Search found 20 matches

by awatt43
Thu Mar 25, 2021 3:11 am
Forum: Data Manipulation
Topic: External Databases and Date Mismatch
Replies: 0
Views: 349

External Databases and Date Mismatch

Hi there I am pulling data from Bloomberg and Haver directly into a workfile at a weekly frequency ending on a Saturday. If I run the commands in my EViews the dates are matched as follows: 12/03 -> 13/03; 19/03 -> 20/03 i.e. if in the database the data is coded to the Friday then it is matched to t...
by awatt43
Mon Oct 05, 2020 6:21 am
Forum: Data Manipulation
Topic: Exclude specify country in the panel data
Replies: 8
Views: 8237

Re: Exclude specify country in the panel data

Along the same vein so posting here. I am estimating a 2SLS panel model using lags of the endogenous variables as instruments. I have the sample period 2002 to 2016, so when estimating the sample is automatically adjusted by EViews to 2003-2016 to account for the lagged instruments. If I drop a cros...
by awatt43
Mon Nov 26, 2018 1:05 am
Forum: Estimation
Topic: Obtaining weights with Principal component analysis
Replies: 6
Views: 8479

Re: Obtaining weights with Principal component analysis

Hi there, I would like to obtain the minimum average partial statistic for PCA so that I can ascertain the 'optimal' number of principle components to retain. I am aware that this is a built in function for choosing the optimal number of factors in the factor analysis tool but I was wondering how I ...
by awatt43
Tue Sep 18, 2018 11:38 pm
Forum: Estimation
Topic: Obtaining weights with Principal component analysis
Replies: 6
Views: 8479

Re: Obtaining weights with Principal component analysis

Thank you for your response Glenn - I have managed to obtain what i wanted to calculate from your code. I did have another more general question - i understand that EViews can report both the loadings and the eigenvectors, why would these be the same when using the covariance method of PCA? Thanks, ...
by awatt43
Wed Sep 12, 2018 10:56 am
Forum: Programming
Topic: Frequency conversion settings
Replies: 4
Views: 2879

Re: Frequency conversion settings

Makes sense - thanks Gareth!
by awatt43
Wed Sep 12, 2018 10:54 am
Forum: Estimation
Topic: Obtaining weights with Principal component analysis
Replies: 6
Views: 8479

Re: Obtaining weights with Principal component analysis

Hi there, I have a very similar question on PCA to the original here so hopefully this is the right place to post this. I have run covariance PCA on a set of normalised data and extracted the eigenvectors, eigenvalues and the first principle component. What I am struggling with is if I apply the fol...
by awatt43
Fri Sep 07, 2018 7:49 am
Forum: Programming
Topic: Frequency conversion settings
Replies: 4
Views: 2879

Re: Frequency conversion settings

How does this work if you are pulling directly from a database?

E.g. if I am pulling an annual GDP series from Bloomberg or Haver into a quarterly work file it will automatically follow the setting that I have last used in the general options?
by awatt43
Fri Sep 07, 2018 3:04 am
Forum: Programming
Topic: Frequency conversion settings
Replies: 4
Views: 2879

Frequency conversion settings

Hi there, Is there a way for me to ensure that the low to high frequency conversion settings will always be the same when I run a particular program? For example, in some instances I might want to use a constant value for the period say if I were using a policy rate, whilst if I were pulling through...
by awatt43
Wed Aug 22, 2018 3:12 am
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 36
Views: 34908

Re: Large Bayesian VAR

Hi there, Can I just confirm that the definition of the impulse responses is for a 1 standard deviation shock to the variable of interest when using the recursive/cholesky decomposition definition of the IRFs? If this is the case in the output if I shock the fed funds rate by 1 s.d. the chart is sho...
by awatt43
Thu Aug 16, 2018 5:36 am
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 36
Views: 34908

Re: Large Bayesian VAR

Thanks Dakila - could you explain to me the difference between the generalized and cholesky impulse response functions? Am i right in thinking that generalized allow you to estimate the impact of the shocks independent of the impact of the shock on other variables within the system, hence you do not...
by awatt43
Wed Aug 08, 2018 6:24 am
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 36
Views: 34908

Re: Large Bayesian VAR

Thank you. Is it possible to view the final coefficient estimates and the impulse responses in an extractable format rather than a frozen graph object?
Thanks,
Abigail
by awatt43
Wed Aug 08, 2018 2:14 am
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 36
Views: 34908

Re: Large Bayesian VAR

Thank you for your quick response dakila. How is the cholesky ordering specified? Is this taken from the ordering of the variables in the model specification?
by awatt43
Wed Aug 08, 2018 12:37 am
Forum: Add-in Support
Topic: Large Bayesian VAR
Replies: 36
Views: 34908

Re: Large Bayesian VAR

Hi there I am trying to estimate a LBVAR in using the add in but I have a couple of questions on the estimation procedure. 1. Is the model estimated following the hierarchical approach of Giannone et al (2012) in their paper prior selection for vector autoregressions? 2. Are the impulse responses fo...
by awatt43
Wed Sep 13, 2017 7:48 am
Forum: Data Manipulation
Topic: Elementwise multiplication
Replies: 6
Views: 4087

Re: Elementwise multiplication

Oh wow! I was being genuinely moronic... Just needed to transpose one of the matrices. Apologies!
by awatt43
Wed Sep 13, 2017 6:55 am
Forum: Data Manipulation
Topic: Elementwise multiplication
Replies: 6
Views: 4087

Re: Elementwise multiplication

Hi Gareth

This only works if the matrices are of the same size, in excel the data has to be the same number of columns as rows in the first.

Is there a way to do the matrix product of two matrices of differing sizes?

First matrix is 15x15 and the second is 1x15.

Thanks,
Abi

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