Search found 86 matches

Thu Jul 09, 2015 8:51 am
Forum: Programming
Topic: Simulation-Plot
Replies: 5
Views: 1883

Re: Simulation-Plot

Or maybe is something like this: wfcreate test a 1960 2000 scalar r2 = 0 while r2 < 0.8 series y1 series y2 y1(1)=0 y2(1)=0 smpl 1961 @last y1 = y1(-1) + nrnd y2 = y2(-1) + nrnd smpl @all equation eq.ls y1 c y2 scalar r2 = eq.@r2 group g y1 y2 g.line y1 y2 wend freeze(gr1) g.line y1 y2 g.scat linefit
Tue Jul 07, 2015 9:03 am
Forum: Econometric Discussions
Topic: Differnt estimated values of mean equation in GARCH and EGAR
Replies: 1
Views: 1152

Re: Differnt estimated values of mean equation in GARCH and

The mean and the variance equations are estimated by ML simultaneously, therefore the estimates for the mean equation could change due to changes in the variance equation.
Mon Jun 22, 2015 8:37 am
Forum: Bug Reports
Topic: Hannan-Quinn
Replies: 1
Views: 2087

Hannan-Quinn

Hi, I'm programming a unit root test that requires uncorrelated residuals, for these i´m using information criteria to select the optimal lag length. The problem is with the command @hq, when i try to save the hq criteria in a scalar or in a control variable the following error appears "@HQ is ...
Fri Jun 12, 2015 9:50 am
Topic: Spectral Analysis*
Replies: 31
Views: 32454

Re: Spectral Analysis*

If you are interested in a shot-run cycle you can estimate the spectrum by months or even by weeks as follows.

Code: Select all

wfcreate u 1 1250

for !i=1 to 96
genr w!i=nrnd
w!i.spectral(periodogram)
next

Where your week contains 1250 data points and w!i is the i -th week.
Tue Jun 09, 2015 7:27 am
Topic: Spectral Analysis*
Replies: 31
Views: 32454

Re: Spectral Analysis*

Hi, If you are working with 100.000 observations the add-in will not work. However if you click options-->General options-->Advanced system options and change the memory reserved for windows to 200 you will probably can work with 12000 observations (in a 32 bit version). Increase the temporal aggreg...
Thu Apr 23, 2015 1:15 pm
Topic: STAR*
Replies: 52
Views: 42109

Re: STAR*

The paper seems interesting. I don´t know what you mean exactly by the short-run effects, but you can estimate an Error Correction Model using the Engle-Granger procedure (from what I saw you have two variables CDS and bonds) and save the stationary error correction mechanism, then using the add-in ...
Mon Mar 16, 2015 9:21 am
Topic: STAR*
Replies: 52
Views: 42109

Re: STAR*

Do you check the add-in documentation? I provide two examples in there, one with simulated data and the other with USA inflation. The estimated model with the add-in can forecast if you choose LSTAR or ESTAR models, but if you choose LSTAR-D or ESTAR-D model it can not given that you need the transi...
Mon Feb 16, 2015 9:20 am
Topic: STAR*
Replies: 52
Views: 42109

STAR*

This thread is about the Smooth Transition Regression (STR) add-in which performs testing, estimation and evaluation of STR models. The testing procedures includes the specific alternatives: LSTR, ESTR, LSTR-D and ESTR-D, transition variables significance and adequacy between STR structures. For the...
Mon Feb 16, 2015 9:00 am
Topic: Spectral Analysis*
Replies: 31
Views: 32454

Re: Spectral Analysis*

The cumulative spectrum could be calculated simply with the command @cumsum(%spectrum_name). The test sounds interesting but it is not in my plans, sorry.

Best regards.

Nicolas.
Tue Feb 10, 2015 12:45 pm
Topic: Spectral Analysis*
Replies: 31
Views: 32454

Re: Spectral Analysis*

Hi lofficer,

The add-in only performs univariate spectral analysis, in fact I´m working on a cross spectral analysis add-in I belive it will be ready in a couple of months.
Tue Jan 13, 2015 2:13 pm
Forum: Programming
Topic: ARMAX model - Sinusoidal function
Replies: 8
Views: 3399

Re: ARMAX model - Sinusoidal function

I think that the sinusoidal function that you showed can be expressed as: A1*Cos(2pit/365)+B1*Sin(2pit/365) Where Alpha_7=(A1^2+B1^2)^(1/2) and Alpha_8=tan^-1(-B1/A1), which are the amplitude and the phase shift in radians. Therefore, you can perfom the estimation by list as: @cos(2*@acos(-1)*@trend...
Tue Jan 13, 2015 1:51 pm
Topic: Spectral Analysis*
Replies: 31
Views: 32454

Re: Spectral Analysis*

The version 2.0 of the spectral analysis add-in is now available. It contains tests for detecting periodic components, white noise and Gaussian white noise, also it performs an automatic procedure for extracting cycles of a time series, named significant pass filter (SPF). The add-in could also be u...
Mon Nov 10, 2014 11:39 am
Forum: Program Repository
Topic: Determination of deterministic regressors (ADF)
Replies: 0
Views: 6041

Hi, The code below shows a way to perform the Augmented Dickey-Fuller test and to detect deterministic components in a series. It is based on Enders, W. (2008). Applied econometric time series. John Wiley & Sons. As the author mention no procedure can be expected to work well if it is used in a ...
Tue Sep 16, 2014 12:10 pm
Forum: Econometric Discussions
Topic: syntax error in specifying state space model
Replies: 1
Views: 1633

Re: syntax error in specifying state space model

Hi, You have two typos, @ename e1 @ename e2 @evar var(e1)=exp(c(4)) @evar var(e2)=exp(c(5)) @signal ipg_norm = c(6)*sv1+e1 ' you wrote the state variable as a lead of orden one,this can not be done @state sv1 = c(1)*sv1(-1) + c(2)*sv2(-1) + c(3)*sv3(-1)+e2 @state sv2 = sv1(-1) @state sv3 = sv2(-1) '...
Sun Sep 14, 2014 2:31 pm
Forum: Data Manipulation
Topic: 3D graphs
Replies: 7
Views: 4042

3D graphs

Good afternoon,

Is there a way to make three-dimensional graphs in Eviews?

Thanks!