Mishkin Test

For questions about EViews Add-ins available from the EViews Add-ins webpage. Note each add-in available on our webpage will have its own individual thread.

Moderators: EViews Gareth, EViews Moderator, EViews Esther

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

Mishkin Test

Postby EViews Esther » Fri Feb 25, 2011 11:24 am

This thread is about the Mishkin add-in that provides a framework to examine whether the market rationally prices future returns by using the test developed in Mishkin (1983).

The Mishkin Test is a nonlinear maximum likelihood estimation procedure that jointly estimates a linear forecasting equation and a model of market equilibrium pricing.
The add-in will report the LR, Wald, LM test statistics along with the corresponding P-values.

abbas
Posts: 6
Joined: Mon Jan 31, 2011 12:59 am

Re: Mishkin Test

Postby abbas » Wed May 11, 2011 11:44 pm

Dears,

Unfortunately, this thread leads to "near singular matrix" with any data. I think you should not restrict the constant to be the same in the two equations.

Thank you

Abbas Aflatooni

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11260
Joined: Tue Sep 16, 2008 5:38 pm

Re: Mishkin Test

Postby EViews Gareth » Thu May 12, 2011 8:07 am

Seems to work for me with the following generated data:

Code: Select all

create u 100
series earnings = nrnd
series returns = nrnd
series acc = nrnd

Then do a test with earnings earnings(-1) returns(-1) and using returns as the return variable, it seems to work.

I didn't notice a slight bug in the command line version of the add-in though, so I've just fixed that and uploaded it. It will only affect the command line version though.
Follow us on Twitter @IHSEViews

nozkan23
Posts: 11
Joined: Thu Jan 03, 2013 5:32 am

Re: Mishkin Test

Postby nozkan23 » Mon Jan 07, 2013 4:12 pm

I use Eviews 7. I have already downloaded mishkin add-in. The add-in reports the LR, Wald, LM test statistics along with the corresponding P-values. On the other hand, it doesn't show the estimated coefficients (α1*, b1*, and b2*). In order to get those coefficients what should I do? Do you have Mishkin test code that I can apply and get those coeefficients?
Thank you in advance.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11260
Joined: Tue Sep 16, 2008 5:38 pm

Re: Mishkin Test

Postby EViews Gareth » Mon Jan 07, 2013 4:18 pm

All Add-ins are just EViews programs. You can look at the code by opening the program. By default they are located in your My Documents folder under EViews Add-ins.
Follow us on Twitter @IHSEViews

nozkan23
Posts: 11
Joined: Thu Jan 03, 2013 5:32 am

Re: Mishkin Test

Postby nozkan23 » Tue Jan 08, 2013 1:02 pm

Could tell me that how can I find the estimated coefficients (α1*, b1*, and b2*) after using Mishkin add-in. Because the add-in only report the LR, Wald, LM test statistics. Thank you..

nozkan23
Posts: 11
Joined: Thu Jan 03, 2013 5:32 am

Re: Mishkin Test

Postby nozkan23 » Tue Jan 29, 2013 12:23 pm

nozkan23 wrote:Could tell me that how can I find the estimated coefficients (α1*, b1*, and b2*) after using Mishkin add-in. Because the add-in only report the LR, Wald, LM test statistics. Thank you..

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11260
Joined: Tue Sep 16, 2008 5:38 pm

Re: Mishkin Test

Postby EViews Gareth » Tue Jan 29, 2013 12:24 pm

All Add-ins are just EViews programs. You can look at the code by opening the program. By default they are located in your My Documents folder under EViews Add-ins.
Follow us on Twitter @IHSEViews

nozkan23
Posts: 11
Joined: Thu Jan 03, 2013 5:32 am

Re: Mishkin Test

Postby nozkan23 » Tue Jan 29, 2013 1:44 pm

My question is how to get estimated coefficients. Coz Mishkin add-in only reports LR, LM and Wald test results. It does not show me the coefficients. thanks..

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11260
Joined: Tue Sep 16, 2008 5:38 pm

Re: Mishkin Test

Postby EViews Gareth » Tue Jan 29, 2013 1:59 pm

Correct, the add-in does not do that.
Follow us on Twitter @IHSEViews

nozkan23
Posts: 11
Joined: Thu Jan 03, 2013 5:32 am

Re: Mishkin Test

Postby nozkan23 » Tue Jan 29, 2013 11:31 pm

To get those estimated coefficients what should I do? Because I have to report them in my study. Could you show me the way to get those estimated coefficients, please? Thanks.

nozkan23
Posts: 11
Joined: Thu Jan 03, 2013 5:32 am

Re: Mishkin Test

Postby nozkan23 » Wed Jan 30, 2013 4:08 pm

nozkan23 wrote:To get those estimated coefficients what should I do? Because I have to report them in my study. Could you show me the way to get those estimated coefficients, please? Thanks.

nozkan23
Posts: 11
Joined: Thu Jan 03, 2013 5:32 am

Re: Mishkin Test

Postby nozkan23 » Thu Jan 31, 2013 5:57 am

If there is no solutions for this problem, please let me know. It is a matter of life and death. Thanks..

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11260
Joined: Tue Sep 16, 2008 5:38 pm

Re: Mishkin Test

Postby EViews Gareth » Thu Jan 31, 2013 7:29 am

The only solution is to re-program the add-in yourself.
Follow us on Twitter @IHSEViews

nozkan23
Posts: 11
Joined: Thu Jan 03, 2013 5:32 am

Re: Mishkin Test

Postby nozkan23 » Thu Jan 31, 2013 1:00 pm

I am not familiar with the programming. Can anyone help me to deal with this case.


Return to “Add-in Support”

Who is online

Users browsing this forum: No registered users and 1 guest