Search found 1518 matches

by trubador
Mon Apr 11, 2016 4:56 am
Forum: Estimation
Topic: VECM With GARCH?
Replies: 4
Views: 6057

Re: VECM With GARCH?

I do not know the context or the research question here, but I think it would be safe to assume that GARCH errors have an impact on the short term dynamics.
by trubador
Mon Apr 11, 2016 3:10 am
Forum: Estimation
Topic: Threshold regression in Eviews 9.5
Replies: 3
Views: 4563

Re: Threshold regression in Eviews 9.5

Yes, of course you can fit a structural model. EViews will use whatever variable you enter as the threshold variable. If you believe or would like to test if "Z" is causing the regime switching then EViews will happily estimate the specification using the series Z as the threshold variable.
by trubador
Mon Apr 11, 2016 3:04 am
Forum: Estimation
Topic: VECM With GARCH?
Replies: 4
Views: 6057

Re: VECM With GARCH?

That would lead to "generated regressors problem". You may try to migrate your VECM into the system framework and use the ARCH estimation. In order to do that, you should first identify and fix the long-run (cointegration) relationship via VEC and estimate all the remaining coefficients (i...
by trubador
Mon Apr 11, 2016 2:46 am
Forum: Data Manipulation
Topic: Pulling in other Bloomberg Fields
Replies: 2
Views: 3879

Re: Pulling in other Bloomberg Fields

Code: Select all

fetch(index) "usgg2yr index open"
fetch(index) "usgg2yr index high"
fetch(index) "usgg2yr index low"
by trubador
Fri Apr 08, 2016 6:50 am
Forum: Bug Reports
Topic: Matrix inverse problem
Replies: 2
Views: 3536

Matrix inverse problem

I couldn't figure out why there is such a big difference in the results: importmat(name=xmat) C:\Users\...\Desktop\xmat.xlsx matrix ymat = xmat*@inverse(@inner(xmat))*@transpose(xmat) xopen(m) xput xmat xrun "zmat=xmat*inv(xmat'*xmat)*xmat';" xget zmat matrix difmat = ymat-zmat scalar difs...
by trubador
Thu Apr 07, 2016 7:19 am
Forum: Programming
Topic: DOLS - dynamic vs static forecasts
Replies: 6
Views: 6361

Re: DOLS - dynamic vs static forecasts

That is because you are estimating a DOLS model, which produces forecasts only for the long term relationship that does not take into account the short term dynamics.
by trubador
Thu Apr 07, 2016 5:22 am
Forum: Estimation
Topic: Multiple Models for Different Time Length (Model Switching)
Replies: 6
Views: 5990

Re: Multiple Models for Different Time Length (Model Switchi

So you have a mixture of short term and long term models at hand? I always find ARDL, VAR and VEC models very useful in both regards, so would stick to forecast averaging. Anyway, in your case, I think you can first compare (and improve if necessary) your models' ability to forecast with a cross-val...
by trubador
Thu Apr 07, 2016 3:15 am
Forum: Programming
Topic: DOLS - dynamic vs static forecasts
Replies: 6
Views: 6361

Re: DOLS - dynamic vs static forecasts

Use "fit" instead of forecast(s) to get static forecast. The latter is used in models containing ARMA terms and instructs EViews to ignore those terms and produce forecasts only for the structural part.
by trubador
Thu Apr 07, 2016 3:02 am
Forum: Estimation
Topic: Multiple Models for Different Time Length (Model Switching)
Replies: 6
Views: 5990

Re: Multiple Models for Different Time Length (Model Switchi

I am not a fan of "model switching" approach, but you need to write your own program in EViews if that's what you want. Why don't you try "Forecast Averaging" instead? http://www.eviews.com/help/helpintro.ht ... 24.html%23
by trubador
Wed Apr 06, 2016 10:02 am
Forum: Econometric Discussions
Topic: Historical decomposition interpretation
Replies: 5
Views: 10333

Re: Historical decomposition interpretation

Base forecast refers to dynamic forecasts of each endogenous variable generated from the VAR model. If you like, you can also use hdecomp add-in.
by trubador
Wed Apr 06, 2016 5:43 am
Forum: Econometric Discussions
Topic: Historical decomposition interpretation
Replies: 5
Views: 10333

Re: Historical decomposition interpretation

Actual change = Base forecast + Shock1 + Shock2 + Shock3 + ...

And you may want to display the cumulated effect of structural shocks.
by trubador
Wed Apr 06, 2016 4:43 am
Forum: Add-in Support
Topic: tscval
Replies: 13
Views: 28403

Re: tscval

A very nice and an extremely useful add-in. Thanks to you both...
by trubador
Wed Apr 06, 2016 4:40 am
Forum: Estimation
Topic: predictions
Replies: 8
Views: 5079

Re: predictions

You should have/generate out-of-sample values for each independent variable in your model (i.e. T and T46).
by trubador
Tue Apr 05, 2016 12:12 pm
Forum: Econometric Discussions
Topic: multicollinearity test in ardl model
Replies: 4
Views: 6421

Re: multicollinearity test in ardl model

Tough situation. I would not bother to convince him/her otherwise. At least read the discussion here for the sake of your understanding of the concept. You should expect significant amount of correlation among variables if you are dealing with non-stationary series. However, ARDL is a robust and a d...
by trubador
Tue Apr 05, 2016 11:58 am
Forum: Econometric Discussions
Topic: Negative resid(-1)^2 coefficient in Garch variance equation
Replies: 6
Views: 13917

Re: Negative resid(-1)^2 coefficient in Garch variance equat

Q-stats (and the related p-values) disagree with you. There are some significant lags indicating a possible serial correlation. As for the GARCH effect, you should look at the correlogram of squared residuals and then formally test for heteroscedasticity. It is hard to detect the source of the probl...

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