Monte Carlo Simulation programme code for Breusch-Pagan Test

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lalithaamara76
Posts: 4
Joined: Wed Aug 02, 2017 2:35 am

Monte Carlo Simulation programme code for Breusch-Pagan Test

Postby lalithaamara76 » Wed Aug 02, 2017 9:27 pm

Dear Sir/Madam,

I shall be very much thankful if you could please help me on developing a Monte Carlo Simulation programme code for the attached workfile (Breusch-Pagan Test). If you could attach a suggested codes in a programme file would be great but at a minimum, codes step by step would also be sufficient. I have tried by referring some comments of the forum and some documents available on the web but it does not work and ask error messages.

I tried the following, but I could not follow; I am a very beginner

ftp://72.167.164.133/Eviews7/Example%20 ... cintro.htm

http://peterfoldvari.com/advtimeseries/lec3.pdf

Deadline falls tomorrow and I shall be grateful and indebted to you if you could help me on above

Kind regards

Lalitha
Attachments
bp.WF1
(25.86 KiB) Downloaded 19 times

lalithaamara76
Posts: 4
Joined: Wed Aug 02, 2017 2:35 am

Re: Monte Carlo Simulation programme code for Breusch-Pagan Test

Postby lalithaamara76 » Fri Aug 04, 2017 7:07 pm

Dear Friends,

I could got hold of the following but I have a problem

wfcreate dfsimu u 1 10000 'we create the workfile called dfsimu with 10000 observations

series testresults 'this is the variable where we store our testresults for final analysis

scalar fivepercentcrit 'this is where we store our estimate of the 5% critical value

for !i=1 to 10000 'we will repeat this 1000 times

series y=0 ' we create the series y with the starting value 0

smpl 2 101 'no we need to reset the sample to 2-101

y=1+y(-1)+nrnd ' we generate the random series according our assumptions

equation eq.ls d(y) c y(-1) 'we run the test regression on the generated 100 observations

smpl @all 'we reset the sample to the 1 10000

testresults(!i)=eq.@tstats(2) 'save the test stat

fivepercentcrit=@quantile(testresults,.05)

But when I try to run the programme (without those explaining words), the it gives an error message message as;

"For statement exterminated in "FOR iI=1 TO 10000"

How can I fix this issue? and does MC simulation takes actual values from the regression?.

Kind regards

Lalitha
Attachments
lec3.pdf
(499.63 KiB) Downloaded 18 times

startz
Non-normality and collinearity are NOT problems!
Posts: 3175
Joined: Wed Sep 17, 2008 2:25 pm

Re: Monte Carlo Simulation programme code for Breusch-Pagan Test

Postby startz » Fri Aug 04, 2017 7:08 pm

Did you include a next statement?

lalithaamara76
Posts: 4
Joined: Wed Aug 02, 2017 2:35 am

Re: Monte Carlo Simulation programme code for Breusch-Pagan Test

Postby lalithaamara76 » Fri Aug 04, 2017 7:59 pm

Dear Friend,

I owe you a lot. Thanks it worked. OMG I can submit my proposal today without delay. Thank you once again.

I can change the equation to OLS now and do it again. If I do that equation would be as follows I guess

I must fist specify the equation

y= c+x+nrnd as a replacement of y=1+y(-1)+nrnd ' we generate the random series according our assumptions

then I will specify the test regression for BP test

equation eq.ls d(resid^2) c x as a replacement of equation eq.ls d(y) c y(-1) 'we run the test regression on the generated 100 observations

and the rest will be same.

One or thing, If I want to divide resid^2 by number of observation ie 100 (as in this case and I understand I can change it in other trial) and then regress it on x, how could I code it, Can I do it like;

eq.ls d(resid^2)n c x I do not know n is a standard or may I use 100

Kind regards

Lalitha

lalithaamara76
Posts: 4
Joined: Wed Aug 02, 2017 2:35 am

Re: Monte Carlo Simulation programme code for Breusch-Pagan Test

Postby lalithaamara76 » Fri Aug 04, 2017 10:54 pm

lalithaamara76 wrote:Dear Friend,

I owe you a lot. Thanks it worked. OMG I can submit my proposal today without delay. Thank you once again.

I can change the equation to OLS now and do it again. If I do that equation would be as follows I guess

I must fist specify the equation

y= c+x+nrnd as a replacement of y=1+y(-1)+nrnd ' we generate the random series according our assumptions

then I will specify the test regression for BP test

equation eq.ls d(resid^2) c x as a replacement of equation eq.ls d(y) c y(-1) 'we run the test regression on the generated 100 observations

and the rest will be same.

One or thing, If I want to divide resid^2 by number of observation ie 100 (as in this case and I understand I can change it in other trial) and then regress it on x, how could I code it, Can I do it like;

eq.ls d(resid^2)n c x I do not know n is a standard or may I use 100

Kind regards

Lalitha



I came up with this OLS first

wfcreate dfsimu u 1 10000
series testresults
scalar fivepercentcrit
for !i=1 to 10000
series y=0
series x=rnd
smpl 2 101
y=1+x+nrnd
equation eq.ls y c x
smpl @all
testresults(!i)=eq.@tstats(2)
next
fivepercentcrit=@quantile(testresults,.05)

I did not use d in equation, I think it is alright

then I have taken the saved residuals and generated R using generate window R=resid^2 and then I did the following

wfcreate dfsimu u 1 10000
series testresults
scalar fivepercentcrit
for !i=1 to 10000
series r=0
series x=rnd
smpl 2 101
r=1+x+nrnd
equation eq.ls d c x
smpl @all
testresults(!i)=eq.@tstats(2)
next
fivepercentcrit=@quantile(testresults,.05)

Can I take this is MC test for BP by residuals.

Kindly help experts

Thanks

lalitha


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