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Disclaimer right at the beginning: my advice must not necessariliy be true! you could estimate a system of seemingly unrelated regression equation. Doing so, you take into account that the error terms of your 25 equations have a relationship. Objects, New Objects, System, estimate with Seemingly Unr...

Thank you very much!

I already tested in Eviews. Coefficient before the dummy proved to be statistically insignificant. But at least I know now...

Kind regards

M

Hi Startz

Thank you for your answer.

So I can do the following?

Hi at all! This question actually follows from another thread. However, I thought it would be useful to post it separately. I have the following regression equation system: y_1t = a + b_1*x_t + c*z_1t y_2t = a + b_2*x_t + c*z_2t Now, if I want to correct for autocorrelation, I can write (e.g. for th...

I thank you very, very much for your most helpful advice!

Kind regards

M

Ok, thanks very much. So if I want to test if the coefficient on the variable z_t is different in the first period than in the second period, I would do: y_1t = a + b_1*x_t + c*z_1t + d3*DUM*z_1t + u_1t y_2t = a + b_2*x_t + c*z_2t + d3*DUM*z_2t + u_2t Is this correct? Question: say, the coefficient ...

Hi Gareth Thank you for your reply. So you are suggesting that I estimate a SUR model over the whole time period. But how exactly can I then conduct the Chow-Test? I mean, if I have two regressions in the system, I have two error terms and two sums of squared errors. I am not quite sure how I can bu...

Hi at all! I have a time sample 1 to T1 (1/2006 to 6/2007) and a second time sample T1 + 1 to T2 (7/2007 to 12/2008) I estimate the following as a system of seemingly unrelated regressions: Sub-Sample from 1 to T1: (error terms denoted by u) y_1t = a + b_1*x_t + c*z_1t + u_1t y_2t = a + b_2*x_t + c*...

I thank you very, very much!

Your advice was most helpful. Now I have the Durbin-Watsons that I want;-)

Kind regards

M

Ok, let me quickly review the system I posted: e1 = c(1) + c(2)*f1 + c(3)*f2 + c(4)*m1 + c(5)*r1 e2 = c(6) + c(7)*f1 + c(8)*f2 + c(4)*m2 + c(5)*r2 e3 = c(9) + c(10)*f1 + c(11)*f2 + c(4)*m3 + c(5)*r3 Is there another option in Eviews to allow for correlation among the error terms of the three equatio...

Thank you very much for your answer!

So when applying SUR there is no need to set for GLS. Am I right?

How can I then correct for autocorrelation, if Newey-West is not implemented yet?

Thank you very much!

Kind regards

Martin

Hi all! I want to do the following: I have 3 time series of dependent variables (e1,e2,e3). I have 2 time series of explanatory variables (f1,f2). I have 6 additional time series of explanatory variables (m1,m2,m3 and r1, r2, r3). Hereby, r1 and m1 correspond to e1 and so on. I want to estimate the ...