Search found 31 matches
- Thu Jan 12, 2012 10:26 am
- Forum: Programming
- Topic: Rolling regression with some missing entries
- Replies: 10
- Views: 10605
Re: Rolling regression with some missing entries
Dear Gareth, thanks for your reply. I think I find my problem. I need to make the rolling window for each firm stops by firm's last non-NA observation, and then carry on the repetition to the next firm. I defined the last non-NA observation by %end=@otod(@ilast(temp{!m})) in the loop. But in the fol...
- Thu Jan 12, 2012 9:53 am
- Forum: Programming
- Topic: Rolling regression with some missing entries
- Replies: 10
- Views: 10605
Re: Rolling regression with some missing entries
Dear Gareth, matrix(27, 249) xx '---------------------------------------------------------------- for !m=1 to exmret.@count %mname=exmret.@seriesname(!m) smpl @all series temp{!m}=@recode({%mname}<>na, @trend, na)+1 %start=@otod(@ifirst(temp{!m})) %end=@otod(@ilast(temp{!m})) '----------------------...
- Thu Jan 12, 2012 8:55 am
- Forum: Programming
- Topic: Rolling regression with some missing entries
- Replies: 10
- Views: 10605
Re: Rolling regression with some missing entries
Dear Gareth, Sorry for the confusion. My code seems have some problems: error as: insufficient number of observations to estimate equation. Because the ending and starting date of non-NA is different for each firm, so the round is also firm-dependent, so is the dimension of the matrix that holds the...
- Thu Jan 12, 2012 5:42 am
- Forum: Programming
- Topic: Rolling regression with some missing entries
- Replies: 10
- Views: 10605
Re: Rolling regression with some missing entries
Dear Gareth, thanks for you prompt reply. I have tried to program for one firm (firm 10873), whose begining 50 and last 40 observations are NAs. I use monthly data and rolling 1 year ahead every 3 years. '------------------------------------ !window=36 !step=12 !length=@obsrange !nrolls=@round((!len...
- Wed Jan 11, 2012 6:31 am
- Forum: Programming
- Topic: Rolling regression with some missing entries
- Replies: 10
- Views: 10605
Re: Rolling regression with some missing entries
Dear Gareth, I have a similar problem: I try to run the rolling regresssion on each firm data in a pool workfile (360 obs * 300 firms) For each firm: 36 window with 12 step for each firm using firm=c(1)+c(2)*mkt. And loop across all 300 firms. The problem is my pool data is not balanced. So most of ...
- Mon Nov 28, 2011 10:54 am
- Forum: Data Manipulation
- Topic: Continuous Observations - Panel Data
- Replies: 6
- Views: 5919
Re: Continuous Observations - Panel Data
Dear Gareth, you are absolutely brilliant! It works perfectly, thanks so much!
- Mon Nov 28, 2011 10:23 am
- Forum: Data Manipulation
- Topic: Continuous Observations - Panel Data
- Replies: 6
- Views: 5919
Re: Continuous Observations - Panel Data
Dear Gareth, I can re-structure them in a panel. So panel.
Again I really appreciate your time.
Again I really appreciate your time.
- Mon Nov 28, 2011 6:37 am
- Forum: Data Manipulation
- Topic: Continuous Observations - Panel Data
- Replies: 6
- Views: 5919
Re: Continuous Observations - Panel Data
Dear Gareth,
I have a similar problem, I also have an unbalanced pool containing 800 firms. I need to extract the firms having obs more than 60 and put them in a new workfile. I am stuck in the programing, will you please help me out?
Thanks so much.
Amber
I have a similar problem, I also have an unbalanced pool containing 800 firms. I need to extract the firms having obs more than 60 and put them in a new workfile. I am stuck in the programing, will you please help me out?
Thanks so much.
Amber
- Fri Nov 25, 2011 11:12 am
- Forum: Data Manipulation
- Topic: panel data extract
- Replies: 7
- Views: 5201
Re: panel data extract
All in the same workfile. Does the unstack work in this senario?
- Fri Nov 25, 2011 8:53 am
- Forum: Data Manipulation
- Topic: panel data extract
- Replies: 7
- Views: 5201
Re: panel data extract
Extract the independent time series for each firm into a new workfile. Thanks!
- Fri Nov 25, 2011 6:54 am
- Forum: Data Manipulation
- Topic: panel data extract
- Replies: 7
- Views: 5201
Re: panel data extract
Dear Eviews expert,
I have a similar query: I have an unbalanced panel data set (with cross sectional id and time/date), and I intend to extract the time series for each firm, could you please give me guidance on this?
I really appreciate!
Best regards,
Amber
I have a similar query: I have an unbalanced panel data set (with cross sectional id and time/date), and I intend to extract the time series for each firm, could you please give me guidance on this?
I really appreciate!
Best regards,
Amber
- Tue Oct 11, 2011 8:14 am
- Forum: Programming
- Topic: How to conduct stepwise rolling regression in Eviews?
- Replies: 1
- Views: 3038
- Fri Sep 30, 2011 8:55 am
- Forum: Programming
- Topic: How to compute p-value with Empirical Distribution
- Replies: 6
- Views: 7947
Re: How to compute p-value with Empirical Distribution
Dear Gareth, 1. I ran regression y=c+beta*x, and get the c as empirical_c. 2. I bootstrapped 1000 times on residuals from step 1, to get 1000 bootstrapped c. And also get the bootstrap distribution for boot_c. 3. I want to get the p-value/percentile of empirical c in boot_c distribution. And this is...
- Fri Sep 30, 2011 7:02 am
- Forum: Programming
- Topic: How to compute p-value with Empirical Distribution
- Replies: 6
- Views: 7947
Re: How to compute p-value with Empirical Distribution
Dear Gareth, I have run the bootstrap for constant term of the regression for 1000 times, and get the distribution for constant term. Now I want to get the p-value for the empirically regressed constant term (for instance 1.9) on the bootstrapped constant distribution, how can I code it? I have trie...
- Fri Sep 30, 2011 6:03 am
- Forum: Programming
- Topic: How to compute p-value with Empirical Distribution
- Replies: 6
- Views: 7947
Re: How to compute p-value with Empirical Distribution
Dear Gareth, I also have the same problem as Tang. But in my case, it is just simply calculate a given dot's p-value of the empirical distribution. Is the p-value for the given dot (suppose it is 2) also the percentile in the empirical distribution? Or different? It so, would you please kindly teach...