Search found 43 matches
- Tue May 21, 2019 3:31 pm
- Forum: Econometric Discussions
- Topic: GARCH MODEL with multiple explanatory variables
- Replies: 1
- Views: 3440
GARCH MODEL with multiple explanatory variables
Dear all I am trying to run a GARCH model with more than one explanatory variables but I am facing a lot of problems and doubts. First, i would like to know how can we properly decide the ARCH and GARCH values to use in the model specification. I have run a GARCH(1,1) and looked to the Variance Equa...
- Tue May 21, 2019 11:13 am
- Forum: Estimation
- Topic: Dummy variable for summer
- Replies: 2
- Views: 2753
Re: Dummy variable for summer
EViews Gareth wrote:Code: Select all
@holiday("Jun21 Sep20")>0
Thank you very much, Eviews Gareth
Yours sincerely,
Afonso Rodrigues
- Tue May 21, 2019 11:01 am
- Forum: Estimation
- Topic: Dummy variable for summer
- Replies: 2
- Views: 2753
Dummy variable for summer
Dear all I would like to know how can we include a dummy for all the summer months at once, since I can only do it for each year separately. For that I have used the following command: summer=@date>@dateval("21/06/2009") and @date<@dateval("20/09/2009") With that I can have a dum...
- Wed May 15, 2019 10:01 am
- Forum: Econometric Discussions
- Topic: Data with outliers
- Replies: 3
- Views: 3529
Re: Data with outliers
Log is a monotonic transformation. Assuming that your values are all positive, it should make no difference whether you change the sample before or after taking logs. startz, i thought that too, but I have removed the outliers using the @bounds command, and when I transformed my variables into logs...
- Wed May 15, 2019 9:44 am
- Forum: Econometric Discussions
- Topic: Data with outliers
- Replies: 3
- Views: 3529
Data with outliers
Dear all I have a daily dataset from 2009 to 2018, and all my variables have outliers. I want to use the "Inter Quartile Range" to identify the outliers, and then use the @bounds command to remove them. My question is: I have to transform my variables into logs, so should I remove the outl...
- Thu Apr 11, 2019 6:49 am
- Forum: Econometric Discussions
- Topic: Residual Diagnostics on a GARCH model
- Replies: 0
- Views: 2526
Residual Diagnostics on a GARCH model
Dear all, I'm conducting a study to check the impact on the wholesale electricity prices caused by the penetration of the renewable energies in the Portuguese electric system. I have hourly data from 2009 to 2018. My dependent variable is the electricity prices and my explanatory variables are the e...
- Thu Feb 28, 2019 8:31 am
- Forum: Data Manipulation
- Topic: Removing outliers with IQR?
- Replies: 2
- Views: 3199
Re: Removing outliers with IQR?
[UPDATE2]
So, I think I figured it out. i used the following code for my first variable and I think it has done what I wanted:
So, I think I figured it out. i used the following code for my first variable and I think it has done what I wanted:
Code: Select all
series lep = @recode(l_elec_price>3.1310155 and l_elec_price<4.6186515,l_elec_price,na)
- Thu Feb 28, 2019 8:11 am
- Forum: Data Manipulation
- Topic: Removing outliers with IQR?
- Replies: 2
- Views: 3199
Re: Removing outliers with IQR?
[UPDATE] So, I am still trying to understand what codes can I use to remove the outliers from all my variables. Searching through this forum I found this topic where I think he uses the respective code to remove the top 5% from both ends. Can someone help me to write a similar code but, instead of r...
- Wed Feb 27, 2019 10:43 am
- Forum: Data Manipulation
- Topic: Removing outliers with IQR?
- Replies: 2
- Views: 3199
Removing outliers with IQR?
Dear all, I have an hourly data-set covering a ten year period and I am facing a problem with outliers, witch my series contains in a high number. I know that this can be dealt with by using the Inter Quantile Range. Thus, I've calculated the IQR as well as the Lower and Upper Bound by using the fol...
- Tue Feb 26, 2019 10:30 am
- Forum: Estimation
- Topic: Dummy variables for each holiday day?
- Replies: 2
- Views: 3293
Re: Dummy variables for each holiday day?
Hello, I can recommend some commands for creating the dummies. For the annual holidays, series holiday1 = @holiday("jan1") > 0 For the one-time holidays, series holiday2 = @event("2016mar25") > 0 For the annual holidays with a gap, series holiday3 = @holiday("oct5") an...
- Tue Feb 26, 2019 9:59 am
- Forum: Estimation
- Topic: Dummy variables for each holiday day?
- Replies: 2
- Views: 3293
Dummy variables for each holiday day?
Dear all, I have an hourly data-set from 01-Jan-2009 to 31-12-2018 (10 years) for Portugal. I need to create a dummy for each holiday day. Do I have to create a dummy for each day, or is there any simpler way to do that? In the below image you can see every holiday days that were in Portugal from 20...
- Tue Feb 26, 2019 9:07 am
- Forum: Data Manipulation
- Topic: Drop week days?
- Replies: 2
- Views: 3355
Re: Drop week days?
After some navigation through Eviews buttons I figured out how to do it. If anyone is interested you just need to click "proc" - "Structure/Resize Current Page...". Then you just need to change the days to 1 till 5, and Eviews will automatically delete all observations of Saturda...
- Tue Feb 26, 2019 8:20 am
- Forum: Data Manipulation
- Topic: Drop week days?
- Replies: 2
- Views: 3355
Drop week days?
Dear all, I am working on an hourly data-set from 01-Jan-2009 until 31-12-2018. Initially i was working with all 7 days of the week, but now I wanted to see the results when only using the 5 week days (i.e. droping Saturday and Sunday). So, my question is if there is any way of doing that with an Ev...
- Wed Jan 30, 2019 3:46 am
- Forum: Econometric Discussions
- Topic: Regression model with hourly data?
- Replies: 0
- Views: 2233
Regression model with hourly data?
Dear all I am a master students in Economics at Universidade da Beira Interior - Covilhã, Portugal , and I am (trying) to perform an econometric research paper for my master thesis. All this to say that I am new at econometrics and Eviews, so I will probably ask some basic or even dumb questions. If...
- Tue Jan 29, 2019 8:52 am
- Forum: Econometric Discussions
- Topic: Unit Root Tests with structural breaks
- Replies: 2
- Views: 6549
Unit Root Tests with structural breaks
Dear all I have learned that due to the characteristics of some variables and the frequency of some data (for example, monthly) the system is subject to shocks. Thus, the traditional unit root tests (ADF, PP and KPSS) may show inappropriate results, due to the existence of structural breaks in the t...