now.
by PERRYGOGAS
Fri Dec 26, 2008 4:36 pm
Forum: Estimation
Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
Replies: 58
Views: 69454

HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?

Is there a way to do this? there is no option in Eviews, but some other manual way of doing it within the multivariate GARCH (VECH) estimation framework? And not this: 1) estimating a GARCH model first without conditional variance in the mean equation 2) generate the conditional variance 3) next cre...

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