Search found 88 matches

by maragloria
Mon Nov 22, 2010 1:11 pm
Forum: Programming
Topic: Chow test + error message with the Andrews-Quandt test
Replies: 3
Views: 4388

Chow test + error message with the Andrews-Quandt test

Hi There, I am using EViews 7 and I have a question about implementing the Andrews-Quandt test for unknown breakpoint with my own code. I am following the instructions on the book by Stock & Watson (Introduction to econometrics, 2003 edition). The authors call the “Quandt Likelihood Ratio (QLR) ...
by maragloria
Thu Aug 26, 2010 11:00 am
Forum: Programming
Topic: error message when importing with frequency conversion
Replies: 2
Views: 1721

Re: error message when importing with frequency conversion

thanks very much for your reply.
by maragloria
Thu Aug 26, 2010 8:50 am
Forum: Programming
Topic: error message when importing with frequency conversion
Replies: 2
Views: 1721

error message when importing with frequency conversion

Hi there, I am trying to import annual data from excel to eviews using the frequency conversion cubic to convert it to quarterly. When I run the code: import(mode="o", page="original_data", c=c) X:\StateSpace_BoC\Eviews\Data\datastream_g10.xlsx range="debt_annually!B2:G34&qu...
by maragloria
Thu Aug 05, 2010 1:58 pm
Forum: Programming
Topic: out-of-sample forecasts with state-space
Replies: 0
Views: 1158

out-of-sample forecasts with state-space

Hi there, I have a state-space model estimated from 1981Q1 to 2007Q4. The model converges and the coefficients are as expected. Now I would like to perform forecasts until 2011Q4. I’ve tried the built-in forecast available (dynamic, dynamic & smoothed, etc) but I am not sure of how these forecas...
by maragloria
Tue Jul 20, 2010 9:17 am
Forum: Estimation
Topic: kalman filter and forecasting "missing values"
Replies: 5
Views: 2062

Re: kalman filter and forecasting "missing values"

Yes, I do have 4 pre-determined variables in the state specification.
I assume I need to supply values for those variables for the period I want to forecast (UPS!). I'll do that now and see what happens.

Thanks very much for your reply.
by maragloria
Tue Jul 20, 2010 8:42 am
Forum: Estimation
Topic: kalman filter and forecasting "missing values"
Replies: 5
Views: 2062

Re: kalman filter and forecasting "missing values"

Hi Glen,

Could you please help me with the forecast?

I am still getting NA with proc forecast.

Do I have to change the sample and range period in the workfile? Itried that and I re-estimated the model but I still got nothing.

Thanks,

Mara
by maragloria
Tue Jul 20, 2010 6:11 am
Forum: Estimation
Topic: kalman filter and forecasting "missing values"
Replies: 5
Views: 2062

Re: kalman filter and forecasting "missing values"

I did use Proc Forecast but I am getting "NA" for the period 2008q1-2010Q2. Could you please tell me what are the steps to follow? I've tried a few things already but I am getting no results.
Thanks for your reply.
by maragloria
Mon Jul 19, 2010 2:06 pm
Forum: Estimation
Topic: kalman filter and forecasting "missing values"
Replies: 5
Views: 2062

kalman filter and forecasting "missing values"

Hi there, I have estimated a state-space model for the period 1981Q1 to 2007Q4. Now, I would like to use the estimates to forecast until 2010Q2 (the signal variables are available only until 2007Q4). I read in some textbooks that the Kalman filter can estimate “missing values” (which in my case woul...
by maragloria
Fri Jul 16, 2010 12:00 pm
Forum: Estimation
Topic: Warning in State Space Estimation
Replies: 4
Views: 2095

Re: Warning in State Space Estimation

I'am also encountering the same problem. I have the same question as your last post. What did you do to solve the problem (is it indeed a "problem"?).

Thanks for your time.
by maragloria
Mon Jul 12, 2010 12:45 pm
Forum: Estimation
Topic: book on how to estimate state-space models
Replies: 0
Views: 832

book on how to estimate state-space models

Hi there,

I am looking for a book (or some other ressource) that gives more details (and possibly more advanced examples) than what is available in the User's Guides of E-Views 7 on how to implement state-space models with E-views.

Any suggestions?

Thanks,

Mara
by maragloria
Fri Jul 09, 2010 3:29 pm
Forum: Estimation
Topic: state space (copy-and-paste weird behaviour)
Replies: 2
Views: 1414

Re: state space (copy-and-paste weird behaviour)

I didn't set the starting values of the coefficients the first time.
How can I set after the copy-and-paste?

Thanks very much for your help.
by maragloria
Fri Jul 09, 2010 7:05 am
Forum: Estimation
Topic: state space (copy-and-paste weird behaviour)
Replies: 2
Views: 1414

state space (copy-and-paste weird behaviour)

Hi there, I am trying to estimate a simple state model with Eviews 7. It works. Here is the code: @signal auqn = c(1)*cc1+ c(7)*cc2 + v1 @signal caqn = c(2)*cc1+ c(8)*cc2 + v2 @signal eurqn = c(3)*cc1+ c(9)*cc2 + v3 @signal gbqn = c(4)*cc1+ c(10)*cc2 + v4 @signal jpqn = c(5)*cc1+ c(11)*cc2 + v5 @sig...
by maragloria
Tue Jun 29, 2010 10:26 am
Forum: Estimation
Topic: cointegration with a state space model
Replies: 0
Views: 1391

cointegration with a state space model

Hi there, I am trying to estimate a state space model which involves a cointegration relationship among some known variables and the unknown factors. Here is my code in Eviews 7: @signal auqn = c(1)*cc1+ c(7)*cc2 + v1 @signal caqn = c(2)*cc1+ (c(8)+c(93)*dum)*cc2 + v2 @signal eurqn = c(3)*cc1+ c(9)*...

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