Search found 2673 matches
- Wed Jul 05, 2023 9:08 pm
- Forum: Estimation
- Topic: Errors specification in a state-space model.
- Replies: 1
- Views: 3231
Re: Errors specification in a state-space model.
That error restriction isn't possible.
- Fri Apr 28, 2023 12:09 pm
- Forum: General Information and Tips and Tricks
- Topic: Bai and Perron Sequential test
- Replies: 17
- Views: 12539
Re: Bai and Perron Sequential test
Just noticed this discussion. As Gareth says, the coefficients are not computed as this would make the computation prohibitively slow. There is a large litererature on this topic. This may help clarify. https://onlinelibrary.wiley.com/doi/full/10.1002/jae.659 and Brown RL, Durbin J, Evans JM. 1975 T...
- Fri Apr 28, 2023 8:38 am
- Forum: Bug Reports
- Topic: transpose row vector
- Replies: 2
- Views: 4532
Re: transpose row vector
A fix will be in the next update.
- Wed Apr 26, 2023 9:10 am
- Forum: Estimation
- Topic: How to access numbers for bootstrap-based confidence bands after VAR, IRF
- Replies: 3
- Views: 11292
Re: How to access numbers for bootstrap-based confidence bands after VAR, IRF
What chart do you wish to create? The interleaving is chosen specifically to make it easier to create standard charts.
- Wed Apr 26, 2023 9:07 am
- Forum: Estimation
- Topic: Sspace: does estimation use one-step, filtered or smoothed states from the Kalman filter?
- Replies: 2
- Views: 3510
Re: Sspace: does estimation use one-step, filtered or smoothed states from the Kalman filter?
Likelihoods in state space models are all based on the prediction error decomposition, which uses the one-step ahead values as given in https://www.eviews.com/help/helpintro.html#page/content%2Fsspace-Background.html If you want to knock out signal information for a period, just recode the dependent...
- Tue Apr 25, 2023 9:43 am
- Forum: Bug Reports
- Topic: transpose row vector
- Replies: 2
- Views: 4532
Re: transpose row vector
Apologies. We were cleaning up inconsistent behavior of rowvectors and inadvertently created some issues with some of the older functions. I'll get it fixed. For now, you can use the newer "@t" data member of the rowvector to obtain the transpose, as in vector cvec = rvec.@t This is my pre...
- Thu Mar 16, 2023 10:18 am
- Forum: Estimation
- Topic: Error when estimating State Space
- Replies: 1
- Views: 2707
Re: Error when estimating State Space
@State inflation_expectations = inflation_expectations(-1) + [ENAME = E3, VAR = (C(5))/(C1))] has an incorrectly specified C(1) coefficient. I also get failure to improve with non-zero gradients using the default optimizer. What I was able to do was to use the EViews legacy estimator, which seems t...
- Tue Mar 14, 2023 12:14 pm
- Forum: Estimation
- Topic: Sspace data members: Kalman state covariance
- Replies: 4
- Views: 4106
Re: Sspace data members: Kalman state covariance
One last note which you probably already know, but I'll mention to help those playing along at home...
If you don't need the full covariances, the state space object views and procs allow you to view and get estimates and standard errors for the states and errors directly.
If you don't need the full covariances, the state space object views and procs allow you to view and get estimates and standard errors for the states and errors directly.
- Tue Mar 14, 2023 12:10 pm
- Forum: Estimation
- Topic: Sspace data members: Kalman state covariance
- Replies: 4
- Views: 4106
Re: Sspace data members: Kalman state covariance
I see the issue. Those terms, "state covariances" and "state error covariances" line up with what we describe in the documentation, where the states are the alpha and the state errors are the v. So as we indicate in the docs, what we term the state covariances are the P, and the ...
- Sun Mar 12, 2023 8:01 pm
- Forum: Estimation
- Topic: Sspace data members: Kalman state covariance
- Replies: 4
- Views: 4106
Re: Sspace data members: Kalman state covariance
Yes. Your understanding is correct. There are three sets of results, "pred" are the one-step ahead, "curr" are the contemporaneous filtered, and "sm" are the smoothed, as defined in the doc chapter and corresponding to the view and proc menús. So t|t-1, t|t, and t|T in ...
- Tue Dec 13, 2022 10:54 am
- Forum: Bug Reports
- Topic: @MakeDiagonal not working with row vectors in Eviews 13
- Replies: 2
- Views: 4539
Re: @MakeDiagonal not working with row vectors in Eviews 13
For now...
(added the @vec function) will work as it will convert the rowvector into a vector on the fly.
Code: Select all
WfCreate C:\temp\temp.wf1 u 1
Rowvector(4) rvX = 3
Matrix mX = @Makediagonal(@vec(rvX))
(added the @vec function) will work as it will convert the rowvector into a vector on the fly.
- Tue Dec 13, 2022 9:52 am
- Forum: Estimation
- Topic: Pre-whitening in FMOLS estimation
- Replies: 2
- Views: 1498
Re: Pre-whitening in FMOLS estimation
FMOLS estimation requires the computation of long-run covariance matrices as discussed in https://eviews.com/help/helpintro.html#page/content%2Fpancoint-Background.html Whitening is one of the methods used for computing these covariances, either as a stand-alone method (parametric VARHAC), or as par...
- Mon Dec 12, 2022 7:26 am
- Forum: Estimation
- Topic: Putting limits on estimated coefficient values
- Replies: 41
- Views: 83997
Re: Putting limits on estimated coefficient values
You are correct on the issue of differentiability of abs. I always use the exp function but you have to make sure starting values are appropriate. What are the values when you have issues? [edit:] I spent a little more time looking at this. I downloaded the workfile and ran the example at various st...
- Fri Dec 09, 2022 11:59 am
- Forum: Estimation
- Topic: weighting matrix SUR
- Replies: 3
- Views: 1508
Re: weighting matrix SUR
I now understand the issue you are seeing. In the unbalanced case, EViews divides by the max of the two counts, which as you correctly point out is equivalent to assuming that the "missing observation residuals" are equal to zero. This was a deliberate choice that downward biases the estim...
- Wed Dec 07, 2022 9:37 am
- Forum: Estimation
- Topic: weighting matrix SUR
- Replies: 3
- Views: 1508
Re: weighting matrix SUR
https://www.eviews.com/help/helpintro.html#page/content%2Fsystem-Technical_Discussion.html%23ww37465 [edit] My guess is that it is the d.f. correction. Also keep in mind that the residual covariance is computed assuming mean zero, so, for example, the diagonals are just the average of the squared re...