EViews.com

Hello, I am using Eviews 8. I am trying to test my panel data for stationnarity. However, I m having trouble to apply the same approach as for time series. I explain : usually, for a time series Y, I choose to use a given test (let say PP) . I first test the specification with trend + intercept, if ...

Hello,
After going through many topics on this forum about the Newey-West covariance correction http://forums.eviews.com/viewtopic.php?f=4&t=274, I believe that it would be great to implement it into the panel framework.
All the best

Thank you very much EViews Glenn for that clarification.So I think I will drop the fixed effects and rather include simple dummy variables for each industry. Still need to tackle autocorrelation though, I hope adding an AR(1) term and a robust covariance correction will do it.
Thanks!

Done ;)

Hello, I am working on an unbalanced panel data (T=17 and N=225). A sample would look like ; FirmID Year Industry Y Var1 Var2 xyz 1997 Automobile 10 12 6 xyz 1998 Automobile 11 13 1 xyz 1999 Automobile 19 4 8 zzz 2003 Utilities 5 3 7 zzz 2004 Utilities 7 9 4 I have basically followed the guidance fr...

Hello After what I would call "manual iteration"with the starting value for the variances,and the following SSPACE object @signal lgdp=trend+cycle @state trend=c(1) + trend(-1) + [var=exp(c(2))] @state cycle=c(3) * cycle(-1) + c(4) *lcycle(-1) + [var=exp(c(5))] @state lcycle=cycle(-1) para...

Hello, I have formulated the following state space model : @signal lgdp=trend+cycle @state trend=c(1) + trend(-1) + [var=exp(c(2))] @state cycle=c(3) * cycle(-1) + c(4) *lcycle(-1) + [var=exp(c(5))] @state lcycle=cycle(-1) @signal dhouse_p=c(6)*dhouse_p(-1) + c(7)*cycle + [var=exp(c(8))] param c(1)0...

Thank you Trubador

OK I will try do to that. I just want to make sure of one thing : when you say that the HPMV implies fixed variances, you refer to the lambda (for quarterly data = 1600), the ratio of the variance of noise to the variance of the signal, right?

Regards

Thank you very much for your reply.
I thought there was an alternative to the use of state space model for such specification (I aim at comparing HPMV and multivariate SSPACE models performances for estimating the output gap), so I guess it doesn't make sense tryng to do so.
Regards
Lauren

Hello I would like to implement a multivariate HP filter (HPMV) to US GDP. I have already done the univariate method (trend+cycle), but now I would like to add a new piece of information to the model. Namely I want to include information about the financial cycle (eg: credit growth) to obtain a &quo...

Hello I am still trying to get sensible results for the Clark model. I feel like I m not too far but I have the following question: Is it odd that when I estimate my SSPACE model I find : -that convergence has been achieved after (only!) one iteration -coefficient estimates are extremely close to my...

Hello I am currently working on the Clark model as well. I ve been trying different initial conditions, but I still dont know which one to use. I would just like to say that I ve been using a different sample (starting in 1984 to avoid structural breaks and thus focus on the Great moderation period)...