Search found 35 matches

by stoddj
Thu Feb 07, 2013 2:59 pm
Forum: Estimation
Topic: Panel cointegration estimations - possible with Eviews 7?
Replies: 32
Views: 18364

Re: Panel cointegration estimations - possible with Eviews 7

Thank you, Glen. I'll have to look at Eviews 8.
by stoddj
Thu Feb 07, 2013 1:13 pm
Forum: Estimation
Topic: Panel cointegration estimations - possible with Eviews 7?
Replies: 32
Views: 18364

Cointegration: Estimation vs. Testing

I have used FMOLS and DOLS to estimate cointegrating equations in a panel setting, via the averaging technique of Pedroni in "PURCHASING POWER PARITY TESTS IN COINTEGRATED PANELS," Review of Econ. & Stat., Nov. 2001. This approach was kindly suggested by Gareth over a year ago. Since i...
by stoddj
Tue Jan 01, 2013 3:19 pm
Forum: General Information and Tips and Tricks
Topic: Font Size in Help Screens
Replies: 4
Views: 3651

Re: Font Size in Help Screens

Thanks, Gareth.
by stoddj
Tue Jan 01, 2013 1:57 pm
Forum: General Information and Tips and Tricks
Topic: Font Size in Help Screens
Replies: 4
Views: 3651

Font Size in Help Screens

I understand that I can change the text size in the main E-views programs, and that dialogue fonts in E-Views are controlled by Windows. But how do i increase the font size in the otherwise excellent help materials? They are way too small for my aging eyes. Thanks, JS
by stoddj
Sun Sep 09, 2012 9:13 pm
Forum: Estimation
Topic: Panel cointegration estimations - possible with Eviews 7?
Replies: 32
Views: 18364

Re: Panel cointegration estimations - possible with Eviews 7

It seems that there's been quite a bit of research in panel Granger tests over the last few years. One suggestion that appears very close to the existing Eviews method is found in a paper by Laszlo Konya, "Exports and growth: Granger causality analysis on OECD countries with a panel data approa...
by stoddj
Sun Sep 09, 2012 2:18 pm
Forum: Estimation
Topic: Panel cointegration estimations - possible with Eviews 7?
Replies: 32
Views: 18364

Re: Panel cointegration estimations - possible with Eviews 7

Wow, ok -- the output sure gave me some false comfort. May I suggest that the documentation here is a little less than adequate? Now granted, there isn't any explicit description of Granger-causality testing for panel data in the Help files -- only the Engle-Granger tests for cointegration. (But eve...
by stoddj
Sun Sep 09, 2012 1:18 pm
Forum: Estimation
Topic: Panel cointegration estimations - possible with Eviews 7?
Replies: 32
Views: 18364

Re: Panel cointegration estimations - possible with Eviews 7

Thanks for your response, Gareth, but I must be misunderstanding something. I have here a group of two variables in a file that is clearly organized as stacked panel data -- both variables show a cross-section and date id for every observation. And under the Group View command, I find, under "G...
by stoddj
Sat Sep 08, 2012 3:13 pm
Forum: Estimation
Topic: Panel cointegration estimations - possible with Eviews 7?
Replies: 32
Views: 18364

Re: Panel cointegration estimations - possible with Eviews 7

I understand that Eviews 7 supports Panel Cointegration testing -- although estimating the cointegrating equation itself takes a bit of additional programming, as explained in the previous posts under this heading. Eviews also supports Granger causality tests on panel data. So far, so good. I am try...
by stoddj
Fri Sep 07, 2012 11:50 am
Forum: Estimation
Topic: Paiwise Granger Causality Tests in VAR or VEC
Replies: 10
Views: 11281

Re: Paiwise Granger Causality Tests in VAR or VEC

In regard to the earlier question about optimal lag length, i should say that i don't know the answer.
by stoddj
Thu Sep 06, 2012 5:03 pm
Forum: Estimation
Topic: Paiwise Granger Causality Tests in VAR or VEC
Replies: 10
Views: 11281

Re: Paiwise Granger Causality Tests in VAR or VEC

Thank you, my mistake. I guess I didn't expect the significance levels for the two tests to be so different.
by stoddj
Thu Sep 06, 2012 11:12 am
Forum: Estimation
Topic: Paiwise Granger Causality Tests in VAR or VEC
Replies: 10
Views: 11281

Re: Paiwise Granger Causality Tests in VAR or VEC

Sure, here's the example. First, the two first-differenced series (don't worry, they're short): obs D(TURN02) D(EMPCONS) 1990 NA NA 1991 NA NA 1992 NA -0.0601278679999994 1993 NA -0.0448243470000004 1994 NA 0.0201069809999996 1995 -0.0806199999999996 0.0214456070000004 1996 -0.1015800000000000 -0.06...
by stoddj
Thu Sep 06, 2012 8:49 am
Forum: Estimation
Topic: Paiwise Granger Causality Tests in VAR or VEC
Replies: 10
Views: 11281

Re: Paiwise Granger Causality Tests in VAR or VEC

Moderator Garrett says they should be the same, but I have not manage to get the same results -- that is, from the Granger test given under Lag Structure for a VAR test, and the Pairwise Granger test ust for the Group of the same two variables. I'm using the identical first-difference variables, wit...
by stoddj
Tue May 01, 2012 6:29 am
Forum: Estimation
Topic: Fitted Value Too Large
Replies: 2
Views: 1281

Re: Fitted Value Too Large

Great -- now it's not doing it anymore. I guess only a magician can diagnose a problem that's not happening. Here's the file, for what it's worth. It should be available at http://www.ewp.rpi.edu/hartford/~stoddj/oldkauf.wf1 The tab is OLS, and the equation is Lifex_OLS. The (now correct) fitted var...
by stoddj
Mon Apr 30, 2012 5:46 pm
Forum: Estimation
Topic: Fitted Value Too Large
Replies: 2
Views: 1281

Fitted Value Too Large

This seems silly, but my fitted LHS value is way too large. I'm hitting the Forecast button after doing an OLS, in order to generate a fitted version of the LHS variable. But that fitted value is way too large -- by a factor of 100! I can otherwise generate it by just subtracting the regression's re...
by stoddj
Thu Jan 06, 2011 8:38 am
Forum: Econometric Discussions
Topic: Forecasting with VEC models (version 2 of question)
Replies: 0
Views: 1134

Forecasting with VEC models (version 2 of question)

I deleted an earlier post on this topic, which speculated that the Error Correction component of a VEC models might sometimes overwhelm the VAR portion, thus lending a sort of inertia that makes the model good for covering relatively stable periods, but not for forecasting substantial changes. I sti...

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