EViews.com

Never mind. I found what I was doing wrong. Thanks

I estimated an ARMA-GARCH model. and clicked on residuals. The FITTED values were what I wanted. It ranged from 100 in 2001 to 800 in 2009. I computed DYNAMIC FORECASTs. The spreadsheet shows values from 100 in 2001 to 550 in 2009. What am I doing wrong? The FITTED values are the desired set of numb...

Hello.

I would like to know what criteria are generally used to evaluate the estimates that result from a SYSTEM Estimation. I look at the errors and joint normality. Any other tips will be useful.

Thanks

Should all the regressor variables on the RHS be lagged variables in Multivariate (BEKK, VEC, CCC) GARCH models?
I tried it with a combination of lagged and contempraneous variables and the software gave me an error. Is that a limitation with student editions?

Thanks for your replies.

I have seen some tips on programming Bivariate or Trivariate GARCH. I have difficulty understanding how to program a BV or TV-GARCH with different ARCH and GARCH terms. Whether the codes provided in the examples are all for GARCH(1,1) models? If I want to model the residuals as e1 ~ GARCH(p1, q1) an...

I have encountered this problem. The suggestion was to change the starting values and check for the stability of the estimates. Try that with both software.

Thank you for your replies. It is not a non-linear regression - I will check with the starting value settings.

Same sample, same regression - different results for coefficients beta1 and beta2 in Eviews. why does this happen? Should I check any background testing for this? =================================================================== Estimation done on Nov 2nd: --------------------------------------- D...

Hello: In STATA 11, there is a new command DVECH that estimates systems of equations with GARCH. Is there any such utility in Eviews? Or should I write my own program such as TVGARCH discussed in the forums? http://www.stata.com/stata11/mgarch.html "New estimation command dvech estimates diagon...

I read that MA terms are not allowed in System estimation. Is there a way to work around it? Thanks.

Thanks for your quick reply.

Multiple runs of the system give me different parameter estimates with FIML. that is a correction of my earlier post above.

Hello. I have a SYSTEM of 4 equations: Supply, Demand, Inventory and Price equation. My objective is to estimate speculation (if any) in the pricing equation. Note: The variable estimating speculative behavior is an explosive time series that is conditioned on other parameters of supply, demand and ...

Hello. I am new to using MODEL solving. So, any help would be greatly appreciated. 1. First, I fit a VEC model with three variables X, Y and Z (with two cointegrating equations) - Sample size: 2006m01 to 2009m09 2. Then I use, PROC-MAKE MODEL to define and solve a model 3a. I want forecast from 2009...