## Search found 40 matches

Fri Aug 03, 2012 1:10 pm
Forum: Econometric Discussions
Topic: R-squared
Replies: 7
Views: 3090

### Re: R-squared

Now I tried with a constant but my R-squared value is 0.000352
Fri Aug 03, 2012 1:09 pm
Forum: Econometric Discussions
Topic: R-squared
Replies: 7
Views: 3090

### Re: R-squared

Yes I have.
Fri Aug 03, 2012 1:05 pm
Forum: Econometric Discussions
Topic: R-squared
Replies: 7
Views: 3090

### R-squared

Hi everybody! I just have a quick question. I have been running cross-sectional OLS regressions, and my coefficients are significant (p-value almost zero) however I realize that I often get strange R-squared values which are either very close to zero or negative. Is this a problem with Eviews or doe...
Fri Aug 03, 2012 1:01 pm
Forum: Estimation
Topic: GMM in cross-sectional regressions
Replies: 6
Views: 2571

### Re: GMM in cross-sectional regressions

Thank you so much! I will try it now. Have a great day!
Fri Aug 03, 2012 11:07 am
Forum: Estimation
Topic: GMM in cross-sectional regressions
Replies: 6
Views: 2571

### Re: GMM in cross-sectional regressions

I have a *single* time period (my time-series are given for the same dates and for the exact same period). I want to estimate using the cross-section dimension. (I form 10 portfolios with the 100 stocks in my data set. Each portfolio consists of ten stocks. For example, I want to estimate how volume...
Fri Aug 03, 2012 8:53 am
Forum: Estimation
Topic: GMM in cross-sectional regressions
Replies: 6
Views: 2571

### Re: GMM in cross-sectional regressions

Hey Gareth, thanks a lot for your prompt reply. I have time-series data for 100 stocks. For each stock there is a series like return, volume, etc for the same time period. I am running cross-sectional regressions for different groups of stocks, so I need to transform my series into *panel* data? (I ...
Fri Aug 03, 2012 3:09 am
Forum: Estimation
Topic: GMM in cross-sectional regressions
Replies: 6
Views: 2571

### GMM in cross-sectional regressions

Good morning, How can i run *cross-sectional* regressions using a GMM framework in Eviews? I have pooled my variables but the only methods I see available are LS and TSLS. How do I perform a GMM? I also would like to compute Standard Errors using the Newey and West method. Thank you very much! :) Se...
Wed Aug 01, 2012 7:36 am
Forum: Econometric Discussions
Topic: generalized method of moments
Replies: 0
Views: 1180

### generalized method of moments

Good morning! I am so confused about estimating a LCAPM(liquidity-adjusted capital asset pricing model) in Eviews, as in Asset Pricing with Liquidity Risk(Acharya and Pedersen,2005). As far as I understand they first compute the betas but then they run a GMM that takes into account the pre-estimatio...
Sun Jun 17, 2012 11:57 pm
Forum: Program Repository
Topic: HEGY Seasonal Unit Root Testing for Monthly Series
Replies: 9
Views: 21432

### Re: HEGY Seasonal Unit Root Testing for Monthly Series

Hello!

I am running the subroutine code proposed above but I get the error message near singular matrix error, regressors may be perfectly collinear. Do you know how I can solve this problem? I need to test for seasonal unit roots in my monthly series.

Thank you!
Mon Jun 11, 2012 9:59 am
Forum: Programming
Topic: unit root tests
Replies: 4
Views: 2512

### Re: unit root tests

Thanks anyways. Have a great day!
Sun Jun 10, 2012 8:19 am
Forum: Programming
Topic: unit root tests
Replies: 4
Views: 2512

### Re: unit root tests

Thank you so much for your help! I appreciate it. How about Montanes Clemente Reyes and Perron-Vogelsang? I actually need them too.

Have a great day!
Sun Jun 10, 2012 6:47 am
Forum: Programming
Topic: unit root tests
Replies: 4
Views: 2512

### unit root tests

Hello!

I was wondering if anyone has Eviews codes to run Montanes Clemente Reyes Test, Perron-Vogelsang unit root test and HEGY seasonal unit root test.

I will so much appreciate your help. Thank you so much!

Selin
Mon Apr 09, 2012 2:27 pm
Forum: Econometric Discussions
Topic: mean spillovers
Replies: 1
Views: 648

### mean spillovers

Hi! I am estimating pairwise diagonal BEKK models on Eviews with system specification in order to understand volatility spillovers among multiple countriesâ€™ indices. I use AR(1) and AR(2) as regressor terms and I have two dependent variables in log terms. However, I am confused about how I can compu...
Sun Mar 25, 2012 11:46 pm
Forum: Estimation
Topic: NA values in DOLS residuals
Replies: 2
Views: 1021

### Re: NA values in DOLS residuals

Thank you very much I finally figured that out too, thanks to you!
Thu Mar 22, 2012 2:07 pm
Forum: Estimation
Topic: NA values in DOLS residuals
Replies: 2
Views: 1021

### NA values in DOLS residuals

I run a cointegrating- DOLS regression and create the residual series, but I get lots of NA values. How can I fix this problem? I would be truly grateful if somebody could give me bit of advice or recommendation... I cant compute the test statistics of my study because of the NA values in my residua...