EViews.com

Thanks startz for your feedback. I was simply looking at the out-of-sample forecast to determine which model would fit the best. ARMA(1,(1,12)) has a very poor fit with correlated residuals and I was trying to come up with a better model. I was actually advised to use the Kalman filter to extract th...

We don't give out econometric advice

Gareth,
I still appreciated your taking time to read my post and to move it to the appropriate section. This forum has been a great source of knowledge for me and I thank you and other Eviews moderators for your hardwork.

This post belongs in the Econometric Discussions forum.

I apologise for moving back to the estimation then. I was very puzzled by why it kept coming back to estimation. Do you mind sharing your thoughts on my original inquiry? I am sorry agan for posting in the wrong forum.

I just wanted to add a comment that this is my third attempt posting this question. I posted it each time in Estimation and then later it appeared in Econometric Discussion by itself (a built-in filter system maybe?). I removed the posts from the Econometric Discussion section and now it only appear...

Dear Eviews Team I have a monthly series for one of the component of the aggregate CPI and I simply took the log difference *100 in order to get the inflation for the component and called it "cinf" as in the workfile attached to this question. I used Gareth's automatic ARMA selection code ...

Thanks Gareth. You are great! It works fine now.

Dear Eviews User I have a simple question regarding the following problem. I have been staring at it for so long, but could not figure it out yet. for !j=2 to 24 ar_ma{!j}.ls cinf c AR(1) MA(1) MA(!j) ar_ma{!j}.makeresids arma{!j} next With the code above, I would like to first estimate ARMA(1,(1,2)...

I actually have another follow-up question if you don't mind taking a look at. After using several filters, I put the filtered series in a group.What I want to do is to calculate the stock returns for each id (company identifier) by dividing the current month's adjusted price by the previous month's...

Thank you so much for your help. Now the program works the way I want.

Best Regards

Thanks a lot again for your quick feedback. I tried @obsby as the third argument as follows: group complete smpl if prirow=iid and monthend=1 and @obsby(gvkey,gvkey)>=130 complete.add gvkey iid prirow datadate ajexdi prccd trfd fic monthend Nevertheless, it is still not following the order I want it...

Thanks a lot, startz. I modified the code the following way: group complete smpl if prirow=id and @obsby(gvkey,gvkey)>=130 and monthend=1 complete.add gvkey price I have one remaining issue with this modification though. I want Eviews to execute the "smpl" command in a timely order. First ...

Possibly smpl if @obsby(companyid,companyid)>125 Thank you so much startz for your suggestion. It works great, but I ran into further issues. Here is the line of codes: smpl if prirow=iid and @obsby(gvkey,gvkey)>=130 and monthend=1 series primary_liquid=@recode(prirow=iid and @obsby(gvkey,gvkey)>=1...

Hello Dear Forum Members I have my data in the following format: CompanyID DailyPrice DataDate 100 4.571 20040301 100 100 .... 120 120 120 .... 130 130 130 130 I retrieved the daily stock prices from a data provider from March 2004 till March 2005 but not each company's stock is traded every trading...

Thank you so much Gareth! The program now does what it is supposed to do.

Dear Forum Members First of all, I thank you for taking your time to read my question. In my workfile, I have stocks returns, an identifier for decile and another identifier for month. What I would like to do is: First, sort the returns in each decile (I have 10 deciles in total) Second, compute the...