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by EViews Glenn
Fri Apr 28, 2023 12:09 pm
Forum: General Information and Tips and Tricks
Topic: Bai and Perron Sequential test
Replies: 17
Views: 12100

Re: Bai and Perron Sequential test

Just noticed this discussion. As Gareth says, the coefficients are not computed as this would make the computation prohibitively slow. There is a large litererature on this topic. This may help clarify. https://onlinelibrary.wiley.com/doi/full/10.1002/jae.659 and Brown RL, Durbin J, Evans JM. 1975 T...
by EViews Glenn
Fri Apr 28, 2023 8:38 am
Forum: Bug Reports
Topic: transpose row vector
Replies: 2
Views: 4167

Re: transpose row vector

A fix will be in the next update.
by EViews Glenn
Wed Apr 26, 2023 9:10 am
Forum: Estimation
Topic: How to access numbers for bootstrap-based confidence bands after VAR, IRF
Replies: 3
Views: 11159

Re: How to access numbers for bootstrap-based confidence bands after VAR, IRF

What chart do you wish to create? The interleaving is chosen specifically to make it easier to create standard charts.
by EViews Glenn
Wed Apr 26, 2023 9:07 am
Forum: Estimation
Topic: Sspace: does estimation use one-step, filtered or smoothed states from the Kalman filter?
Replies: 2
Views: 3343

Re: Sspace: does estimation use one-step, filtered or smoothed states from the Kalman filter?

Likelihoods in state space models are all based on the prediction error decomposition, which uses the one-step ahead values as given in https://www.eviews.com/help/helpintro.html#page/content%2Fsspace-Background.html If you want to knock out signal information for a period, just recode the dependent...
by EViews Glenn
Tue Apr 25, 2023 9:43 am
Forum: Bug Reports
Topic: transpose row vector
Replies: 2
Views: 4167

Re: transpose row vector

Apologies. We were cleaning up inconsistent behavior of rowvectors and inadvertently created some issues with some of the older functions. I'll get it fixed. For now, you can use the newer "@t" data member of the rowvector to obtain the transpose, as in vector cvec = rvec.@t This is my pre...
by EViews Glenn
Thu Mar 16, 2023 10:18 am
Forum: Estimation
Topic: Error when estimating State Space
Replies: 1
Views: 2655

Re: Error when estimating State Space

@State inflation_expectations = inflation_expectations(-1) + [ENAME = E3, VAR = (C(5))/(C1))] has an incorrectly specified C(1) coefficient. I also get failure to improve with non-zero gradients using the default optimizer. What I was able to do was to use the EViews legacy estimator, which seems t...
by EViews Glenn
Tue Mar 14, 2023 12:14 pm
Forum: Estimation
Topic: Sspace data members: Kalman state covariance
Replies: 4
Views: 3919

Re: Sspace data members: Kalman state covariance

One last note which you probably already know, but I'll mention to help those playing along at home...

If you don't need the full covariances, the state space object views and procs allow you to view and get estimates and standard errors for the states and errors directly.
by EViews Glenn
Tue Mar 14, 2023 12:10 pm
Forum: Estimation
Topic: Sspace data members: Kalman state covariance
Replies: 4
Views: 3919

Re: Sspace data members: Kalman state covariance

I see the issue. Those terms, "state covariances" and "state error covariances" line up with what we describe in the documentation, where the states are the alpha and the state errors are the v. So as we indicate in the docs, what we term the state covariances are the P, and the ...
by EViews Glenn
Sun Mar 12, 2023 8:01 pm
Forum: Estimation
Topic: Sspace data members: Kalman state covariance
Replies: 4
Views: 3919

Re: Sspace data members: Kalman state covariance

Yes. Your understanding is correct. There are three sets of results, "pred" are the one-step ahead, "curr" are the contemporaneous filtered, and "sm" are the smoothed, as defined in the doc chapter and corresponding to the view and proc menús. So t|t-1, t|t, and t|T in ...
by EViews Glenn
Tue Dec 13, 2022 10:54 am
Forum: Bug Reports
Topic: @MakeDiagonal not working with row vectors in Eviews 13
Replies: 2
Views: 4162

Re: @MakeDiagonal not working with row vectors in Eviews 13

For now...

Code: Select all

WfCreate C:\temp\temp.wf1 u 1
Rowvector(4) rvX = 3
Matrix mX = @Makediagonal(@vec(rvX))

(added the @vec function) will work as it will convert the rowvector into a vector on the fly.
by EViews Glenn
Tue Dec 13, 2022 9:52 am
Forum: Estimation
Topic: Pre-whitening in FMOLS estimation
Replies: 2
Views: 1447

Re: Pre-whitening in FMOLS estimation

FMOLS estimation requires the computation of long-run covariance matrices as discussed in https://eviews.com/help/helpintro.html#page/content%2Fpancoint-Background.html Whitening is one of the methods used for computing these covariances, either as a stand-alone method (parametric VARHAC), or as par...
by EViews Glenn
Mon Dec 12, 2022 7:26 am
Forum: Estimation
Topic: Putting limits on estimated coefficient values
Replies: 41
Views: 83534

Re: Putting limits on estimated coefficient values

You are correct on the issue of differentiability of abs. I always use the exp function but you have to make sure starting values are appropriate. What are the values when you have issues? [edit:] I spent a little more time looking at this. I downloaded the workfile and ran the example at various st...
by EViews Glenn
Fri Dec 09, 2022 11:59 am
Forum: Estimation
Topic: weighting matrix SUR
Replies: 3
Views: 1437

Re: weighting matrix SUR

I now understand the issue you are seeing. In the unbalanced case, EViews divides by the max of the two counts, which as you correctly point out is equivalent to assuming that the "missing observation residuals" are equal to zero. This was a deliberate choice that downward biases the estim...
by EViews Glenn
Wed Dec 07, 2022 9:37 am
Forum: Estimation
Topic: weighting matrix SUR
Replies: 3
Views: 1437

Re: weighting matrix SUR

https://www.eviews.com/help/helpintro.html#page/content%2Fsystem-Technical_Discussion.html%23ww37465 [edit] My guess is that it is the d.f. correction. Also keep in mind that the residual covariance is computed assuming mean zero, so, for example, the diagonals are just the average of the squared re...
by EViews Glenn
Wed Nov 30, 2022 3:54 pm
Forum: Programming
Topic: singular covariance in Kalman filtering
Replies: 1
Views: 1187

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,...

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