EViews.com

Unfortunately nobody has replied my original query.
:(
Maybe its not possible in Eviews and we need to use a different program?

Ok thanks,
So if I want to perform a wald test on a number of VECM coefficients (including the cointegration terms) - how can I do that in Eviews? It doesnt let you in the VECM specification, and the system specification won't work..
:(

I am trying to estimate a VECM in Eviews 6 using a system specification. I started with the automatic VECM estimation (“quick…estimate VAR”), but as this wouldn't allow me to do coefficient tests involving both the cointegrating relation and the error correction parts, I had to then estimate the mod...

Maybe forget about the lag length selection criteria (which are inherently problematic anyway), and choose the order of the VAR based on what you believe to be an appropriate length - i.e. justify it using theory rather than the statistical methods.

That seems quite commonplace

Hi, I am having some troubles with estimation using a VECM in Eviews 6. When I estimate the VECM using 'quick...estimate VAR', Eviews doesn't let me perform coefficient tests on the coefficients of the model. The only way I have been able to do this has been to transform the model into a system (whi...

Great, thanks to you both :)

So in terms of choosing the maximum number of lags to allow, what would your suggestion be? It seems to me to be a bit arbitrary, especially since if I choose the maximum lags the data will allow I can practically guarantee that the criteria will choose the highest lag length every time.. as I'm dea...

Again, EViews will automatically use the same observations. Thus with a maximum lag of 5, and with a total of 49 observations, 44 will be used for all comparisons. With a maximum lag of 10, 39 will be used. Thus your two examples are using different observations, so it is not surprising that they g...

What I mean is that they change according to the maximum lag you have entered. For example, using the same VAR (three variables, 49 observations): When I allow a maximum lag of 5: Lag LogL 0 -2583.633 1 -2400.191 2 -2386.086 3 -2381.116 4 -2370.323 5 -2364.053 But when I allow a maximum lag of 10: L...

Sorry, didnt mean to say standard errors at all - was writing about them in a different post. What I meant to say was log likelihoods - Eviews uses incorrect log likelihoods to determine the AIC, SIC and HQ at every lag other than the maximum lag you have allowed, which is why the lag length suggest...

If anyone is interested I eventually worked out the answer to this question. Eviews uses incorrect Standard Errors in the AIC, SIC and HQ tests when using the automatic lag length selection option for a VAR. To get around this, when using the 'lag length selection' option, include all possible lengt...

Hi,

I am having trouble working out which standard errors Eviews (6) is reporting for a system I have estimated using Full Information Maximum Likelihood. I can't find anything on this in the Users Guide.
Does Eviews automatically use Newey-West standard errors in this instance?

Cheers

I am estimating a VAR model on some long time series data, but have a question about EViews' (6) method for determining the appropriate lag length of the VAR. The approach is to use: 'view' - 'lag structure' - 'lag length criteria' which gives you the option of choosing how many lags to include in t...

Great, thank you!

Hi Gareth (or someone else who may know).

Ive had the same problem, only EViews wont allow me to estimate a Wald statistic from a system - I get the error message 'System estimates are not valid."
Does this work in EViews 6?

Thanks for the help,
Simon