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Dear Eviews gurus, I understand that the recursive least squares can be easily done in Eviews when estimating OLS type of regression. However, the rls command is not supported under a panel structure. Is there a way to get the rls command working under the panel structure where the equation to be es...

I think I've got it working now, the eq specs looks like this： DXIT=-(1-C(19))*(XIT(-1)-C(1)*(@CROSSID=1) + C(2)*(@CROSSID=2) + C(3)*(@CROSSID=3) + C(4)*(@CROSSID=4) + C(5)*(@CROSSID=5) + C(6)*(@CROSSID=6) + C(7)*(@CROSSID=7) + C(8)*(@CROSSID=8) + C(9)*(@CROSSID=9) + C(10)*(@CROSSID=10) + C(11)*(@CR...

Just multiply any coefficient you want to vary by the dummy. I'm sorry to brother you again Gareth, but I still can't figure out how to do it (very new to panel regression only learned it after you said pool reg does not support). How to exactly create 18 or 17 dummies for C(1)? Is it @expand or @r...

As you point out, pooled regression does not let you estimate non-linear regressions, so you're out of luck. You could, however, estimate it in a panel workfile. Although there is nothing built in to estimate c(1) as cross-country specific, you could use a dummy variable approach to manually estima...

Hi Eviews experts and users, I've got a question about modifying the regression coefficients based on a pooled least squares regression. My data structure consists of 18 country equity indexes and 1 world index. All series are within the same time interval. The following is my model: Y? = -(1- c(2))...

You should get the same value for c(2) and the same R-square, but you should be getting a different value for c(1). Thanks for your reply startz, what I've done is I entered XIT=(1-C(2))*C(1)+C(2)*XIT(-1) in the command section, and the representation shows: Estimation Command: ====================...

This looks more like a Panel regression. I think you should formulate your model in Panel framework. Thanks a lot for your reply trubador, I have always been a fan of yours. But can you please be a bit more specific? As far as I know, panel regression requires the data to be structured based on mul...

I've figured out most of the parts with only one left now, it looks very simple： X= (1-δ)μ + δ Xt-1 + e (μ is a constant, Xt-1 is the lagged X, δ is the autoregressive coefficient) I know for X= μ + δ Xt-1 + e , the command is simply x c x(-1) In View>Representation, it looks like this: Estimation C...

Dear Eviews users and experts, I've been trying to work this out this whole afternoon, basically its a model that combines stock price mean reversion process and momentum component together in a same process. It looks just like a multiple regression (Please see the attachment) only the coefficient i...

Hi AHS, Thanks a lot for your helpful tips!! and with your question, Im not up to that part so wont be able to help you much about it, but good luck on getting mor responds. However, I did see the option click when coming across the VECM-GARCH, im not sure if this would help but try this: Open your ...

Dear sir, I m trying to use ECM-GARCH to estimate conditional hedge raio using eviews 6, i ve been trying to do this for 3 days but still couldnt get the result :( The dynamic hedge ratio at time t can be computed as the ratio of conditional covariance between spot and future to the conditional vari...