Search found 14 matches
- Tue Apr 19, 2022 5:17 am
- Forum: Estimation
- Topic: ARMA-EGARTH
- Replies: 1
- Views: 1782
ARMA-EGARTH
How do you do ARMA-Egarth model in Eviews? Or even PARCH, TARCH, EWMA or GARTH??? I tried doing Quick>Estimation> dlogreturn c ar(1) ma(2), as I have previously identified my arma model as AR(1) and MA(2), however, I keep receiving error messages: ARCH estimation requires a continuous sample? The on...
- Sun Apr 17, 2022 5:45 pm
- Forum: Econometric Discussions
- Topic: ARMA-GARCH model with dummy variables for structural break?
- Replies: 0
- Views: 11206
ARMA-GARCH model with dummy variables for structural break?
Hi, I have identified an ARMA model (1,2) but I was wondering whether it is possible to include a dummy variable for a structural break on Eviews, and how would you forecast it?
How would you go about doing it?
How would you go about doing it?
- Sun Apr 17, 2022 4:47 pm
- Forum: Econometric Discussions
- Topic: Test for normality- Jarque-Bera
- Replies: 0
- Views: 12785
Test for normality- Jarque-Bera
What happens if your ARMA model has a very high JB value (non-normality), do you need to transform the data and redo everything (start the box-Jenkins methodology again)? H
ow would you transform the data if necessary?
Does the ARMA model typically give high non-normal residual?
ow would you transform the data if necessary?
Does the ARMA model typically give high non-normal residual?
- Sun Apr 17, 2022 4:28 pm
- Forum: Estimation
- Topic: Breush-Godfrey test with ARMA model
- Replies: 1
- Views: 1864
Breush-Godfrey test with ARMA model
Trying to conduct the Breush-Godfrey test using ARMA (1,2) however, keep receiving the error message: not available with this estimation method (ARMA ML). What does this mean? Did I do something wrong? What could be wrong with the data to receive this result?
- Mon Apr 04, 2022 5:20 pm
- Forum: Econometric Discussions
- Topic: 2sls with 2 simultaneous equations
- Replies: 15
- Views: 13556
Re: 2sls with 2 simultaneous equations
For the first-stage F you want the reduced form. Wouldn't you get the same generalised equation but like different letters instead? How would you do it with so many variables? What difference does it make? Cause I did get an answer but I think I did it the structural formula way and get a low F-sta...
- Mon Apr 04, 2022 3:18 am
- Forum: Econometric Discussions
- Topic: 2sls with 2 simultaneous equations
- Replies: 15
- Views: 13556
Re: 2sls with 2 simultaneous equations
For the first stage of the equations would you just input LS of the structural equation for equations 1 and 2 to get the F-stat or would you input the reduced form equation to get the F-stat?
- Mon Apr 04, 2022 3:04 am
- Forum: Econometric Discussions
- Topic: 2sls with 2 simultaneous equations
- Replies: 15
- Views: 13556
Re: 2sls with 2 simultaneous equations
That looks correct. So it's probably a problem with your data. Could it not be something to do with the second equation having 1 additional variable compared to equation 1 or that the variable X2 exists in both equations? Nope. The former means that the first equation is overidentified and the latt...
- Sun Apr 03, 2022 4:46 pm
- Forum: Econometric Discussions
- Topic: 2sls with 2 simultaneous equations
- Replies: 15
- Views: 13556
Re: 2sls with 2 simultaneous equations
startz wrote:That looks correct. So it's probably a problem with your data.
Could it not be something to do with the second equation having 1 additional variable compared to equation 1 or that the variable X2 exists in both equations?
- Sun Apr 03, 2022 11:35 am
- Forum: Econometric Discussions
- Topic: 2sls with 2 simultaneous equations
- Replies: 15
- Views: 13556
Re: 2sls with 2 simultaneous equations
How would you do it when there is an unequal number of variables in the two equations. I am sure the equation is over-identified so 2sls should work right, or at least produce some results from half the equation?
- Sun Apr 03, 2022 11:32 am
- Forum: Econometric Discussions
- Topic: 2sls with 2 simultaneous equations
- Replies: 15
- Views: 13556
Re: 2sls with 2 simultaneous equations
Show us the commands you use and maybe attach the EViews workfile. Quick, Estimate Equation, 2sls Equation specification: Y1 c Y2 + X1 + X2 + X3 + E Instruments: XI X2 X3 X4 X5 X6 I think I got near a singular matrix for this one. How are you meant to do 2sls when you got 2 simultaneous equations w...
- Sun Apr 03, 2022 7:35 am
- Forum: Econometric Discussions
- Topic: 2sls with 2 simultaneous equations
- Replies: 15
- Views: 13556
Re: 2sls with 2 simultaneous equations
How do you let Eviews know which variables are endogenous and which variables are exogenous in tsls, and the variables that form the 2 equations?
- Sun Apr 03, 2022 7:33 am
- Forum: Econometric Discussions
- Topic: 2sls with 2 simultaneous equations
- Replies: 15
- Views: 13556
Re: 2sls with 2 simultaneous equations
Show us the commands you use and maybe attach the EViews workfile. Quick, Estimate Equation, 2sls Equation specification: Y1 c Y2 X1 X2 X3 + E Instruments: XI X2 X3 X4 X5 X6 I think I got near a singular matrix for this one. How are you meant to do 2sls when you got 2 simultaneous equations with 2 ...
- Sun Apr 03, 2022 7:31 am
- Forum: Econometric Discussions
- Topic: 2sls with 2 simultaneous equations
- Replies: 15
- Views: 13556
Re: 2sls with 2 simultaneous equations
Show us the commands you use and maybe attach the EViews workfile. Quick, Estimate Equation, 2sls Equation specification: Y1 c Y2 + AX1 + BX2 + CX3 + E Instruments: AXI BX2 CX3 DX4 FX5 GX6 I think I got near a singular matrix for this one. How are you meant to do 2sls when you got 2 simultaneous eq...
- Sun Apr 03, 2022 2:16 am
- Forum: Econometric Discussions
- Topic: 2sls with 2 simultaneous equations
- Replies: 15
- Views: 13556
2sls with 2 simultaneous equations
Say I got 2 equations: (1) Y1 = Alpha + Y2 + AX1 + BX2 + CX3 + E (2) Y2 = Beta + Y1 + DX4 + BX2 + FX5 + GX6 + U How would you do the 2sls? I keep getting singular matrix error messages or insufficient instrument variables? I have been inputting equation 1 as model specification and X1, X2, X3, X4, X...