Search found 4 matches

by jzpan
Mon Jul 19, 2021 4:07 pm
Forum: Estimation
Topic: How to put dummies in Cointegration space?
Replies: 1
Views: 6801

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...
by jzpan
Mon May 17, 2021 7:26 am
Forum: Estimation
Topic: Retrieve Sij matrics from Johansen Estimation
Replies: 0
Views: 14362

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...
by jzpan
Thu May 13, 2021 12:18 pm
Forum: Programming
Topic: Orthogonal complement of a matrix
Replies: 2
Views: 2257

Re: Orthogonal complement of a matrix

Thank you, Matt! I will take a close look at @svdfull function.
by jzpan
Thu May 13, 2021 9:04 am
Forum: Programming
Topic: Orthogonal complement of a matrix
Replies: 2
Views: 2257

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...

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