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Hello Matt,

Thanks for your prompt reply. Is there a model command I could use to overwrite the constant value? I'll be performing rolling regressions, and I'll like to program the 4 steps you suggest.

Thanks again,

Mara

Hi there,

I would like to know if it would be possible to change the constant in an unrestricted VAR to a different value prior to performing (dynamic) forecasts?
No other coefficient estimates need to change besides the constant.

Many thanks,

Mara

Thanks for the prompt reply!

Hi there,

I understand that @strdate returns a string list corresponding to each element in workfile.
Is there a similar function available to obtain each element in the the current sample ?

Many thansk,

Mara

Thank you for your reply. If I understand correctly your explanation, the off-scale is a result of EViews using the mean betas to get the fit. Since a country-specific beta can be quite different from the mean, the resultant country-specific fit can be "off". I manually calculated fitted v...

Please find it attached. Thank you!

Hi there, I'm doing panel cointegration estimations, comparing group-mean with weighted-pooled method. Something weird is happenning with the fitted value when using group-mean method. It's off-scale compared to the values of the dependant variable. This does not happen with the weighted-pooled meth...

Thank you very much.
Just a follow-up question, if instead I use a fixed lag number, then the same number is used for each individual cross-section, right?

Hello, I'm trying to account for structural breaks in the cointegrating relatioship by including breakpoint dummies interacting with the long-run coefficients (as well as the intercept shift term) using panel DOLS estimator. How can I tell EViews (9.5) not to include these dummy interactions in the ...

Hello, I'm using EViews 9.5. I'm using FM-OLS to estimate data in panel. When using information criteria such as AIC or BIC to select the whitenning lags, I'm getting: "Long-run covariance estimates (Prewhitening with lags = -1 from AIC, maxlags = 4 ... )" I find that strange, as if I try ...

Got it! Thank you very much.

Hello Gareth, I run the following code to retrieve the lags selected by AIC, using ARDL/PMG panel estimator. The code searches for the minimum AIC. 'run ARDL/PMG estimation !maxlagcrit=4 !mininfocrit=10 for !lagdep=1 to !maxlagcrit for !lagexp=1 to !maxlagcrit equation _eqardl_aic.ardl(fixed,deplags...

Thank you for the reply, I'll use the residuals option.

equation eqdols.cointreg(method=dols, lag=1, lead=1, panmethod=grouped) neerln cpieff nfa totln prodeff gdebteff
!aictemp=_eqdols.@aic

I also used the "pooled" and "w-pooled" methods (and greater number of lags & leads) to check if matters; I still got NA.

Hello Gareth,

I was doing that but wondered if there was a better way to do it.

I'm thinking of doing something else, saving the AIC to make my own comparisons. I just realised that when using panel DOLS the @aic command returns NA (eqdols.@aic). Is that normal?

Thanks again.