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Hello everyone, I was wondering if some of you were aware of a "rule of thumb" concerning state space model's sample size? I work on a monthly dataset, with 9 observations (inputs in my signal equations), and I have 37 parameters to estimate, I would like to employ a "rolling" SS...

Any clues?

Hello, I am familiar with state space models, but I recently came across a problem. My model converges and gives sensible parameters, but it seems that one state estimate is only driven by another one. To explain, I aim at estimating a common trend from a few countries time-series ( lets say inflati...

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...

You can actually test for multicollinearity based on VIF on panel data. lets say the name of your equation is eq01, so type "eq01.varinf" and then click enter. then you will get centered (with constant) vif and uncentered (without constant) vif. Keep in mind, if your equation dont have co...

I have the same question.
Any ideas?

I would be really grateful if someone could just give me some idea about the following: " Step 5. Specify regular instruments: list all other instruments in one of the following edit boxes, depending on whether you wish to apply the transformation to the instrument". How to choose betweeen...

Hello everyone. I want to employ GMM estimator for the following model RISK = RISK(-1) + SIZE + PROFIT + DEBT + CASH + MARGIN + INTEREST I use Eviews 8. I have an unbalanced panel dataset with small T and large N (T=15, N=360).All variables are stationnary I have tested variables for Granger Casuali...