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Great! Thanks for the solution.

I was trying to do the simple thing as Glenn suggested: just get the R matrix and convert it into an EViews matrix. The reason I was trying xget(name = test1, test2 , type = matrix) z[,1:2] is that I get the following error message: "The number of objects found do not match the number of names ...

using EViews 7.1 I would like to access R for a certain bootstrap procedure and I am using the new EViews to R interface. I have problems finding books on this topic or documents on the internet. In particular, I cannot figure out how to get a matrix from R back into EViews using the xget command. A...

This is the solution to the problem. Thank you. I must admit that I find it surprising that exper and expersq do enter the first stage. Besides the reasons I mentioned in the previous post TSLS has been shown to be especially prone to multicollinearity. If you include exper and expersq as instrument...

Dear Startz, thanks for your fast replies. The exogenous variables experience and experience^2 do not belong into the auxiliary regression since they do not qualify for possible instruments of ability (they already appear in the main equation, only motheduc and fatheduc are excluded from the main eq...

but the second stage in TSLS is again OLS where the possibly endogenous variable is replaced by the instrument (or a linear combination of them as the variable fittedaux1 from the auxiliary equation object aux1). Therefore I would have expected identical results. Maybe EViews uses a different way to...

I was having similar problems like Oksana. For instance, how does EViews know that the list of instruments given by the user in the instruments box (say z1 and z2) should be used for some endogenous variable y2 instead as serving as their own instruments? In particular, I have problems replicating t...

Hi, I suppose this is the Phillips and Hansen (1990) procedure? I was looking for the Pedroni (2001) FMOLS procedure which is applied to panels. Does anyone know if the existing code is similar to the Pedroni (2001) procedure so that with a little bit of work it could be transformed accordingly? Tha...

Dear Startz, this is an interesting point. As you said, one cold use the Newey-West (1987) standard error implemented in EViews. However the OLS estimator is inefficient and FGLS methods such as Cochrane-Orcutt or Prais-Winston are efficient under the strict exogeneity assumption. Furthermore, autoc...

The only way I can think of is to use bootstraped standard errors by resampling the data using @resample. Things are complicated if you have a time series instead of a cross section. However, all this has to be done "by hand". It would be nice to have a "bootstrap standard errors"...

I used Cochrane-Orcutt or Prais-Winsten Regression for that. However, you have to do the two steps (or more if you estimate iteratively) by hand. Interestingly, the EViews Users Guide II points to a drawback in both methods in the presence of lagged dependent variables and suggests estimating rho in...