Search found 25 matches

by KarinL
Thu Mar 03, 2011 1:50 am
Forum: Programming
Topic: stroring starting values
Replies: 9
Views: 2168

Re: stroring starting values

Is there a way to get access to the p-value of a coefficient? I'd like to automatically delete estimation results with a very bad p-value.
I didn't find anything in the manual... thanks!
by KarinL
Wed Mar 02, 2011 11:46 am
Forum: Programming
Topic: stroring starting values
Replies: 9
Views: 2168

Re: stroring starting values

thanks! That helps - if I let the program run for different starting values I won't have to sort out the ones that didn't converge by hand ...
by KarinL
Wed Mar 02, 2011 11:40 am
Forum: Programming
Topic: stroring starting values
Replies: 9
Views: 2168

Re: stroring starting values

Is there a way to obtain e.g. a standard error of one of the coefficients estimated in the logl?

If so, I could use an if-statement of the form
if SE = "NA" delete LOGL

would that be possible?
by KarinL
Wed Mar 02, 2011 11:22 am
Forum: Programming
Topic: stroring starting values
Replies: 9
Views: 2168

Re: stroring starting values

I'm trying to solve my LOGL object consecutively for differing starting values right now. Is there a command I could use in my program, telling to delete an LOGL object, if it does not converge? (or if there comes the warning - near singular cov matrix and I get NAs for standard errors). This would ...
by KarinL
Tue Mar 01, 2011 5:02 am
Forum: Programming
Topic: stroring starting values
Replies: 9
Views: 2168

stroring starting values

Hello, I'm using Eviews7. I am currently doing some MLE estimation using a logl object. Apparently convregence depends strongly on the starting values of the parameters. In programming the estimation procedure, I'm using the statement parm c(1) 0 c(2) 1 etc. I'd like to also store the starting value...
by KarinL
Wed Feb 09, 2011 10:04 am
Forum: Programming
Topic: computing time
Replies: 3
Views: 976

Re: computing time

perfect! thanks
by KarinL
Wed Feb 09, 2011 2:03 am
Forum: Programming
Topic: computing time
Replies: 3
Views: 976

computing time

Hey, I'm using EViews 7.
Is there any command that returns computing time needed, i.e. to solve a MLE using a logl object?
I've got the feeling that my program is very slow and I'd like to compare different versions of my program regarding computing time.
Thanks.
by KarinL
Tue Feb 08, 2011 8:54 am
Forum: Estimation
Topic: Logl Object and HAC standard errors
Replies: 1
Views: 655

Logl Object and HAC standard errors

Hello, I'm using EViews 7.
I am estimating a GARCH model with likelihood methods, i.e. using a Logl Object.
Is there an option for this object to get the HAC standard errors, or robust t-stats calculated?
Searching the User Guide, I only found this options for LS estimatation. Thanks.
by KarinL
Thu Feb 03, 2011 9:41 am
Forum: Programming
Topic: programming MLE using data series at different frequencies
Replies: 3
Views: 1637

Re: programming MLE using data series at different frequencies

Thanks for the quick reply. I added my actual code, where i have just been copying the variable from one page to another. I'm not quite sure how linking would work here. My problem are the coefficients c5,c6,c7 which are used in the quarterly page, whereas i'm estimating the logl in the daily page. ...
by KarinL
Thu Feb 03, 2011 9:22 am
Forum: Programming
Topic: programming MLE using data series at different frequencies
Replies: 3
Views: 1637

programming MLE using data series at different frequencies

I've just started programming in EViews7. I want to estimate a GARCH-MIDAS model with maximum likelihood methods, i.e. using a Logl Object. The series for this objetc are at daily frequency. However, one model equation concerns a variable at a lower (quarterly) frequency. This variable is then conve...

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