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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

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

You need EViews 7.1

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

Regards
Manfred.

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

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

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.

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.

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

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.

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?

Just not supported.

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

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

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)