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Hi all,

Since quantile regression does not make any assumptions on distribution of error terms, does autocorrelation or heteroskedasticity create a problem on the robustness of the model? If no do you have any reference for this? If yes, what should I do?

Thanks in advance,

I do have the same problem. Any answer would be appreciated.

Hi all, I am using Eviews 7 and as far as I know, we cannot run generalized variance decomposition in Eviews, right? Is there an update on later versions?

Thanks a lot! Just this code will save me hours of time.

If I get your question right, to the white code area in Eviews 7.

There are 5000 observations for each series. So I write 5000 in lieu of N (not sure if thats correct, but guess so). Then the error says "!a is not a valid string or scalar name". stuck at that point.

I basically would like to do a volatility spillover test which includes multiple steps as follows: 1) After calculating the standardized residuals for the two stationary series i and j, estimate a GARCH (1,1) model for these residuals and obtain the standardized residuals of this equation, the deriv...

Thanks for your quick answer. scalar n=1 'number of time series (y1,y2,.....,N), (x1,x2,.....,N) scalar ind=1 'input for loop for !a=1 to N vector(N) LMxy 'returns LMstat for volatility spillover from x to y vector(N) pvalxy 'returns corresponding pvalue for LMxy vector(N) LMyx 'returns LMstat for v...

Hi all, I have been using Eviews for a very long time- though have not used programming at all. One friend obtained me a code for a multiple step procedure. However, I cannot make it work. The part of it as follows: for !a=1 to N equation eq1{!a}.arch y{!a} c y{!a}(-1) eq1{!a}.garch eq1{!a}.makederi...