## How to run a time series model on panel data?

For questions regarding programming in the EViews programming language.

Moderators: EViews Gareth, EViews Jason, EViews Moderator, EViews Matt

Mihailo Savic
Posts: 12
Joined: Mon Jan 29, 2018 9:57 am

### Re: How to run a time series model on panel data?

Finally,

Everything works perfectly! Thank you so much! This is the final product:

Code: Select all

matrix ((@rows(gvkey))/38,7) eq1_m
matrix ((@rows(gvkey))/38,9) eq2_m
matrix ((@rows(gvkey))/38,11) eq3_m
matrix ((@rows(gvkey))/38,9) eq4_m
scalar rows=@rows(gvkey)
scalar i=1
scalar j=1
while i<rows
!gvk=gvkey(i)
smpl if gvkey=!gvk
series x{!gvk}=log(capital_expenditures)
series s{!gvk}=sale
series u{!gvk}=cur
equation eq{!gvk}.ls y{!gvk} c y{!gvk}(-1)
eq1_m(j,1) = !gvk
eq1_m(j,2) = eq{!gvk}.@rbar2
eq1_m(j,3) = eq{!gvk}.@se
eq1_m(j,4) = eq{!gvk}.@coefs(1)
eq1_m(j,5) = eq{!gvk}.@tstats(1)
eq1_m(j,6) = eq{!gvk}.@coefs(2)
eq1_m(j,7) = eq{!gvk}.@tstats(2)
equation eq{!gvk}x.ls y{!gvk} c y{!gvk}(-1) x{!gvk}
eq2_m(j,1) = !gvk
eq2_m(j,2) = eq{!gvk}x.@rbar2
eq2_m(j,3) = eq{!gvk}x.@se
eq2_m(j,4) = eq{!gvk}x.@coefs(1)
eq2_m(j,5) = eq{!gvk}x.@tstats(1)
eq2_m(j,6) = eq{!gvk}x.@coefs(2)
eq2_m(j,7) = eq{!gvk}x.@tstats(2)
eq2_m(j,8) = eq{!gvk}x.@coefs(3)
eq2_m(j,9) = eq{!gvk}x.@tstats(3)
equation eq{!gvk}tr.ls y{!gvk} c y{!gvk}(-1) x{!gvk} @trend
eq3_m(j,1) = !gvk
eq3_m(j,2) = eq{!gvk}tr.@rbar2
eq3_m(j,3) = eq{!gvk}tr.@se
eq3_m(j,4) = eq{!gvk}tr.@coefs(1)
eq3_m(j,5) = eq{!gvk}tr.@tstats(1)
eq3_m(j,6) = eq{!gvk}tr.@coefs(2)
eq3_m(j,7) = eq{!gvk}tr.@tstats(2)
eq3_m(j,8) = eq{!gvk}tr.@coefs(3)
eq3_m(j,9) = eq{!gvk}tr.@tstats(3)
eq3_m(j,10) = eq{!gvk}tr.@coefs(4)
eq3_m(j,11) = eq{!gvk}tr.@tstats(4)
equation eq{!gvk}cur.ls y{!gvk} c s{!gvk} u{!gvk}
eq4_m(j,1) = !gvk
eq4_m(j,2) = eq{!gvk}cur.@rbar2
eq4_m(j,3) = eq{!gvk}cur.@se
eq4_m(j,4) = eq{!gvk}cur.@coefs(1)
eq4_m(j,5) = eq{!gvk}cur.@tstats(1)
eq4_m(j,6) = eq{!gvk}cur.@coefs(2)
eq4_m(j,7) = eq{!gvk}cur.@tstats(2)
eq4_m(j,8) = eq{!gvk}cur.@coefs(3)
eq4_m(j,9) = eq{!gvk}cur.@tstats(3)
eq{!gvk}cur.makeresid rescur
while i<rows and !gvk=gvkey(i)
i=i+1
wend
j=j+1
wend

Apart from that I still need to manually save the data into excel from the 5 matrixes and I still need to look at an individual eq to view the residuals (that were fixed by changing "scalar gvk" to "!gvk").

Thank you again. I hope I wont need further help. (But I probably will.)

Mihailo.