Search found 90 matches

by NicolasR
Tue Mar 18, 2014 7:57 am
Forum: Programming
Topic: multistep forecast vecm
Replies: 10
Views: 9751

Re: multistep forecast vecm

Hi mirror, one easy way to do it is saving the forecasts in a matrix. I do it like this,i think it work, you just have to change the ahead scalar: 'set window size !window=400 'get size of workfile !length=@obsrange 'set step size !step=1 'declare equation for estimation var vecm 'calculate number o...
by NicolasR
Fri Mar 14, 2014 1:40 pm
Forum: Estimation
Topic: How would I input this equation into eViews?
Replies: 5
Views: 4712

Re: How would I input this equation into eViews?

Hi,

You should estimate it with NLS like this:

ls y=c(1)*k^c(2)*l^c(3)*e^c(4)*m^c(5)

By default EViews put the error term. Be careful with the starting values of the parameters, you could introduce them in the c vector-coeficcient.
by NicolasR
Fri Mar 14, 2014 9:39 am
Forum: Programming
Topic: Extracting Trend Using Kalman Filter
Replies: 1
Views: 3040

Re: Extracting Trend Using Kalman Filter

Hi, It depends if you want the smoothed trend or the filtered trend (or the other options that EViews provides) , but you could program it like this for one state variable, you must provide more output names if you have more state variables: sv1.makestate(t=pred) name_1 sv1.makestate(t=predse) name_...
by NicolasR
Sat Feb 22, 2014 1:53 pm
Forum: Add-in Support
Topic: Spectral Analysis*
Replies: 31
Views: 54137

Spectral Analysis*

This thread is about the Spectral Analysis add-in which calculates various spectral analysis tools for time series :series:. It's an improved version of the periodogram add-in, it has new methods to calculate spectal density and a significance test signal that could be used as a white noise test. Re...
by NicolasR
Sun Feb 02, 2014 9:23 pm
Forum: Suggestions and Requests
Topic: asymmetric loss function
Replies: 5
Views: 6557

Re: asymmetric loss function

Section 5 of this document describes the lin-lin,quad-quad and linex functions.

http://www.faculty.ucr.edu/~taelee/pape ... ctions.pdf

Thanks for considering my suggestion. Regards.
by NicolasR
Thu Jan 30, 2014 9:58 am
Forum: Suggestions and Requests
Topic: asymmetric loss function
Replies: 5
Views: 6557

Re: asymmetric loss function

Maybe a linex function, Varian (1974) or a partitioned loss function.
by NicolasR
Tue Jan 28, 2014 2:10 pm
Forum: Suggestions and Requests
Topic: asymmetric loss function
Replies: 5
Views: 6557

asymmetric loss function

Hi,

I have a suggestion, I think that would be very useful to predict an equation an use asymmetric evaluation measures (linear and nonlinear) since eviews only has symmetric measures evaluation.

Thank you!
by NicolasR
Tue Jan 28, 2014 1:38 pm
Forum: Add-in Support
Topic: Periodogram*
Replies: 19
Views: 33298

Re: Periodogram*

Hi ecofin, Do you mean log(frequency- abscissa) or log( (a^2+b^2)^(1/2)- ordinate)? the two options could be calculated using the data from the output table with the @log(x) command. The logarithmic scale can be helpful when the data have a wide range of values, however I think that its utility is m...
by NicolasR
Thu Dec 19, 2013 7:03 pm
Forum: Add-in Support
Topic: Periodogram*
Replies: 19
Views: 33298

Re: Periodogram*

hi,

The new version of the periodogram add-in is updated, it now supports kernel density estimation. thanks for your comments and suggestions.
by NicolasR
Wed Dec 18, 2013 9:36 am
Forum: Add-in Support
Topic: Periodogram*
Replies: 19
Views: 33298

Re: Periodogram*

Hi,

I don't understand the suggestion. Do you mean for the residuals from an equation or state-space representation? or for a series simulated with an ARMA(p,q) data generating mechanism?

Regards.
by NicolasR
Sat Dec 14, 2013 6:21 pm
Forum: Add-in Support
Topic: Periodogram*
Replies: 19
Views: 33298

Re: Periodogram*

thanks for the papers, suggestions and ideas. I will finish soon. thank you again.
by NicolasR
Thu Dec 12, 2013 7:30 pm
Forum: Add-in Support
Topic: Periodogram*
Replies: 19
Views: 33298

Re: Periodogram*

I don’t know OxMetrics. But the Periodogram is the nonparametric estimator of the population spectrum, perhaps what is needed is the estimated periodogram with kernel (different windows, I'm working on it). I'm not sure if you were talking about this. I would appreciate if you send me papers or lite...
by NicolasR
Wed Nov 27, 2013 5:24 pm
Forum: Add-in Support
Topic: Periodogram*
Replies: 19
Views: 33298

Re: Periodogram*

Hi,

I do it with genr ip_mom=@pc(ip).And the series source is: http://www.econstats.com/ipcu/ip_m1.htm the nsa.
by NicolasR
Tue Nov 26, 2013 8:41 pm
Forum: Add-in Support
Topic: Periodogram*
Replies: 19
Views: 33298

Periodogram*

This thread is about Periodogram* Add-in which calculates the estimated spectrum of a time series series object.
by NicolasR
Mon Nov 04, 2013 6:30 pm
Forum: Add-in Support
Topic: GroupX12*
Replies: 0
Views: 6202

GroupX12*

This thread is about groupX12* Add-in which provides a way to quickly perform X-12 seasonal adjustment on every series in a group.

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