Robustreg

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EViews Esther
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Robustreg

Postby EViews Esther » Thu Oct 07, 2010 2:58 pm

This thread is about the Robustreg add-in that perform robust regression computation by using the method of iteratively re-weighted least squares.

[Document typo] Page 1: replace n+p-1 with n-p-1
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Panny13
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Joined: Mon Nov 22, 2010 6:41 pm

Re: Robustreg

Postby Panny13 » Mon Nov 22, 2010 6:58 pm

Hi

I am trying to download the Robustreg Add-In but I can only download it in ".aipz" format which cannot be identified. Can you please give me some guidance?

Thank you in advance

EViews Gareth
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Robustreg

Postby EViews Gareth » Mon Nov 22, 2010 8:29 pm

You need EViews 7.1
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esquivelmm
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Joined: Thu Jul 21, 2011 3:07 pm

Re: Robustreg

Postby esquivelmm » Thu Jul 21, 2011 3:14 pm

Hi. I downloaded and instaled the robustreg add-in. Where do I find documentation about how to use it?

Regards
Manfred.

EViews Gareth
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Re: Robustreg

Postby EViews Gareth » Thu Jul 21, 2011 3:15 pm

From the Add-ins Menu, click on Manage Add-ins. Select the add-in you're interested in, then hit the "docs" button.
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esquivelmm
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Re: Robustreg

Postby esquivelmm » Thu Jul 21, 2011 3:33 pm

Found it! I'm on it by now. Thanks!

esquivelmm
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Joined: Thu Jul 21, 2011 3:07 pm

Re: Robustreg

Postby esquivelmm » Fri Jul 22, 2011 2:53 pm

Hello, I am now running test regressions with the robustreg add-in. Single equation of this form y c x x(-1), that is y is my dependent, there is a constant and the explanatory variables are X and the first lag of X. I am using the default weight function (bisquare). When I run the add-in I get this message: "_SE01 is not found". What does this mean? I got some output but I am afraid the iterative processes might have stopped after the first iteration.

EViews Esther
EViews Developer
Posts: 149
Joined: Fri Sep 03, 2010 7:57 am

Re: Robustreg

Postby EViews Esther » Fri Jul 22, 2011 4:51 pm

To make a long story short, I would say that the current version of Robustreg addin cannot work with series with NA values (please note that the first element of "x(-1)" is NA).
This problem can be easily adjusted. Please reintall the Robustreg addin. Thank you.

ROSSINL
Posts: 25
Joined: Sun Jul 11, 2010 10:43 pm

Re: Robustreg

Postby ROSSINL » Fri Aug 12, 2011 5:55 am

Hi,

Using the @expand function for including dummy variables does not work with this add-on.
The available space for specifying an equation is also too limited for me. Is there a way to solve these issues?

Thanks

EViews Gareth
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Re: Robustreg

Postby EViews Gareth » Fri Aug 12, 2011 8:00 am

There probably isn't any limit on the size of the expression you can use if you use the command line version, rather than the dialog.
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ROSSINL
Posts: 25
Joined: Sun Jul 11, 2010 10:43 pm

Re: Robustreg

Postby ROSSINL » Fri Aug 12, 2011 9:59 am

Thank you for the suggestion, in the command line it works.
However, the @expand function still does not work, I get the error "RSV is not defined". Bug in the program or currently not supported?

EViews Gareth
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Re: Robustreg

Postby EViews Gareth » Fri Aug 12, 2011 10:20 am

Just not supported.
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esquivelmm
Posts: 9
Joined: Thu Jul 21, 2011 3:07 pm

Re: Robustreg

Postby esquivelmm » Wed Aug 31, 2011 3:39 pm

Hi, I am running the add-in but if I try to include several lags of an explanatory variable by using the standard command line x(-1 to -2) then I receive the message: "RSV is not identified". When I include the same lags of the explanatory but listed separately x(-1) x(-2) then it works fine.
I need to run a large number of different specifications (basically changing the lag structure) of several equatons, so it will really help if the add-in can manage the usual x(-1 to -j) list of explanatory variables

EViews Esther
EViews Developer
Posts: 149
Joined: Fri Sep 03, 2010 7:57 am

Re: Robustreg

Postby EViews Esther » Fri Sep 02, 2011 8:27 am

As you mentioned, the list of variables should be specified separately: e.g. x(-1) x(-2).

esquivelmm
Posts: 9
Joined: Thu Jul 21, 2011 3:07 pm

Re: Robustreg

Postby esquivelmm » Fri Sep 09, 2011 11:25 am

Hello, now I'm receiving the message “_SE01 is not defined” in some of my regressions. I cannot figure it out why since I am running regressions with the same data but aggregated differently. I have 1, 5, 10 and 15 minutes versions of the same data and I’ve got the problem in the 1 and 5 minutes versions. My regressions include up to 5 lags of the explanatory variables which initially was a problem that was solved (see my first post on this add-in)


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