Search found 35 matches
- Thu Aug 09, 2012 7:27 am
- Forum: Estimation
- Topic: Determinant residual covariance
- Replies: 6
- Views: 7201
Re: Determinant residual covariance
I thought that the determinant of the residual covariance was -- up to a scale -- the same as the likelihood. So if you estimate a system of eqns which gives a DRC of 10e-05 and another system that gives a value of 0.1, you can be certain that the first system is a relatively better fit to the data....
- Wed Aug 08, 2012 3:50 am
- Forum: Estimation
- Topic: Stability tests under system estimation
- Replies: 2
- Views: 4548
Stability tests under system estimation
I've been using various non-linear system estimation estimators in eviews, but the estimation output doesn't appear to support parameter stability diagnostics. Am i right in that? If so, is there anything i can do to somehow look at parameter stability under non-linear systems estimation. Thanks.
- Tue Feb 14, 2012 7:39 am
- Forum: Estimation
- Topic: parameter change from c(1) ...
- Replies: 2
- Views: 2163
parameter change from c(1) ...
Hi
can i instead of using C(1), etc in estimation use more friendly parameters beta etc.
Thanks.
can i instead of using C(1), etc in estimation use more friendly parameters beta etc.
Thanks.
- Fri Jan 20, 2012 8:00 am
- Forum: Estimation
- Topic: System of equation using panel data and gmm
- Replies: 5
- Views: 4530
Re: System of equation using panel data and gmm
Thanks for your reply. This highlightes that discriminating between different system estimators in eviews appears tricky: FIML produces a loglik, but NLSUR doesn't. GMM produces a J-stat, but 3sls doesn't. Which statistical criterion/criteria would you then recommend to disriminate between estimatin...
- Fri Jan 20, 2012 7:44 am
- Forum: Estimation
- Topic: System of equation using panel data and gmm
- Replies: 5
- Views: 4530
Re: System of equation using panel data and gmm
Hi
can you tell me why in Eviews the 3sls system estimator doesn't return a J-statistic relating to the Instruments; the GMM system estimator does this.
Thanks
can you tell me why in Eviews the 3sls system estimator doesn't return a J-statistic relating to the Instruments; the GMM system estimator does this.
Thanks