Search found 90 matches
- Tue Jan 13, 2015 1:51 pm
- Forum: Add-in Support
- Topic: Spectral Analysis*
- Replies: 31
- Views: 54668
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: 17618
Determination of deterministic regressors (ADF)
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: 2979
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: 13128
3D graphs
Good afternoon,
Is there a way to make three-dimensional graphs in Eviews?
Thanks!
Is there a way to make three-dimensional graphs in Eviews?
Thanks!
- Wed Aug 27, 2014 6:54 pm
- Forum: General Information and Tips and Tricks
- Topic: Creating Seasonal Factor for multiple variables at once
- Replies: 8
- Views: 10576
Re: Creating Seasonal Factor for multiple variables at once
You can use the GroupX12 add-in.
- Wed Aug 13, 2014 2:45 pm
- Forum: Add-in Support
- Topic: Spectral Analysis*
- Replies: 31
- Views: 54668
Re: Spectral Analysis*
The Hodrick Prescott filter is a low pass filter, that is, it preserves the low frequency components in the spectrum (long run). Therefore, you can use the estimated spectrum of your series to see if there is any significant peak at the low frequency components, if there is not, the smoothed series ...
- Fri May 16, 2014 10:13 am
- Forum: Econometric Discussions
- Topic: When to use VAR/VECM
- Replies: 2
- Views: 8359
Re: When to use VAR/VECM
Hi, You should use VECM if 1) your variables are nonstationary and 2) you find a common trend between the variables (cointegration). If your variables are nonstationary and you transform them to became stationary (diferences or subtracting trends) without doing a cointegration test you might be omit...
- Thu Apr 17, 2014 10:19 am
- Forum: Econometric Discussions
- Topic: Potential output, the Clark model and State Space Models
- Replies: 11
- Views: 14944
Re: Potential output, the Clark model and State Space Models
Hi, I belive you should introduce starting values for the state variables, you can do it like this for the Clark model: @signal gdp = trend + cycle @state trend = c(1) + trend(-1) + [var = exp(c(2))] @state cycle = c(3)*cycle(-1) + c(4)*lcycle(-1) + [var = exp(c(5))] @state lcycle = cycle(-1) param ...
- Mon Apr 14, 2014 5:27 pm
- Forum: Econometric Discussions
- Topic: Impulse Response in Eviews
- Replies: 13
- Views: 20943
Re: Impulse Response in Eviews
1) In units of the response variable. 2) Cholesky is a matrix decomposition that ensures that your residual covariance matrix could be transformed into a diagonal matrix. The purpose of this Cholesky decomposition is that the impulse to one variable (or their innovations) must be unrelated to the im...
- Wed Apr 09, 2014 7:49 pm
- Forum: Econometric Discussions
- Topic: Impulse Response in Eviews
- Replies: 13
- Views: 20943
Re: Impulse Response in Eviews
Hi, When you give an impulse to a system of equations or an equation, you do it through the residuals (also called innovations) which are the non explained part of the depent variable, so they are in units of the impulse variable. Usually the constant of the model is not taken into account in the im...
- Sun Mar 23, 2014 1:55 pm
- Forum: Estimation
- Topic: near singular matrix
- Replies: 1
- Views: 2970
Re: near singular matrix
Did you tried different starting values for the coefficients? Maybe the coefficients c(1) to c(5) have a value where the algorithm can not start its iteration.
You can change them in the c vector coeficient.
You can change them in the c vector coeficient.
- Sat Mar 22, 2014 11:16 am
- Forum: Estimation
- Topic: syntax error
- Replies: 4
- Views: 5683
Re: syntax error
I did not know of the existence of the formula object, thanks Glenn.
- Sat Mar 22, 2014 6:46 am
- Forum: Estimation
- Topic: syntax error
- Replies: 4
- Views: 5683
Re: syntax error
Hi, you miss some brackets or put some more, I estimate it like this: ls log(cs/(cs+ls)) - log(cs(-1)/(cs(-1) + ls(-1)))=c(3)*(c(4) - 1) + (c(4) - 1)/(1-c(2))*(log(cs+ls)/1)- (log(cs(-1)+ls(-1)))/1+ (1- c (4))*(log(pk) - log(pk(-1)))- log(py)+log(py(-1)) I think that a simpler way to estimate the mo...
- Wed Mar 19, 2014 9:47 am
- Forum: Programming
- Topic: multistep forecast vecm
- Replies: 10
- Views: 9805
Re: multistep forecast vecm
It uses the 400 past values in the sense that you estimate the model with this data, but the forecast are out of sample dynamic.
- Wed Mar 19, 2014 8:18 am
- Forum: Programming
- Topic: multistep forecast vecm
- Replies: 10
- Views: 9805
Re: multistep forecast vecm
No, you don´t have to change the value, you can keep it in seven, I said it in the case you wanted more forecasting ahead steps than five. I have a question,are you sure that the cointegration relationship remains across the time window?