Search found 59 matches

by Elderfield.A
Thu Jun 10, 2021 4:27 pm
Forum: Estimation
Topic: Exact diffuse initialisation of states
Replies: 0
Views: 185

Exact diffuse initialisation of states

Hello! As I understand, EViews does not perform the exact diffuse initialisation of the initial state matrices, as outlined in Durbin and Koopman pg 126 - please correct me if I am wrong? Two questions: 1) The help page states: "EViews uses the authors’ recommendation that one first set and the...
by Elderfield.A
Mon May 31, 2021 3:08 pm
Forum: Estimation
Topic: Understanding the difference between Sspace and R's DLM
Replies: 8
Views: 2652

Re: Understanding the difference between Sspace and R's DLM

I've made a bit of progress on this, my starting parameters were the causing the issue. When I change these, I can get the model to estimate, not converge but at least estimate. So I think that is a good start!

I guess that puts this one to bed.
by Elderfield.A
Fri May 28, 2021 10:59 pm
Forum: Estimation
Topic: Understanding the difference between Sspace and R's DLM
Replies: 8
Views: 2652

Re: Understanding the difference between Sspace and R's DLM

Hi, Just wondering if there has been any further developments on this? I have been playing about with thing, trying alternative measurement equations for instance, I still get the singular matrix error. I also noticed that if I comment out the state covariance commands, the singular matrix error doe...
by Elderfield.A
Wed Feb 10, 2021 10:01 pm
Forum: Add-in Writing area
Topic: Create user inputs
Replies: 2
Views: 1181

Re: Create user inputs

Perfect - thanks Gareth.
by Elderfield.A
Wed Feb 10, 2021 9:17 pm
Forum: Add-in Writing area
Topic: Create user inputs
Replies: 2
Views: 1181

Create user inputs

Hi, I would like to create a user input box like what pops up when you select series -> Unit root test.. I had a quick look at the documentation, and I couldn't find an example of how to create a input box that combines things like list and radio buttons. Could someone please point me in correct dir...
by Elderfield.A
Tue Feb 02, 2021 2:02 pm
Forum: Estimation
Topic: Understanding the difference between Sspace and R's DLM
Replies: 8
Views: 2652

Re: Understanding the difference between Sspace and R's DLM

I don't think that is the intention, no. The original specification was: Y = F*X(t) + E(t) (X(t)-U) = G*(X(t-1)-U) + W(t) In R, the state space model doesn't allow for an intercept in the state equation (which the above has) so to get around that I have moved the intercept into the state vector: X(t...
by Elderfield.A
Tue Feb 02, 2021 3:03 am
Forum: Estimation
Topic: Understanding the difference between Sspace and R's DLM
Replies: 8
Views: 2652

Re: Understanding the difference between Sspace and R's DLM

Thanks Glenn, indeed an error. In regards to the state equations, I have specified this model a little differently to how I have seen others on this forum specify this model. This is because I originally estimated the model using R's DLM package, which doesn't allow an intercept in the state equatio...
by Elderfield.A
Mon Feb 01, 2021 12:39 am
Forum: Estimation
Topic: Understanding the difference between Sspace and R's DLM
Replies: 8
Views: 2652

Re: Understanding the difference between Sspace and R's DLM

Hi,

I've attached a workfile if it helps - any guidance would be appreciated.

Adam
by Elderfield.A
Mon Jan 04, 2021 12:53 pm
Forum: Estimation
Topic: Understanding the difference between Sspace and R's DLM
Replies: 8
Views: 2652

Understanding the difference between Sspace and R's DLM

Hi, I am trying to convert a model I had put together using R's DLM (Dynamic Linear Model) into Eviews Sspace framework. The model is a Nelson Siegal style latent factor model, using inflation expectations rather than bond yields. I can't seem to get estimates anywhere near what I get with R. I've p...
by Elderfield.A
Sun Jan 03, 2021 4:18 pm
Forum: Suggestions and Requests
Topic: Key board shortcut for "Run selected"
Replies: 3
Views: 2574

Key board shortcut for "Run selected"

Hello,

A really nice addition would be a key board shortcut (like CTRL+ENTER or something) for the right click command "Run selected".

Thanks

Adam
by Elderfield.A
Sun Jan 03, 2021 3:12 pm
Forum: Estimation
Topic: question on starting values
Replies: 1
Views: 880

question on starting values

Hi, Is there any difference between a) creating a coefficient vector using the command "coef" and then setting the values equal to desired starting values and b) using the command param? Specifically, is coef(3) a a(1) = 0.1 a(2) = 0.5 a(3) = -1 treated differently to coef(3) a param a(1) ...
by Elderfield.A
Sun Dec 20, 2020 7:03 pm
Forum: Estimation
Topic: DOLS with a restricted coefficient
Replies: 2
Views: 2586

Re: DOLS with a restricted coefficient

Couldn't you re-specify your dependent variable to Y-X1?
by Elderfield.A
Wed Dec 16, 2020 4:25 pm
Forum: Suggestions and Requests
Topic: Parenthesis highlighting
Replies: 0
Views: 3803

Parenthesis highlighting

Hi,

A really neat addition would be if program editor had parenthesis highlighting, indicating which parenthesis closes with which.

Thanks

Adam
by Elderfield.A
Wed Dec 16, 2020 4:06 pm
Forum: Models
Topic: addinit so no residual when evaluate at actuals
Replies: 6
Views: 5187

Re: addinit so no residual when evaluate at actuals

Hi Matt,

Just closing the loop on this. Turns out your initial hunch was correct, there were some add-factors that were dropped at some stage. Using the addassign before the addinit command does actually work - must of bungled it when I first was experimenting.

Cheers,

Adam
by Elderfield.A
Tue Dec 15, 2020 2:48 pm
Forum: Models
Topic: addinit so no residual when evaluate at actuals
Replies: 6
Views: 5187

Re: addinit so no residual when evaluate at actuals

Thanks for the suggestion Matt - I haven't checked if all variables are different, just some key ones. I'll try and find the equation where things fall over.

And, yep totally understand it is hard to offer advice without seeing the workfile. But thanks for helping where you can :)

Go to advanced search