Search found 2673 matches
- Wed Nov 30, 2022 3:54 pm
- Forum: Programming
- Topic: singular covariance in Kalman filtering
- Replies: 1
- Views: 1312
Re: singular covariance in Kalman filtering
It is the covariance of the coefficients. It is a little difficult to diagnose without looking at the full specification and data and thinking a lot more than I am doing at present, though I think you are right about overidentification. I will note that in the second (non-singular) parameterization,...
- Mon Nov 07, 2022 2:51 pm
- Forum: Estimation
- Topic: Multiple break tests
- Replies: 4
- Views: 3213
Re: Multiple break tests
Oh, I just realized that I should add that "supF" doesn't quite describe the test as Bai-Perron use SupF as part of two different test procedures: . The supF we are discussing above is the supF for m vs. 0. . There is a second supF for sequential l+1 vs. l. Note that there are different cr...
- Mon Nov 07, 2022 12:08 pm
- Forum: Estimation
- Topic: Multiple break tests
- Replies: 4
- Views: 3213
Re: Multiple break tests
Yes, it is the supF statistic. Mostly yes to the second. I actually went and looked at my notes and the code more carefully and need to update my answer somewhat. . First, the results are based on the unpublished tabular results from Bai-Perron 2003 (dated Feb. 2003) which, I am pretty certain were ...
- Sat Nov 05, 2022 9:47 am
- Forum: Estimation
- Topic: Multiple break tests
- Replies: 4
- Views: 3213
Re: Multiple break tests
Yes.
We use the value for 10 as that is the best available. So they are really just illustrative at that point. We considered using the Bai-Perron 2003 response surface regressions but there are issues with implementing those as well.
We use the value for 10 as that is the best available. So they are really just illustrative at that point. We considered using the Bai-Perron 2003 response surface regressions but there are issues with implementing those as well.
- Fri Oct 21, 2022 12:35 pm
- Forum: Estimation
- Topic: Obtaining weights with Principal component analysis
- Replies: 8
- Views: 17766
Re: Obtaining weights with Principal component analysis
viewtopic.php?f=4&t=19470&p=62455&hilit=principal+components#p62496
Note also for those reading this entire discussion, EViews now offers a variety of data-based methods of selecting the number of components.
Note also for those reading this entire discussion, EViews now offers a variety of data-based methods of selecting the number of components.
- Mon Oct 17, 2022 9:38 am
- Forum: Econometric Discussions
- Topic: Panel GMM, system estimation and White's diagonal matrix
- Replies: 2
- Views: 3816
Re: Panel GMM, system estimation and White's diagonal matrix
Hi T, The White diagonal in GMM panel is generally employed when we assume no correlation between residuals across equations, and no correlation between residuals across observations (even within cross-sections). It is a very strong assumption, but doesn't require independence. So under these assump...
- Thu Sep 29, 2022 10:02 am
- Forum: Programming
- Topic: Autoarma run ok in EV12 not in EV13
- Replies: 3
- Views: 2050
Re: Autoarma run ok in EV12 not in EV13
We were able to verify from another workfile. Fix has been applied and patch has been released. Thanks.
- Tue Sep 27, 2022 12:32 pm
- Forum: Estimation
- Topic: Historical Decomposition Output
- Replies: 3
- Views: 3084
Re: Historical Decomposition Output
The output fields are present in EViews 10
- Tue Sep 27, 2022 9:17 am
- Forum: Programming
- Topic: Autoarma run ok in EV12 not in EV13
- Replies: 3
- Views: 2050
Re: Autoarma run ok in EV12 not in EV13
Could you post your workfile.
- Tue Sep 27, 2022 9:14 am
- Forum: Programming
- Topic: Automatic arima forecasting in a program
- Replies: 14
- Views: 13176
Re: Automatic arima forecasting in a program
They didn't show up. Could you try to include again? Or send to support@eviews.com
- Mon Sep 26, 2022 2:32 pm
- Forum: Estimation
- Topic: What is the meaning of total stochastic in historical decomposition?
- Replies: 2
- Views: 4482
Re: What is the meaning of total stochastic in historical decomposition?
Sorry. Never saw this one until now. One can look at the summed effect of all of the shocks on the variable in question, which can be decomposed into shocks from each source. The former is the total effect of all of the stochastic components, which can be compared to the effect from the specified st...
- Mon Sep 26, 2022 1:33 pm
- Forum: Programming
- Topic: Automatic arima forecasting in a program
- Replies: 14
- Views: 13176
Re: Automatic arima forecasting in a program
I'd like to run, if possible. I can't replicate for a test workfile with the forclen properly set to be after the estimation sample end.
Absent that, if you can tell me the estimation sample and the workfile sample and the forecast length.
Absent that, if you can tell me the estimation sample and the workfile sample and the forecast length.
- Mon Sep 26, 2022 9:11 am
- Forum: Programming
- Topic: Automatic arima forecasting in a program
- Replies: 14
- Views: 13176
Re: Automatic arima forecasting in a program
Is there any chance you can post the workfile at the point where you try to run this and get the error?
- Mon Sep 26, 2022 6:36 am
- Forum: Programming
- Topic: Automatic arima forecasting in a program
- Replies: 14
- Views: 13176
Re: Automatic arima forecasting in a program
Sorry for the inconvenience. We will take a look.
- Thu Aug 18, 2022 8:50 am
- Forum: Suggestions and Requests
- Topic: Add VAR exogenous variable shock feature
- Replies: 1
- Views: 4062
Re: Add VAR exogenous variable shock feature
Thanks for the suggestion. This is a matter of interface only since you can easily use the user-defined shocks in impulse responses to simulate an exogenous variable shock. What exactly would you want to be able to do? How much control over the shocks do you want?