Search found 30 matches

by adrangi
Tue Apr 27, 2021 4:52 pm
Forum: Estimation
Topic: Markov switching regimes
Replies: 8
Views: 1709

Re: Markov switching regimes

Thanks. What I mean is that the variance of residuals is normally the variance of dependent variable in all regressions. So should be the same here, shouldn't it? Thanks. BA
by adrangi
Thu Apr 08, 2021 8:57 am
Forum: Estimation
Topic: Markov switching regimes
Replies: 8
Views: 1709

Re: Markov switching regimes

Thanks. The output only says regime 1 and 2. Not clear what these regimes are. I thought the sigma of the dependent variable is the sigma of the innovations (residuals) of the model. Therefore, the values of the sigma should reflect the impact of the structural breaks of VIX on the dependent variabl...
by adrangi
Tue Apr 06, 2021 10:55 am
Forum: Estimation
Topic: Markov switching regimes
Replies: 8
Views: 1709

Re: Markov switching regimes

HI. I've estimated a model using MC regime switching method. Did it because VIX, which is an explanatory variable in the model, shows structural breaks, i.e., high and low volatility. My output table shows the results for the two regimes and I have the estimates of the log( sigma). Question: It isn'...
by adrangi
Tue Mar 30, 2021 3:57 pm
Forum: Programming
Topic: programming MLE using data series at different frequencies
Replies: 8
Views: 2666

Re: programming MLE using data series at different frequencies

Thanks for the quick reply. Even the one I did on R was a bit problematic. I didn't even attempt to do the MIDAS regression. I wanted to run a regression of daily volatility of S&P on daily interest rates, and things like consumer confidence, industrial production and other low frequency series....
by adrangi
Tue Mar 30, 2021 11:59 am
Forum: Programming
Topic: programming MLE using data series at different frequencies
Replies: 8
Views: 2666

Re: programming MLE using data series at different frequencies

Hi. I've used R to run a GARCH MIDAS estimation. However, seems to have problems if I bring in data with monthly and weekly for daily volatility series estimation. Were you able to get GARCH MIDAS to run on Eviews? If so would you be willing to share it? Do Eviews developers plan to expand the exist...
by adrangi
Thu Feb 25, 2021 10:34 am
Forum: Econometric Discussions
Topic: forecasting using Holt-Winters model
Replies: 0
Views: 395

forecasting using Holt-Winters model

Hi. After completing the smoothing using Holt-Winters(HW), I need to use the estimated parameters to forecast about 60 observations into the future. I know how to set it up on Excel, but it is a real pain. Eviews doesn't seem to let me specify the end of the forecast period for this model. Am I miss...
by adrangi
Sat May 26, 2018 1:27 pm
Forum: General Information and Tips and Tricks
Topic: capturing command for later use as a program
Replies: 3
Views: 3240

Re: capturing command for later use as a program

Thanks much anyway! Best, BA
by adrangi
Sat May 26, 2018 1:26 pm
Forum: General Information and Tips and Tricks
Topic: capturing command for later use as a program
Replies: 3
Views: 3240

Re: capturing command for later use as a program

Hi. Just figured it out from Help. Thanks. BA
by adrangi
Sat May 26, 2018 10:59 am
Forum: General Information and Tips and Tricks
Topic: capturing command for later use as a program
Replies: 3
Views: 3240

capturing command for later use as a program

Hi all. I haven't saved my captured commands for use later. I'm trying to do that. However, I am not able to save them as Eviews program and use "run" to run them later. I can save them as text. But that doesn't run using "run" command and has to be done line by line. I'd like to...
by adrangi
Sun Feb 25, 2018 10:57 am
Forum: Econometric Discussions
Topic: Multipliers with log-data in first differences
Replies: 2
Views: 2540

Re: Multipliers with log-data in first differences

Hi. I see the thread below. I am trying to compute the following for the SVAR and the VECM that I have estimated: 1. Multipliers 2. Elasticities, for instance the elasticity of real GDP to shocks to tax cuts or real government expenditures. I thought multipliers are coefficients that enter the impul...
by adrangi
Sun Feb 18, 2018 12:44 am
Forum: Programming
Topic: VECM and structural factorization option for variance decomposition
Replies: 0
Views: 1021

VECM and structural factorization option for variance decomposition

Hi. I created a matrix of shocks. Used it for SVAR and also Vecm impulse responses. I used the "structural decomposition" for the SVAR variance decomposition and seems to call my matrix of shocks. However, when I tried to do variance decomposition in VECM using "structural Decompositi...
by adrangi
Tue Sep 05, 2017 8:36 pm
Forum: Programming
Topic: BVAR (litterman) Specifying different priors to different variables
Replies: 2
Views: 1703

BVAR estimation

Hi. I have four variables and about 550 monthly observations. All variables are nonstationary. Sims recommends running BVAR if variables are nonstationary, so I tried. I got the error message "singular matrix" so I assume some determinants disappeared and I got no estimates or IRFs. I used...
by adrangi
Tue Sep 05, 2017 10:57 am
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 36
Views: 34871

Re: Large Bayesian VAR

Hi . Sorry, my search landed me here so I thought covers both. I've installed LBVAR. Will try both. Thanks. BA
by adrangi
Mon Sep 04, 2017 6:53 pm
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 36
Views: 34871

Bayesian VAR

Hi. I installed the Add-in BVAR. I tried to run it for 4 variables, 6 lags. Nothing happened. Any ideas? Thanks. BA

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