Search found 2683 matches

by EViews Glenn
Mon Feb 28, 2022 10:01 am
Forum: Estimation
Topic: SState ML estimation ignores initial values
Replies: 4
Views: 474

Re: SState ML estimation ignores initial values

Great.

The values are taken from C (or whatever the explicit references are in the sspace object) but the @param overrides that default behavior.
by EViews Glenn
Fri Feb 25, 2022 12:21 pm
Forum: Estimation
Topic: SState ML estimation ignores initial values
Replies: 4
Views: 474

Re: SState ML estimation ignores initial values

Sorry you are having problems. Which version of EViews are you using and what is the build date? Thanks.
by EViews Glenn
Wed Feb 16, 2022 9:13 am
Forum: Estimation
Topic: Do Panel DOLS and FMOLS estimations include time dummies or any other effect?
Replies: 1
Views: 18762

Re: Do Panel DOLS and FMOLS estimations include time dummies or any other effect?

Time-dummies are not included by default, but depending on the settings that you choose, individual deterministic constants, linear and quadratic trends are removed first, or the models with deterministic components are estimated on individual cross-sections. You can add other additional determinist...
by EViews Glenn
Tue Feb 15, 2022 9:52 am
Forum: Estimation
Topic: Forecast Markov Switching
Replies: 1
Views: 331

Re: Forecast Markov Switching

EViews computes in-sample one-step ahead, filtered, and smoothed probabilities values. EViews doesn't compute the one-step ahead out of-sample forecasts of the probabilities since the one-step ahead predicted is really only defined for the first period post-forecast as there is no out-of-sample filt...
by EViews Glenn
Tue Dec 28, 2021 9:32 am
Forum: Suggestions and Requests
Topic: Pool objects: include "sum" in the statlist for the makestats procedure
Replies: 1
Views: 13430

Re: Pool objects: include "sum" in the statlist for the makestats procedure

Hi. Sorry, I just saw this question. This is a reasonable suggestion, though I can understand why it wasn't originally included as you can easily compute this using the commands grp1.makestates x? @ mean obs grp1.genr xsum = xmean / xobs The same sort of thing is true of the sums-of-squared deviatio...
by EViews Glenn
Wed Dec 22, 2021 1:09 pm
Forum: Estimation
Topic: unit root with multiple structural breaks
Replies: 1
Views: 9655

Re: unit root with multiple structural breaks

None of the above tests are supported as in-built features. I will put them on the list for future development consideration.
by EViews Glenn
Wed Dec 01, 2021 10:22 am
Forum: Estimation
Topic: Bai Perron Sequential L+1 vs L breakpoints test
Replies: 2
Views: 6827

Re: Bai Perron Sequential L+1 vs L breakpoints test

There are no known issues with the EViews code at larger sample sizes. That's not to say that there aren't, but that present, I don't know of anything that could be an issue. To be honest, I don't remember the details of the Gauss code, nor why there were issues for larger sample sizes. [edit: To re...
by EViews Glenn
Wed Oct 27, 2021 12:13 pm
Forum: Estimation
Topic: Switching VAR in eViews 11
Replies: 4
Views: 8685

Re: Switching VAR in eViews 11

Correct on the panel front. The issue is that the probabilities need to be handled on an individual basis, and this is quite tricky.
by EViews Glenn
Tue Oct 26, 2021 9:24 pm
Forum: Estimation
Topic: Switching VAR in eViews 11
Replies: 4
Views: 8685

Re: Switching VAR in eViews 11

The algorithm for estimating the switching model goes through after correctly accounting for the panel lags in the VAR, but I think that the handling of the state initializations isn't ideal and probably misleading. You could make an argument that what the algorithm is producing is valid, but I thin...
by EViews Glenn
Tue Oct 26, 2021 8:58 pm
Forum: Estimation
Topic: Switching VAR in eViews 11
Replies: 4
Views: 8685

Re: Switching VAR in eViews 11

1. I'll have to look at the greying out issue, but Markov switching VARs are problematic for panel data specifications. I'm suspect that it should be erroring for that data configuration, but perhaps I am not remembering what we are doing. I'll have to take a look. 2. No in principle, but yes in pra...
by EViews Glenn
Tue Oct 26, 2021 8:53 pm
Forum: Estimation
Topic: Estimating a state space model
Replies: 1
Views: 6377

Re: Estimating a state space model

A couple of things. First, the state space object requires that the parameters exist as coefficients in the workfile. So you'll have to create a RHO_UNEMP and a SIGMA in the workfile at least as large as the number of parameters that you use. coef(2) rho_unemp coef(6) sigma Second, even after fixing...
by EViews Glenn
Mon Sep 27, 2021 8:17 am
Forum: Estimation
Topic: Bivariate Markov Switching Model
Replies: 4
Views: 9251

Re: Bivariate Markov Switching Model

I've finished the modifications of the VAR switching code to permit a 0 0 lag specification. This fix will be included in the next patch for EViews 12.
by EViews Glenn
Fri Sep 10, 2021 9:52 am
Forum: Estimation
Topic: Bivariate Markov Switching Model
Replies: 4
Views: 9251

Re: Bivariate Markov Switching Model

There is an internal explicit error check which is being triggered which may not be necessary. I am investigating whether this may safely be modified.

[edit: to temper expectations, this may take a bit of time...]
by EViews Glenn
Fri Sep 10, 2021 8:30 am
Forum: Estimation
Topic: Fully Modified GMM
Replies: 3
Views: 11726

Re: Fully Modified GMM

Unfortunately, no.
by EViews Glenn
Fri Sep 03, 2021 1:23 pm
Forum: Estimation
Topic: Logit estimation with Panel data
Replies: 9
Views: 13967

Re: Logit estimation with Panel data

GLM may be estimated but it doesn't use the panel structure. In your case, that's not an issue since you are handling the dummy variables yourself.

You are correct that GLM in a panel setting won't have the ability to handle cross-section dependence.

Go to advanced search