## Search found 1518 matches

Mon Dec 25, 2023 12:55 am
Forum: Programming
Topic: Is there a solver tool?
Replies: 6
Views: 5764

### Re: Is there a solver tool?

I tried with the add-in irrval, but i could not programmed it. Does anybody knows if i can code an add-in? Or how can i use it in a loop? Thanks Each add-in comes with the help file, where author explains its use in detail. You can find the document in the add-in's folder-> C:\Users\...\Documents\E...
Mon Dec 25, 2023 12:52 am
Forum: Programming
Topic: Is there a solver tool?
Replies: 6
Views: 5764

### Re: Is there a solver tool?

Hi I too failed to manage to use the command-line version of irrval. Tried both the global command, and the series version. Irrval(series=«seriesname») Irrval(«seriesname») Irrval(seriesname) (And with versions like scalar test = …. Any of the above). Seriesname.irrval(results) Since the menu -alte...
Sat Nov 05, 2016 6:11 pm
Forum: Bug Reports
Topic: Null hypothesis in the omitted variables test
Replies: 0
Views: 6432

### Null hypothesis in the omitted variables test

I believe the null hypothesis in the omitted variables test should either read "..are NOT jointly significant..." or "...are jointly INsignificant..." wfcreate u 100 series x1 = nrnd series x2 = nrnd series y = 2 + .8*x1 + 0.2*x2 + @rnorm equation eq1.ls y c freeze(omitted) eq1.t...
Fri Nov 04, 2016 12:53 am
Topic: L1FILTER
Replies: 1
Views: 13659

### L1FILTER

This thread is about l1filter add-in. The add-in allows you to extract a piecewise linear trend by primal-dual interior point method proposed by Kim et al. (2009). It is an alternative trend estimation method to well-known Hodrick-Prescott filter, but can also be used in determining the break (kink)...
Wed Jul 20, 2016 1:41 am
Forum: Estimation
Topic: HAC test on a VAR model
Replies: 2
Views: 5665

### Re: HAC test on a VAR model

Tue Jul 19, 2016 6:08 am
Forum: Data Manipulation
Topic: Net oil price (non-linear specification)
Replies: 4
Views: 8340

### Re: Net oil price (non-linear specification)

Sun Jul 17, 2016 3:44 pm
Forum: Suggestions and Requests
Topic: EViews 10
Replies: 16
Views: 28239

### Re: EViews 10

I am not sure if the seed option would be enough to produce random subsets for k-fold CV as each set should hold unique values of the total sample (e.g. draw without replacement). It should be clear that the code above does not ensure this property.
Sun Jul 17, 2016 9:31 am
Forum: Suggestions and Requests
Topic: EViews 10
Replies: 16
Views: 28239

### Re: EViews 10

I think OP refers to me as the "author" who put the effort in writing the k-fold CV subroutine: http://forums.eviews.com/viewtopic.php?f=23&t=12261 I already shared with him the code behind this routine and totally agree that such approach (i.e. cross validation) should be made availab...
Wed Jul 13, 2016 11:50 am
Forum: Econometric Discussions
Topic: How to read the result of BEKK GARCH model for testing volatility spillover between Asian stock markets
Replies: 3
Views: 10895

### Re: How to read the result of BEKK GARCH model for testing volatility spillover between Asian stock markets

Wed Jul 13, 2016 11:40 am
Forum: Econometric Discussions
Topic: Root Mean Square Error in Forecasting
Replies: 1
Views: 5781

### Re: Root Mean Square Error in Forecasting

That's the way how RMSE (or any other evaluation metric) is computed. There is nothing inherently wrong here. Whether or not to keep insignificant variables in the model is up to you (based on the research question, hypotheses and other statistical criteria of course).
Wed Jul 13, 2016 11:32 am
Topic: DCCGARCH11
Replies: 121
Views: 394809

### Re: DCCGARCH11

Hey, So right now I am estimating bivariate dcc garch (return in 2 indices such as s&p500 and klse). Some of the paper that I read, define the mean equation such: r_t=γ_0 + γ_1 r_(t-1)+ γ_2 r_(t-1)^us + ε_t ( I attached the paper's method and result) , it uses ar(1) process in the mean equation...
Wed Jul 13, 2016 8:17 am
Topic: HDecomp (historical decomposition)
Replies: 32
Views: 80360

### Re: HDecomp (historical decomposition)

Hi Trubador, When using the historical decomposition, I am looking to identify the SVAR using the Choleski Decomposition which you have provided However, there does not appear to be any place to provide the casual ordering necessary to identify the SVAR using the Choleski Decomposition approach. (T...
Wed Jul 13, 2016 8:10 am
Topic: RunsTest
Replies: 4
Views: 13550

### Re: RunsTest

From the documentation that comes with the add-in: Analysis returns a vector of two values. First value corresponds to the number of runs and the second value represents the associated p-value. As for computing the z-stat: You can exploit the following relationship: scalar zstat = @qnorm(1-pval/2)
Wed Jun 22, 2016 4:34 pm
Topic: TARCOINT
Replies: 47
Views: 92483

### Re: TARCOINT

TARCOINT add-in is now updated to version 1.1 as of June 23, 2016.

Fixed a minor bug causing momentum option not to work properly when using the command line syntax. Supporting files are provided to guide users through some post-estimation analyses.
Wed Jun 22, 2016 4:17 pm
Forum: Econometric Discussions
Topic: Interpreting impulse response functions: Std dev or % ?
Replies: 21
Views: 63425

### Re: Interpreting impulse response functions: Std dev or % ?

In the first case, the interpretation of the impact should be in percentages since the response variables are all in logarithms. One SD shock to UNCER leads to a 0.004 units decrease in the logarithm of LIP after 6 months, which corresponds to 0.4% drop in the LIP when translated into original level...