Search found 68 matches

by jmagomez
Thu Jan 22, 2015 3:31 pm
Forum: Estimation
Topic: Forecasting using Kalman Filter
Replies: 7
Views: 2072

Re: Forecasting using Kalman Filter

Dear Fellows,
On what website could I have information about my doubt over forecasting using Kalman Filter? Please, I would like your help.
Best Regards, José.
by jmagomez
Sat Jan 17, 2015 6:41 pm
Forum: Estimation
Topic: Forecasting using Kalman Filter
Replies: 7
Views: 2072

Forecasting using Kalman Filter

Dear Fellows, I developed a model using the State Space Object with Kalman Filter, but I am not having success to forecast. What do I have to do? I am sending the Eviews file and the object is called sskfvecmgasrealsubst. The variables are lgasolinac, lmassasalarialreal and lsubst. Please could you ...
by jmagomez
Tue Jul 15, 2014 7:51 am
Forum: Estimation
Topic: How to use Kalman Filter and State
Replies: 0
Views: 809

How to use Kalman Filter and State

Dear Fellows,

I would like to know if anyone knows some steps or a book/file how to use Kalman Filter and State Space Methodology at Eviews.

Best Regards, José.
by jmagomez
Mon Jun 30, 2014 6:08 pm
Forum: Programming
Topic: Help required with State Space model
Replies: 3
Views: 1332

Re: Help required with State Space model

Dear Vincent and startz, I have a doubt: How do I do to use Kalman Filter at Eviews? I have a multi dinamic regression model as follows: ly c lm ls Could you tell me the steps? Signal and state equations also? Could we use Kalman Filter at VEC Models? Or only at simple models? All my data is until M...
by jmagomez
Mon Jun 30, 2014 5:34 am
Forum: Estimation
Topic: Kalman Filter using Eviews?
Replies: 0
Views: 745

Kalman Filter using Eviews?

Dear Gareth, I have a doubt: How do I do to use Kalman Filter at Eviews? I have a multi dinamic regression model as follows: ly c lm ls Could you tell me the steps? Signal and state equations also? Could we use Kalman Filter at VEC Models? Or only at simple models? All my data is until May 2014 and ...
by jmagomez
Fri Jun 27, 2014 6:15 pm
Forum: Estimation
Topic: Forecasting using Kalman Filter
Replies: 1
Views: 1075

Re: Forecasting using Kalman Filter

Hi Glenn, I worked at the file and simplified it. But I am facing a problem, when I try to forecast I do not receive values, it puts NA (Not Available). The object is the SSVARGASOLINAREAL. My final objective is to obtain LgasolinaC forecast using Kalman Filter. Do I have a problem with the model? W...
by jmagomez
Sat Jun 21, 2014 1:37 pm
Forum: Estimation
Topic: Forecasting using Kalman Filter
Replies: 1
Views: 1075

Forecasting using Kalman Filter

Dear Fellows, I would ask for your help. I am developing a VEC Model analyzing Gasoline C Demand. And I am advancing to analyze Subst parameter (ethanol prices divided by gasoline c prices) volatility using Kalman Filter. It's ok for me to analyze the past, but I am trying to FORECAST Gasoline C con...
by jmagomez
Thu Apr 10, 2014 12:03 pm
Forum: Econometric Discussions
Topic: Strict Exogeneity
Replies: 0
Views: 1030

Strict Exogeneity

Dear Fellows, Is this paragraph true? Why is the addition of lagged sales violating strict exogeneity? And why is AR(1) not violating strict exogeneity? "The addition of lagged sales as an independent variable in our setup violates strict exogeneity, which is an essential assumption of Ordinary...
by jmagomez
Mon Apr 07, 2014 10:36 am
Forum: Econometric Discussions
Topic: Two Cointegrations Doubts
Replies: 0
Views: 806

Two Cointegrations Doubts

Dear Fellows,

I have two questions:

1) When we run a VAR, we don't have a dynamic feedback system, do we?. Do you know a dynamic feedback system?; and

2) About Trace Test, what is the rule to define the number of cointegrating relationships?

Best Regards, José.
by jmagomez
Fri Mar 28, 2014 5:48 am
Forum: Econometric Discussions
Topic: Johansen Cointegration Test
Replies: 6
Views: 2770

Re: Johansen Cointegration Test

Dear Nishant Vats,

Thanks a lot for all your help! And if you have more material about Kalman Filter, Cointegration and Error correction Models and if you could send me I would appreciate.

Best Regards, José.
by jmagomez
Tue Mar 25, 2014 12:27 pm
Forum: Econometric Discussions
Topic: Johansen Cointegration Test
Replies: 6
Views: 2770

Re: Johansen Cointegration Test

Thanks a lot, Nishantvats!

It is a good material and I saw the website, it has a lot of good presentations.

And do you know about Kalman Filter? And how to make it happen with Eviews?

Best Regards, José.
by jmagomez
Mon Mar 24, 2014 9:55 am
Forum: Econometric Discussions
Topic: Johansen Cointegration Test
Replies: 6
Views: 2770

Re: Johansen Cointegration Test

Thanks a lot, Nishanvats.

But what does it mean three cointegrations? Another kind of relation between the variables?

Best Regards, José.
by jmagomez
Fri Mar 21, 2014 9:25 am
Forum: Econometric Discussions
Topic: Johansen Cointegration Test
Replies: 6
Views: 2770

Johansen Cointegration Test

Dear Fellows, I have a question: when we make Johansen Cointegration Test and we get Trace Test indicating three cointegration equations and MaxEigenvalue indicating no cointegration equation. We would prefer the MaxEigenvalue, because it is more tough than Trace test, wouldn't we? And what does it ...
by jmagomez
Thu Mar 20, 2014 5:41 am
Forum: Econometric Discussions
Topic: Differences between Dynamic Regression and Cointegration
Replies: 0
Views: 727

Differences between Dynamic Regression and Cointegration

Dear Fellows,

What are the the advantages and the disadvantages between Dynamic Regression and Cointegration?

Best Regards, José.
by jmagomez
Tue Mar 11, 2014 10:50 am
Forum: Econometric Discussions
Topic: Help with Kalman Filter
Replies: 2
Views: 1333

Re: Help with Kalman Filter

Dear Fellows,

I made a model with Kalman Filter at Eviews 5, but I am not achieving the goal to obtain the residual series and analyze their properties.

Could you help me? I can send the file.

Best Regards, José.

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