Search found 23 matches
- Tue Mar 03, 2009 5:32 pm
- Forum: Programming
- Topic: Automatic lag length selection - Panel Unit Roots
- Replies: 5
- Views: 13811
Re: Automatic lag length selection - Panel Unit Roots
Finally, the answer! I was running the unit root test over the same series, and with this, the AIC obtained with lag 0 was -2.855214. However, this unit root used 11 obs, while with the lag 1 we have only 10 obs. Now, if I restrict the first unit root to use only 10 obs I get the same result as you,...
- Tue Mar 03, 2009 3:18 pm
- Forum: Programming
- Topic: Dickey-Fuller p-value
- Replies: 4
- Views: 9477
Re: Dickey-Fuller p-value
Ok! Thanks.
- Tue Mar 03, 2009 3:16 pm
- Forum: Programming
- Topic: Automatic lag length selection - Panel Unit Roots
- Replies: 5
- Views: 13811
Re: Automatic lag length selection - Panel Unit Roots
Yes, I used a common sample. Actually, I have just found that this problem(*) also happens with unit root tests on time series. If you would like to replicate the problem here goes: (*) I'm not sure if it is really a problem, yet. -Given the two series: y1t: -0.02889473846674593 -0.00656501803350378...
- Tue Mar 03, 2009 2:36 pm
- Forum: Programming
- Topic: Automatic lag length selection - Panel Unit Roots
- Replies: 5
- Views: 13811
Automatic lag length selection - Panel Unit Roots
Hi! Is the information criteria used in Panel Unit Root Tests (like the Fisher ADF) to select the lag length calculated by the formulas given in the Eviews help file? E.g.: In the help I found the following Akaike definition: AIC = -2*(l/T) + 2*(k/T) where l is the value of the log of the likelihood...
- Tue Mar 03, 2009 11:31 am
- Forum: Programming
- Topic: Dickey-Fuller p-value
- Replies: 4
- Views: 9477
Dickey-Fuller p-value
Hello there! I would like to know if is there any statistical distribution function that returns the p-value for the ADF t-stat. Something like the @tdist() function, but with the ADF distribution. I read in the help that Eviews uses MacKinnon (1991, 1996) critical value calculations. How can I acce...
- Tue Mar 03, 2009 11:14 am
- Forum: Programming
- Topic: Panel data export
- Replies: 6
- Views: 7170
Re: Panel data export
If I correctly understand what you want I would do something like this: Let's say you have a table with each row representing an equation that you would like to estimate, and each column representing a variable. The first, obviously, is the dependent variable. Name this table as "specifications...
- Fri Feb 06, 2009 1:07 pm
- Forum: Programming
- Topic: correct string form for running regression
- Replies: 3
- Views: 4832
Re: correct string form for running regression
What happens if you try this:
%hour = "1"
%estimate = {"est_"+%hour}
myequation.ls {%estimate}
%hour = "1"
%estimate = {"est_"+%hour}
myequation.ls {%estimate}
- Fri Feb 06, 2009 5:32 am
- Forum: Programming
- Topic: Panel data export
- Replies: 6
- Views: 7170
Re: Panel data export
Alternatively, you can do it without the new function: 1 - Fit the equation to a temporary series: eq01.fit(u,f=na) tmp_series 2 – Lets say your equation is specified as: y=c(1)+c(2)*x1+c(3)*x2. Then you can generate a series with the fixed effects with: genr fix_effects=tmp_series-(eq01.@coefs(1)+e...