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Is there a way to extract lead and lag cross correlation coefficients for multiple series? I have 10 distinct series which I would like to compute cross correlation against a series without doing it manually one by one.

I copied the code in the command space. when i run it i get "flow of control statement executed from the comamnd line" error message.

I have 20 different series in a workfile. And I'd like to generate 4 period movibg averages of tehse series in a new page without having to do it one by one. for example, for series 1 named x i write the follwing code: series xm=@movav(x,4) this procedure only creates teh ma of series x. Can I write...

I am trying to model a time-varying stock beta model. here is my Kalman Filter Model: rstock=c(1)+sv1*rmarket+[ename=e1, var=exp(c(2))] @state sv1=sv1(-1)+[ename=e2 , var=exp(c(3))] @evar cov(e1, e2)=0 ----where sv1 is time varying stock beta ------when I specify the following to set initial conditi...

I would like to generate new series using daily trading data. Specifically, I would like to calculate average weekly values using daily data and store the new series in weeks.

any suggestions?

Thanks for your reply. I am just getting familiar with Eviews v.6 and it seems to me that it should be capable of handling nonlinear state space modeling. On page 392 of the User Guide, it mentions "recursive and random coefficients", which suggests to me that it may be possible to specify...

I would like to use Extended Kalman Filter for estimating output (GNP) gap in Eviews. The parameters of the system are time-varying. It is assumed that each time-varying parameter follows a random walk. Can someone recommend a solution for this problem in Eviews?

thanx.