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Many thanks Glenn!

Hi all, It appears to be difficult to find detailed information about prewhitening in FMOLS estimation. EViews FMOLS estimation options include lag specification for (pre-)whitening. I would like to understand what exactly does this whitening do and when & why should one conduct such whitening -...

Hi all I would need to derive forecasts from ARMA-GARCH and VAR models in a manner that does not seem to be readily available in Eviews: 1. I have estimated a 3-variable VAR model, using data for the whole existing sample period 1975Q1-2012Q4). I would like to use the estimated VAR coefficients (bas...

Many thanks Gareth,
There is one remaining problem: the 'sevec' vector contains only nulls except for the last period.

Hi I have modified the example rolling regression programs to work as a recursive FMOLS estimation storing the recursive coefficient estimates. Everything works fine. However, in addition to storing the coefficients I would need to get the residual standard error for each recursive estimation. How c...

Hi all,

I wonder whether any one has programmed a procedure that would do recursive FMOLS estimation collecting the estimated coefficients for each recursive estimation.
If not, would it be possible to get that kind of procedure in the future?

Hi
Is there a readily available "routine" to estimate confidence bands or standard errors for impulse responses that are derived from a vector error correction model?

Hi My aim is to bootstrap (using Eviews 7) and graph impulse responses and confidence bands from a VAR model. Since I would like to use GIRFs instead of SVAR, I have modified the program bqboot.prg to correspond for GIRFs. The modified program appears to work well (would be great if someone could ch...

Thank you, that was very helpful. However, I would have one further question: Is there an easy way to graph the impulse responses with some other than 95% confidence bands (in a similar manner that Eviews straightforwardly graphs the impulses with 95% intervals)? Or should one "build" the ...

Hi

When graphing the confidence intervals for impulse responses derived from a VAR model, Eviews shows the 95% bands as a default. How would it be possible to change the confidence intervals to correspond to 90%, for instance?

Thanks,

EO