Search found 2659 matches

by EViews Glenn
Fri Apr 30, 2021 11:54 am
Forum: Suggestions and Requests
Topic: Wavelet Transform
Replies: 13
Views: 16440

Re: Wavelet Transform

In case anyone is coming on this thread now or in the future, note that EViews 12 has built-in wavelet tools.
by EViews Glenn
Fri Apr 30, 2021 10:00 am
Forum: Estimation
Topic: Markov switching regimes
Replies: 8
Views: 1716

Re: Markov switching regimes

Still not sure that I understand. What we are computing as residuals and using for residual-based statistics are (as we note in the docs): Of note are the residual-based statistics which employ the expected value of the residuals obtained by taking the sum of the regime specific residuals weighted b...
by EViews Glenn
Thu Apr 22, 2021 10:58 am
Forum: Estimation
Topic: Markov switching regimes
Replies: 8
Views: 1716

Re: Markov switching regimes

Sorry, didn't see this until now.

I'm not entirely sure what you are saying here. Sorry.
by EViews Glenn
Wed Apr 07, 2021 8:56 am
Forum: Estimation
Topic: Cox Proportional Hazard Model
Replies: 1
Views: 153

Re: Cox Proportional Hazard Model

It can be estimated using the likelihood tools, but is not built-in.
There are tools for accelerated failure time regressions that you can estimate using the truncated or censored regression specifications.
by EViews Glenn
Wed Apr 07, 2021 8:52 am
Forum: Estimation
Topic: Markov switching regimes
Replies: 8
Views: 1716

Re: Markov switching regimes

The sigma are the standard errors of the dependent variable, not of the explanatory variables (e.g., VIX). Not sure if this answers your question.
by EViews Glenn
Tue Mar 16, 2021 10:34 am
Forum: Estimation
Topic: Serial Correlation LM Test N/A in EViews11SV?
Replies: 5
Views: 456

Re: Serial Correlation LM Test N/A in EViews11SV?

http://www.eviews.com/help/helpintro.ht ... es.html%23

Toward the bottom of the Least Squares section is a Wooldrige example demonstrating a test for serial correlation.
by EViews Glenn
Sun Feb 07, 2021 6:02 am
Forum: Estimation
Topic: Problem of forecast S.E. for panel data
Replies: 1
Views: 341

Re: Problem of forecast S.E. for panel data

Sorry, there is nothing built-in to compute them.
by EViews Glenn
Wed Feb 03, 2021 1:43 pm
Forum: Estimation
Topic: Understanding the difference between Sspace and R's DLM
Replies: 6
Views: 1266

Re: Understanding the difference between Sspace and R's DLM

Yes, what you are doing makes perfect sense. I wasn't quite sure what the "mean_" variables were doing since I hadn't really looked at the original specification, and think I just mushed all of the variables together in my mind. Sorry to worry you.
by EViews Glenn
Tue Feb 02, 2021 12:30 pm
Forum: Estimation
Topic: Understanding the difference between Sspace and R's DLM
Replies: 6
Views: 1266

Re: Understanding the difference between Sspace and R's DLM

Took a quick look at the state specs. Just double checking that you did want to extend Diebold and Li by specifying the states as a VAR(2).
by EViews Glenn
Tue Feb 02, 2021 9:07 am
Forum: Estimation
Topic: Standard errors calculation in fixed effects by Eviews
Replies: 2
Views: 402

Re: Standard errors calculation in fixed effects by Eviews

There are many standard errors in panel data models so I'm answering this with respect to the simplest form. The basics apply to the other methods as well. In the usual way of computing fixed effects estimators and the associated standard errors, we orthogonalize all of the data with respect to the ...
by EViews Glenn
Mon Feb 01, 2021 4:43 pm
Forum: Estimation
Topic: Understanding the difference between Sspace and R's DLM
Replies: 6
Views: 1266

Re: Understanding the difference between Sspace and R's DLM

Been down a few rabbit holes trying to track this down, but I just noticed that the signal equation specifications in your sspace object don't match the Diebold and Li paper and that they differ from the R specifications. I'm not sure that this is the sole reason for the issues you are seeing, but I...
by EViews Glenn
Sun Dec 06, 2020 4:26 pm
Forum: Estimation
Topic: State space estimation - concentrated diffuse likelihood
Replies: 1
Views: 2321

Re: State space estimation - concentrated diffuse likelihood

No. This is easy to do by hand for a specific case but can be tricky to implement in our general interface. It probably could have been done with a fair amount of effort, but our sense at the time, for better or worse, was that our energy would best be spent elsewhere. But I could certainly be convi...
by EViews Glenn
Tue Nov 10, 2020 7:37 am
Forum: Estimation
Topic: Panel options
Replies: 4
Views: 4179

Re: Panel options

What exactly are you doing when it closes? How did you try to run the test?
by EViews Glenn
Wed Oct 14, 2020 10:22 am
Forum: Estimation
Topic: Estimating state space model for GARCH(1,1)
Replies: 15
Views: 20154

Re: Estimating state space model for GARCH(1,1)

The extended Kalman filter is not supported in EViews.
by EViews Glenn
Fri Oct 09, 2020 10:41 am
Forum: Estimation
Topic: Estimation of unbalanced Panel VAR model?
Replies: 1
Views: 4214

Re: Estimation of unbalanced Panel VAR model?

EViews doesn't do anything special with estimation of a VAR in a panel workfile. We simply take all of the lags and run on the stacked data. So the number of observations in different cross-sections will be different, but from the point of view of the estimator, T = sum_i T_i* where T_i* are the num...

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