Search found 4 matches
- Mon Jul 19, 2021 4:07 pm
- Forum: Estimation
- Topic: How to put dummies in Cointegration space?
- Replies: 1
- Views: 7679
How to put dummies in Cointegration space?
When estimating a VEC model, EViews allows you to specify dummies as exogenous variables as shown in the attachment. But these dummies will be unrestricted, outside the cointegration space. I need to specify dummies as restricted to cointegration relations. I know both RATS and JMulTi have that opti...
- Mon May 17, 2021 7:26 am
- Forum: Estimation
- Topic: Retrieve Sij matrics from Johansen Estimation
- Replies: 0
- Views: 19675
Retrieve Sij matrics from Johansen Estimation
Hi, In testing and estimating a VECM, Johansen method uses the product moment matrices Sij to derive the eigenvalues and eigenvectors by solving the determinantal equation: | lambda*S11 - S10*S00^-1 *S01 | = 0 I assume EViews procedure uses the same formula by taking advantage of the reduced rank re...
- Thu May 13, 2021 12:18 pm
- Forum: Programming
- Topic: Orthogonal complement of a matrix
- Replies: 2
- Views: 3279
Re: Orthogonal complement of a matrix
Thank you, Matt! I will take a close look at @svdfull function.
- Thu May 13, 2021 9:04 am
- Forum: Programming
- Topic: Orthogonal complement of a matrix
- Replies: 2
- Views: 3279
Orthogonal complement of a matrix
Hello, I searched the forum and beyond, can't seem to find a matrix function in EViews to compute the orthogonal complement of a matrix A. The only thing I found is a post back in 2016 (link here: http://forums.eviews.com/viewtopic.php?t=14736 ). I'm not sure if the latest EViews (I have 12) has inc...