Search found 1518 matches
- 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.
- 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.
- 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...
- 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"
- 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...
- 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.
- 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...
- 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.
- 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
- 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.
- 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.
And you may want to display the cumulated effect of structural shocks.
- 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...
- 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).
- 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...
- 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...