EViews.com

The state of the art in macroeconometric analysis, especially as used in central banks, is the DSGE model "taken to the data" by the use of Bayesian estimation methods. Yet - despite the presence of state-space modelling and Kalman filter techniques - EViews seems to have no methods to es...

Tom Doan at Estima (WinRATS) has been doing an extraordinarily helpful job by posting on the WinRATS forum "own-rolled" (to use Gareth's term) code to replicate the results from a number of recent (and some not-so-recent, but classic) journal articles which have become "standards"...

At some point I'm going to try to cobble something together which uses the new EViews 7 COM interface to run MATLAB so that if you have the latter, you can use EViews to perform the estimation without leaving EViews. Thanks. That would be a help, although it still leaves those of us who teach these...

Would anyone have a code for the Clemente-Montanes-Reyes unit root test, which also alows for two structural breaks (it is implemented in Stata as "clemao" or "clemio", depending on form)?

Regards
Donihue

Which MATLAB FAVAR program do people use? You will find a suite of Matlab files to replicate the famous Bernanke et al QJE 2005 paper at Jean Boivin's site: http://neumann.hec.ca/pages/jean.boivin/ There is also a suite of Gauss files to replicate the Stock-Watson 2005 paper on FAVARs at Mark Watso...

Recently, a relatively new econometrics methodology that is Factor Augmented VAR analysis (FAVAR) has been developed and also extensively used in the empirical studies to produce a valuable information to the policymakers. ... Regards, CF Tang I fully agree with Mr. Tang that FAVAR is an important ...

The state of the art in macroeconometric analysis, especially as used in central banks, is the DSGE model "taken to the data" by the use of Bayesian estimation methods. Yet - despite the presence of state-space modelling and Kalman filter techniques - EViews seems to have no methods to est...

Following up on this very helpful exchange:
Would you have written a code for the Clemente-Montanes-Reyes unit root test, which also alows for two structural breaks (it is implemented in Stata as "clemao" or "clemio", depending on form)?
Many thanks
Regards
Donihue

Following up on this very helpful exchange:
Would either of you have written a code for the Clemente-Montanes-Reyes unit root test, which also alows for two structural breaks (it is implemented in Stata as "clemao" or "clemio", depending on form)?
Many thanks
Regards
Donihue

Thank you - so obvious!! A shame there is nothing for centred seasonals, though

QMS Glenn wrote:There are not, however, built-in impulse response tools in the system so you'll have to roll your own for that part.

Would you have any examples of an "own-rolled" code for the IRFs for a VAR estimated via the System command? They would be a very big help!

Regards
Donihue

In an earlier thread, it seemed to be suggested that the use of an equation format such as "p1 p2 e12 @expand(@seas)" where the dataset is quarterly would automatically generate four seasonal dummies. However, when I try that in EViews6 or 7beta, I get only one seasonal dummy, listed as &q...

Like Ashtongate (whose August post has gone unanswered) I need to obtain impulse responses from a system object (which in this case is a VAR plus identities). This can be done in RATS, but I do not see any obvious way to do it in EViews. Can anyone indicate whether (and if so, how) this can be done ...

Thanks! That does the job perfectly.
Regards
Donihue

My question is whether (and if so, how) one can change a parameter (an "@coef") in an estimated equation used in creating a model, so as to simulate, for example, a change in an (estimated) tax rate. Add factors do not work as they do not affect slopes, but only intercepts, so far as I can...