Search found 88 matches

by maragloria
Thu Apr 07, 2016 8:54 am
Forum: Programming
Topic: DOLS - dynamic vs static forecasts
Replies: 6
Views: 2644

Re: DOLS - dynamic vs static forecasts

Indeed, I did an OLS regression specifying the dynamic term explicitly and its fitted value is quite similar to the one in the residuals graph of a DOLS regression. See graph4 and graph 5 below. [img] graph4.jpg [/img] [img] graph5.jpg [/img] My question is: is that a way for me to program a DOLS re...
by maragloria
Thu Apr 07, 2016 7:32 am
Forum: Programming
Topic: DOLS - dynamic vs static forecasts
Replies: 6
Views: 2644

Re: DOLS - dynamic vs static forecasts

I got the impression that the "fitted" in the graph with the residuals made using resids(g) do take into account the dynamic short-term term.
The "fitted" in graph 2 is quite different from the ones in graph 3 or graph 1.
by maragloria
Thu Apr 07, 2016 6:32 am
Forum: Programming
Topic: DOLS - dynamic vs static forecasts
Replies: 6
Views: 2644

Re: DOLS - dynamic vs static forecasts

Hello Trubador, Thanks for your reply. The problem is that "forecast reer_dyn" is not taking into account the dynamic term of the DOLS, as I thought it should. Is that so? "forecast reer_dyn" and "fit reer_fit" gives the same forecasts. See [img] graph3.jpg [/img] Warm ...
by maragloria
Wed Apr 06, 2016 10:47 pm
Forum: Programming
Topic: DOLS - dynamic vs static forecasts
Replies: 6
Views: 2644

DOLS - dynamic vs static forecasts

Hi there, I'm running the following code to compare dynamic with static forecasts by running cointreg(dols): equation dols1_br.cointreg(method=dols, trend=const, lag=1, lead=1, cov=hac) reerln_br trdbal_br eff_totln_br @determ eff_rint_br forecast reer_dyn forecast(s) reer_lt plot reerln_br reer_dyn...
by maragloria
Thu Jan 09, 2014 9:12 am
Forum: Programming
Topic: Adding specific lines to multiple graphs
Replies: 2
Views: 1667

Re: Adding specific lines to multiple graphs

Got it! Thanks very much for your prompt reply.
by maragloria
Thu Jan 09, 2014 8:56 am
Forum: Programming
Topic: Adding specific lines to multiple graphs
Replies: 2
Views: 1667

Adding specific lines to multiple graphs

Hi There, I would like to add specific lines to multiple graphs using the command DRAW (or something else you might suggest). Here is the image of my graph : beta_au.jpg Here is the code I'm using : beta1.displayname Beta for lag=3M beta2.displayname Beta for lag=6M beta3.displayname Beta for lag=9M...
by maragloria
Fri May 24, 2013 4:59 pm
Forum: Estimation
Topic: Providing a range of values to coef in a state-space model
Replies: 2
Views: 1365

Re: Providing a range of values to coef in a state-space mod

Yes, he is doing Bayesian estimation. Too bad for me :(

I estimated the model with Eviews and c(1) is very close to 1. I guess that is why he's restricting it, to avoid the unit root. Thanks for you reply anyway.
by maragloria
Fri May 24, 2013 1:45 pm
Forum: Estimation
Topic: Providing a range of values to coef in a state-space model
Replies: 2
Views: 1365

Providing a range of values to coef in a state-space model

Hi there, I am estimating a state-space model of output gap for the US. I'm reproducing the results from a BIS working paper (attached). Here is a simple model to help clarify my question : gdpln_us = ystar + c(1)*(gdpln_us(-1) - ystarlag) + 1600*e0 @state ystar = 2*ystar(-1) - ystarlag(-1) + e0 @st...
by maragloria
Wed Feb 13, 2013 12:03 pm
Forum: General Information and Tips and Tricks
Topic: Panel or Pool?
Replies: 45
Views: 93086

Re: Panel or Pool?

Hi Gareth, I would like your advice on how should I structure some data. I got GDP growth and oil consumption for about 80 countries, annually. The 80 countries are split among 4 categories: low income, lower-middle income, upper-middle income, high income. I would like to run ls regression grouping...
by maragloria
Mon May 07, 2012 11:13 am
Forum: Econometric Discussions
Topic: tau vs. z statistic for engle-granger and phillips-ouliaris
Replies: 0
Views: 2071

tau vs. z statistic for engle-granger and phillips-ouliaris

Hi there, I am running engle-granger and phillips-ouliaris cointegration tests on 2 variables for about 25 countries (not panel). I have weekly data and I'm doing rolling regression of 2 years to perform the tests to see for which periods the variables are cointegrated or not. I am saving the result...
by maragloria
Tue Feb 14, 2012 12:50 pm
Forum: Data Manipulation
Topic: correlations using exponential smoothing
Replies: 4
Views: 1899

Re: correlations using exponential smoothing

I realize that on the window "Covariance Analysis" there is a session "Options" where I can set "weighting" but I don't know how to use. There are 6 options: none, frequency, var, st. dev, scaled var, scaled st. dev. Which one should I use? p.401 of the User's guide don...
by maragloria
Tue Feb 14, 2012 11:01 am
Forum: Data Manipulation
Topic: correlations using exponential smoothing
Replies: 4
Views: 1899

Re: correlations using exponential smoothing

I just realized that my approach will not work because the corr function of eviews would calculate the classical mean of my transformed variables (so basically, I am calculating the mean twice, once with different weights and once with equal weights). So, I am looking forward to suggetstions :cry:
by maragloria
Tue Feb 14, 2012 9:48 am
Forum: Data Manipulation
Topic: correlations using exponential smoothing
Replies: 4
Views: 1899

correlations using exponential smoothing

Hi there, I would like to compute correlations using exponential smoothing so that the most recent observations have more weight. More specifically, if the expected value using equal weights p1,p2,...pk for a random variable X can be calculated as: E(X) = p_1*x_1 + p_2*x_2 + ... + p_k*x_k I would li...
by maragloria
Thu Feb 02, 2012 11:24 am
Forum: Programming
Topic: Error in Sample
Replies: 2
Views: 2021

Re: Error in Sample

I am gonna give my solution just in case someone else have the same problem I would like to set 5 sample sets, each representing a different regime, named reg1 to reg5. My error was using the word "smpl" to name the sample. I had to use "sample" instead. I didn't notice the nuanc...
by maragloria
Thu Feb 02, 2012 9:34 am
Forum: Programming
Topic: Error in Sample
Replies: 2
Views: 2021

Error in Sample

Hi there, I'am working with weekly data and I would like to set 5 different samples in program but I'm getting the error message Error in Sample: Illegal date REG1 in "SMPL REG1 4/25/2003 7/13/2007" I've trying to set the sample in different ways but none worked: smpl reg1 4/25/2003 7/13/2...

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