EViews.com

You need to set sample to the next period for the forecast. smpl !i+1 !i+1 As for the next set of code there is an issue with the line series sigmat2_n = omega_n + (alpha_n * z(-1)^2) + (beta_n * sigmat2_n(-1)) the first observation is calculated as sigmat2_n(t=1) = omega_n + (alpha_n * z(t=0)^2) + ...

EViews doesn't handle "non-standard" GARCH in Mean specifications. Here is one solution: - You can estimate your garch model without the garch in the mean part. - Save the conditional variance. - Then estimate you model again this time with the conditional variance saved from the previous ...

I have problems in constructing constrained VAR. After estimating the unrestricted VAR, I would like to set its certain coefficients to zero and then translate them to impulse response function to compare the effect with the baseline VAR (unconstrained one), but I haven't found any possible way to ...

Hi gene, thanks for your help. I see what you mean and working with a group object is indeed somewhat cumbersome. But still, there is a error massage saying that ...-1 to -4 is not a valid index. Do you have any further ideas? I tried the syntax both ways Cheers, Adam Then you'll have to build up t...

Here is what I would do... with USA, UK and JPN as the example countries, assuming you have USA_Y, USA_X, UK_Y, UK_X, etc. in your workfile. Notice I don't use the groups. for %country USA UK JPN equation eq_{%country} !mininfocrit=999999 for !lag=-4 to -2 eq_{%country}.ls {%country}_y {%country}_x ...

Hi, I want to use the kpss test but on the version of eviews i am using i don't have this test on the "view" window, i wanted to know if someone knew how to program a kpss test. thanks If you have EViews 4.1 or later, then KPSS should be available. To access the test, open a series in a w...

(3) Code your dummy variables with something like the following:

Code: Select all

smpl if str<20 series dum1=0 smpl if str>=20 dum1=1

Alternatively, you can use @RECODE

Should I use the information criteria, or loglikelihood or forecasting errors or do you of any other technique. You can use either information criteria (IC) or loglikelihood. IC might be preferred since they are designed specifically with model selection in mind. Check User's Guide's Appendix F. In...

Anyone know how to seasonally adjust data that have a lunar new year effect? (e.g. China or Taiwan industrial production data). I know the census x12 program has this option, but I do not see it available in the eviews command. Thanks. X12 has too many options to be completely supported in EViews. ...

I'm doing something wrong. In excel i calculated reruns as R(t)=ln(P(t)/P(t-1)). Column "news": news = 1, no news = 0. In eviews mean equation i write: R ar(1); news included in variance regressors. I get: AR(1) -0.058436 Variance Equation C 1.34E-08 RESID(-1)^2 0.103805 GARCH(-1) 0.79242...

EViews use an exponential smooth method to calculate the presample variance, while most other programs use the unconditional variance. My guess is this difference is the cause of the discrepancy between EViews and other GARCH programs. This hypothesis is easily testable—use the unconditional varianc...

I am trying to estimate a GARCH model [in ML object] and need to calculate Bollerlev - Wooldrige robust errors. I don't think you can do this in the ML object. BW-standard errors are calculated after ML estimation and in a particular way that's only applicable to GARCH models. This is not how the M...

does anyone know whether there is a way of estimating a multivariate GARCH-M in EViews 6? EViews 6 doesn't support ARCH-in-mean for multivariate ARCH models. You can roll your own ARCH-in-mean by following the steps below: 1) estimating a GARCH model first without conditional variance in the mean e...

Hi everyone ! Is there some mean to get a random sample from a Normal Bi-variate distribution (known means, std.dev. and rho) ? Thank you ! Regards Phil You want to generate an nx1 vector of normal random numbers u ~ N(0,S), where n x n S is the variance-covariance matrix of u. Let A'A = S, then A^...

Hey, I was wondering if there is also a way to obtain the standard errors or standard deviations also. When you solve your model, select the STOCHASTIC option. This will simulation your system. By default, the simulation means of the system will be saved under a new series with a suffix _0m and the...