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?

## Search found 36 matches

- Mon Nov 29, 2010 8:41 am
- Forum: Estimation
- Topic: Maximum Number of Regressors in OLS
- Replies:
**9** - Views:
**2325**

- Mon Nov 29, 2010 1:15 am
- Forum: Estimation
- Topic: Maximum Number of Regressors in OLS
- Replies:
**9** - Views:
**2325**

### 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!

Thank you very much!

- Mon Oct 18, 2010 8:09 am
- Forum: Econometric Discussions
- Topic: Lag Structure in a VAR
- Replies:
**1** - Views:
**2035**

### 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 ...

- Fri Oct 01, 2010 1:26 pm
- Forum: Estimation
- Topic: Hypothesis Testing on Cointegrating Vectors
- Replies:
**0** - Views:
**659**

### 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?

- Mon Sep 27, 2010 1:37 pm
- Forum: Estimation
- Topic: Johansen Cointergration Test and Residuals
- Replies:
**2** - Views:
**1105**

### 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...

- Mon Sep 27, 2010 11:28 am
- Forum: Estimation
- Topic: Johansen Cointergration Test and Residuals
- Replies:
**2** - Views:
**1105**

### 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.

I want to experiment with different lag lengths so that the residuals are normal and not serially correlated.

- Mon Mar 15, 2010 2:26 pm
- Forum: Estimation
- Topic: Imposing Restrictions in Johansen Coint
- Replies:
**2** - Views:
**933**

### Re: Imposing Restrictions in Johansen Coint

Thank you very much for the swift response!

- Mon Mar 15, 2010 2:05 pm
- Forum: Estimation
- Topic: Imposing Restrictions in Johansen Coint
- Replies:
**2** - Views:
**933**

### 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...

- Mon Jan 05, 2009 10:02 am
- Forum: Estimation
- Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
- Replies:
**58** - Views:
**66785**

### 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?

the explanatory variables in the mean equations are only the constants (mu) and

the lagged GARCH term?

- Mon Jan 05, 2009 9:51 am
- Forum: Estimation
- Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
- Replies:
**58** - Views:
**66785**

### 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...

- Mon Jan 05, 2009 9:24 am
- Forum: Estimation
- Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
- Replies:
**58** - Views:
**66785**

### 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 ...

- Tue Dec 30, 2008 6:08 pm
- Forum: Estimation
- Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
- Replies:
**58** - Views:
**66785**

### 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...

- Sat Dec 27, 2008 3:49 pm
- Forum: Estimation
- Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
- Replies:
**58** - Views:
**66785**

### 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(...

- Sat Dec 27, 2008 12:35 pm
- Forum: Estimation
- Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
- Replies:
**58** - Views:
**66785**

### 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.

I am only going to use a bivariate model for now.

- Fri Dec 26, 2008 4:36 pm
- Forum: Estimation
- Topic: HOW TO ESTIMATE A MULTIVARIATE GARCH-M MODEL?
- Replies:
**58** - Views:
**66785**

### 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...