Dynamic Model Averaging

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dakila
Posts: 260
Joined: Tue Nov 24, 2015 4:57 pm

Dynamic Model Averaging

Postby dakila » Tue Sep 06, 2016 2:51 pm

This thread is about the dma add-in that performs Dynamic Model Averaging (Koop and Korobilis 2012).

martinit
Posts: 3
Joined: Tue Aug 16, 2016 6:17 am

Re: Dynamic Model Averaging

Postby martinit » Mon Sep 25, 2017 9:23 am

Hi,

may I ask: in the example file is a command line of the code as such

dma(phlag="2 0", sample="1960q1 2008q2") gdpdefl 4 5 t_code @ unemp hstart employ tbill spread djia money infexp comprice vendor

I am confused about what the 4 5 digits mean. I tried estimating the model using the combo box but I keep getting an error msge: "3 is not a valid index for vector-series-coefficient tcode". I am estimating model with 2 exogenous variables

Thank you
Martin

dakila
Posts: 260
Joined: Tue Nov 24, 2015 4:57 pm

Re: Dynamic Model Averaging

Postby dakila » Mon Sep 25, 2017 3:41 pm

I am confused about what the 4 5 digits mean.

4 is forecast horizon. 5 is transformation code (log difference) for dependent variable.

I tried estimating the model using the combo box but I keep getting an error msge: "3 is not a valid index for vector-series-coefficient tcode". I am estimating model with 2 exogenous variables


the following code with 2 exogenous variables is working.

Code: Select all

dma(phlag="2 0", sample="1960q1 2008q2") gdpdefl 4 5 t_code @ unemp hstart


read the instruction pdf file.

martinit
Posts: 3
Joined: Tue Aug 16, 2016 6:17 am

Re: Dynamic Model Averaging

Postby martinit » Sat Sep 30, 2017 9:27 am

Dear dakila,

I made a mistake contructing the vector t_code for my own exercise. I did not know that the dependent variable is not to be included in the vector of transformations.

Thank you for this awesome add-in !


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