## Search found 2563 matches

- Fri Dec 19, 2008 3:34 pm
- Forum: Estimation
- Topic: dummy variable in state space model
- Replies:
**8** - Views:
**3960**

### Re: dummy variable in state space model

Neither of your state variables has a coefficient on it so I'm not certain how interacting with a dummy variable affects anything (unless all you want to knock out a state for part of the sample). In any event, all you need to do is to multiply the state by the dummy in the signal equation.

- Fri Dec 19, 2008 12:18 pm
- Forum: Programming
- Topic: Problem with the tv_garch.prg
- Replies:
**3** - Views:
**2254**

### Re: Problem with the tv_garch.prg

It might be worth trying to replace the !mlog2pi replacement variable with a scalar expression. It's possible that there has been a slight changing in the parsing... You'd replace the line reading !mlog2pi = 3*log(2*@acos(-1)) with the statement scalar mlog2pi = 3*log(2*@acos(-1)) and then in the lo...

- Tue Dec 16, 2008 10:48 am
- Forum: Estimation
- Topic: dummy variable in state space model
- Replies:
**8** - Views:
**3960**

### Re: dummy variable in state space model

As with other nonlinear estimation in EViews, the state space routines take starting values from the workfile. There is no guarantee of global concavity to the likelihood functions so that optimal solutions will be starting value dependent. Moreover, it is quite possible (and as you've noted, it oft...

- Mon Dec 15, 2008 12:09 pm
- Forum: Programming
- Topic: Markov switching model
- Replies:
**2** - Views:
**3934**

### Re: Markov switching model

The description in the manual was a general statement about the uses of the Kalman filter. Unfortunately, the specifications allowed in the EViews state space object do not yet support implementing Markov switching, which requires a somewhat specialized setup for the filter. Markov switching is on o...

- Mon Dec 15, 2008 12:01 pm
- Forum: Estimation
- Topic: dummy variable in state space model
- Replies:
**8** - Views:
**3960**

### Re: dummy variable in state space model

From the manual...(p. 388-390) "Each state equation must be linear in the one-period lag of the states." "State equations may contain exogenous variables and unknown coefficients and me nonlinear in these elements." "Signal equations must be linear in the contemporaneous sta...

- Thu Dec 11, 2008 10:24 am
- Forum: Estimation
- Topic: dummy variable in state space model
- Replies:
**8** - Views:
**3960**

- Wed Dec 10, 2008 10:49 am
- Forum: Estimation
- Topic: Marginal effects in Tobit Model
- Replies:
**41** - Views:
**16148**

### Re: Marginal effects in Tobit Model

The ufactor (unconditional factor (17.27) in Wooldridge) should be 0.645, which it is when I run it. If you want also want the cfactor (conditional factor (17.23) in Wooldridge) you'll have to run the modified version below. I get 0.452 which is a bit off from Wooldridge's reported 0.451, but I thin...

- Tue Dec 09, 2008 12:59 pm
- Forum: Estimation
- Topic: Marginal effects in Tobit Model
- Replies:
**41** - Views:
**16148**

### Re: Marginal effects in Tobit Model

Got it... What you are doing when you perform the forecast (or equivalently, a model solve) is to compute the xi'b at every observation i of the forecast (or model solution) sample. You can get your mean value by simply taking the mean of the forecasted xb values: Since you mention the Wooldridge bo...

- Mon Dec 08, 2008 11:50 am
- Forum: Estimation
- Topic: Marginal effects in Tobit Model
- Replies:
**41** - Views:
**16148**

### Re: Marginal effects in Tobit Model

HI Glenn, I have tried as you suggested and I get a series which I assume are cumulative probabilities for each forecast. What do I do with this series in order to get the single number adjustment factor? Regards, Boyd Boyd, I'm not certain of the context in which you ask this last question. What e...

- Fri Dec 05, 2008 4:18 pm
- Forum: Estimation
- Topic: Marginal effects in Tobit Model
- Replies:
**41** - Views:
**16148**

### Re: Marginal effects in Tobit Model

Simple it is...

series densxb = @dnorm(-xb)

- Wed Dec 03, 2008 5:33 am
- Forum: Estimation
- Topic: two-way panel model
- Replies:
**3** - Views:
**2178**

### Re: two-way panel model

I don't have a reference handy, but from my recollection the idea is pretty straightforward. For balanced designs, the order that the GLS and fixed effects transformations are applied is not relevant since the Kronecker product can be factored into separate period and cross-section transformations. ...

- Tue Dec 02, 2008 1:27 pm
- Forum: Programming
- Topic: math functions for coef
- Replies:
**3** - Views:
**2042**

### Re: math functions for coef

But it's easy enough to get your

**coef**into a**vector**object with which you can use functions:Code: Select all

`coef(2) c1`

c1.fill 1, 2

vector c2 = c1

vector c3 = exp(c2)

- Tue Dec 02, 2008 1:22 pm
- Forum: Programming
- Topic: LogL: How to get the gradient other than at estimated value
- Replies:
**1** - Views:
**1451**

### Re: LogL: How to get the gradient other than at estimated value

The gradient view will compute the gradients at the current coefficients if the logl is not estimated, and at the estimated coefficients if it is. Unfortunately, the makegrads proc will only work with an estimated logl. Obviously, if you have analytic gradients in your logl specification, you can si...

- Mon Dec 01, 2008 12:49 am
- Forum: Estimation
- Topic: two-way panel model
- Replies:
**3** - Views:
**2178**

### Re: two-way panel model

It estimates using the mixed model. LSDV for the fixed effect, and GLS on the remainder (though I'm not certain what the "S" in your "SGLS" refers to).

- Mon Nov 24, 2008 4:33 pm
- Forum: Estimation
- Topic: ENGLE-GRANGER
- Replies:
**6** - Views:
**10878**

### Re: ENGLE-GRANGER

The standard reference for the Engle-Granger critical values is MacKinnon, James G., (1991) "Critical Values for Cointegration Tests", in Long-Run Economic Relationships, R.F. Engle and C.W.J. Granger (eds.), London, Oxford, pp 267-276. As to the Johansen test. To be honest, getting a desc...