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Might be easier to help if you could provide the data. Otherwise, this could end up going back and forth. Thanks. By the way, my initial impression is that you have too many parameters in your model. Think from a theoretical standpoint, if stock markets are unpredictable (random walk hypothesis), th...

Hi, Take a look at the program below. I think it's possible to do it if you use the makefilter command and set-up a loop. I demonstrate this below by forecasting an AR(1) model from both the equation and sspace objects. This is a simple example, but the general idea should hold. You can do variation...

Hi, I would help if you could please post a copy of the data. Alternatively, plot for us the following (1) data in levels (2) ACF and PACF of data in levels (3) data in first differences (4) ACF and PACF of data in first differences. In the meantime, below is a general response to some of your quest...

Hi, Try the following commands. smpl @first 2004 ls(arma=cls, optmethod=legacy) pce c pdi ar(1) The regression output shown below displays my results and they match those which appear in the book. ar1reg.png From my vague recollection of Box and Jenkins' textbook, my understanding is that "cls ...

Hi, Apologies for reviving an old thread, but please see below my replication of the EViews built-in HP filter function using the state-space object. It might still be of interest to some users. Cheers, Graeme You can download the program here: hpfilter_sspace_new.prg ' -----------------------------...

Hi, I would like to know more details about the method used in the add-in. The program file is encrypted and the documentation, while citing two papers, is not very clear and quite short. Could additional information please be provided; for example, in terms of extended technical documentation or, b...

Excellent! Thanks, Gareth.

Hi, Let me begin by saying that the printview option of model objects introduced in EViews 9.5 is an excellent new feature! The suggestion here comes out of my observation that scalar objects are not replaced by their numerical value when using the printview option. On the back of that observation, ...

I'll answer this myself since I think I figured it out; however, suggestions are welcome. By the way, the context of this is in programming Johansen's estimator. Here's my proposed solution. ' Solve eigenvalue problem vector evals = @eigenvalues(sym1) matrix evecs = @eigenvectors(sym1) ' Create &quo...

Hi, I am using the @eigenvalues() and @eigenvectors() functions and have a question regarding how their outputs are ordered. I am using EViews version 9.5. Quoting the EViews manpages for @eigenvectors, "The eigenvalues are arranged in ascending order, and the columns of the eigenvector matrix ...

Hi, Checking the stability of a model can be done directly (by checking the roots) or indirectly (via simulation). To my understanding, only the latter approach is currently available in EViews. The TROLL software, on the other hand, offers a command called LKROOTS, which checks the roots of a model...

trubador,

Ah, of course!

I kept thinking of the notation for the additive form - overlooking the multiplicative form.

Now I see it. Clear as day.

Thanks,
Graeme

Hi, I am trying to learn the EViews syntax for specifying state-space models. I'm following the Seasonal ARIMA(0,1,1)(0,1,1) (airline model) example from the EViews example programs. The relevant code is shown below. 'airline model transformation series y = dlog(x,1,12) 'setup ARMA(0,1)(0,1) in sspa...

No problem. Actually, you may want to check that the EViews code is SAR(1) or SAR(12). Maybe one of the EViews guys can confirm the correct one. Good luck!

Thanks for the quick feedback on this one, Glenn.