Page **1** of **2**

### Mishkin Test

Posted: **Fri Feb 25, 2011 11:24 am**

by **EViews Esther**

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.

### Re: Mishkin Test

Posted: **Wed May 11, 2011 11:44 pm**

by **abbas**

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

### Re: Mishkin Test

Posted: **Thu May 12, 2011 8:07 am**

by **EViews Gareth**

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.

### Re: Mishkin Test

Posted: **Mon Jan 07, 2013 4:12 pm**

by **nozkan23**

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.

### Re: Mishkin Test

Posted: **Mon Jan 07, 2013 4:18 pm**

by **EViews Gareth**

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.

### Re: Mishkin Test

Posted: **Tue Jan 08, 2013 1:02 pm**

by **nozkan23**

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..

### Re: Mishkin Test

Posted: **Tue Jan 29, 2013 12:23 pm**

by **nozkan23**

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..

### Re: Mishkin Test

Posted: **Tue Jan 29, 2013 12:24 pm**

by **EViews Gareth**

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.

### Re: Mishkin Test

Posted: **Tue Jan 29, 2013 1:44 pm**

by **nozkan23**

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..

### Re: Mishkin Test

Posted: **Tue Jan 29, 2013 1:59 pm**

by **EViews Gareth**

Correct, the add-in does not do that.

### Re: Mishkin Test

Posted: **Tue Jan 29, 2013 11:31 pm**

by **nozkan23**

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.

### Re: Mishkin Test

Posted: **Wed Jan 30, 2013 4:08 pm**

by **nozkan23**

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.

### Re: Mishkin Test

Posted: **Thu Jan 31, 2013 5:57 am**

by **nozkan23**

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

### Re: Mishkin Test

Posted: **Thu Jan 31, 2013 7:29 am**

by **EViews Gareth**

The only solution is to re-program the add-in yourself.

### Re: Mishkin Test

Posted: **Thu Jan 31, 2013 1:00 pm**

by **nozkan23**

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