## Robustreg

Moderators: EViews Gareth, EViews Moderator, EViews Esther

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

### Robustreg

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
Posts: 8
Joined: Mon Nov 22, 2010 6:41 pm

### Re: Robustreg

Hi

EViews Gareth
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### Robustreg

You need EViews 7.1

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

### Re: Robustreg

Regards
Manfred.

EViews Gareth
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### Re: Robustreg

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

### Re: Robustreg

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

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

### Re: Robustreg

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

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).

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

### Re: Robustreg

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

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.

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

### Re: Robustreg

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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Posts: 12375
Joined: Tue Sep 16, 2008 5:38 pm

### Re: Robustreg

Just not supported.

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

### Re: Robustreg

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

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

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)