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Hi, I have a small question. I have a time series (n=500) and want to check for stationarity. Therefore I performed some unit root tests, ADF , PP and KPSS. When including just a constant, all tests say that the process is not stationary. Using a constant and a trend, then the ADF and PP reject the ...

Hi all, I made a Monte Carlo Simulation to compare the properties of OLS and IV in a finite sample (n=200). I have a question to one result I got. Simple 1 Regressor case Y_i=X_i * beta + e_i When choosing the correlation of X and e to be 0.7, the variance of the OLS estimator has decreased compared...

Hello I have a question towards the order of Intergration. If I have a time series which is showing a trend , this trend can be determenistic or stochastic. This I dont know from just looking at the graph. No I am gonna make Unit Root tests to determine the ORder of Integration. Assume that I find t...

yeah i also think i should do that

Thats what I should answer A researcher fits an ARMA(2,1) model for the mean adjusted growth rate yt = yt-\bar y (without deterministic terms). Use the result on the asymptotic distribution of ML estimators in stationary ARMA models and derive an expression for the asymptotic covariance matrix SIGMA...

but actually i want to have the maximum liklehood estimators and their standards errors, this is Least sqaures

Hi all,

I have a question how can I estimate an ARMA(2,1) model in Eviews ?

Further I have calculated the asymptotic distribution of the estimators. How can I estimate the Covariance Matrix when I have the theoretical one ? Can i just plug in the estimators of my coeficients ?

d1 is a step dummy variable which takes the value 1 for time >140 and 0 else
d2 is an impulse dummy which takes 1 for 141 and 0 else, ok d2 can be dropped from the forecast


edit : i just used d1 and it works now, ok :)

mh somehow he doesnt write , but think its close to work soon muste be because of the two smpl i set up ? for !i=179 to 214 smpl @first @first+!i equation eq1.ls y c d1 d2 @trend y(-1) y(-2) smpl @first+!i+1 @first+!i+1 series fy=c(1)+d1(!i-1)*c(2)+d2(!i-1)*c(3)+c(4)*(!i-1)+c(5)*y(-1)+c(6)*y(-2) ser...

I thought so, that it cant work like in matlab.

Ok I still havent got it how i can set up my AR2 forecast now, because i need for example

f(100)=c(1)+@trend*99+c(3)*y(99)+c(4)*y(98)

where in this loop do i have to add your recommendation ?

That could be the case why it is wrong.

What i want to do is to write in the element !i+1 or use the element !i of a series. This is how it works in matlab or gauss. Probably its wrong here and my results are wrong because of this.
How can I do it correct ?

Hi I have a question and a Problem. In this loop i tried to make an 1 step recursive OOS AR(2) forecast with an intercept a trend and two dummy variables. Eviews is doing this loop, but Its writing 1 forecast more than I need, but the forecast error has the right length. Is there something wrong ? s...

Hi all,

I wanted to perform an DM test but im sceptical if these models could be nested.

AR(2) model for the levels and AR(1) model for first differences. Eventuelly i have to test some restrictions?