Search found 17 matches

by pmann
Fri Nov 25, 2011 1:26 pm
Forum: Data Manipulation
Topic: holidays in a time series
Replies: 12
Views: 8768

Re: holidays in a time series

yes, i haven't expected that eviews knows about the phases of the moon. my idea was to simulate the phases of the moon. for example take the first date of easter monday of my series and then program something like: go 12 times 29days12h43min (duration of one moon phase) forward.or something like thi...
by pmann
Fri Nov 25, 2011 11:50 am
Forum: Data Manipulation
Topic: holidays in a time series
Replies: 12
Views: 8768

Re: holidays in a time series

ok, but how can i tell eviews: take the monday (for the holiday easter monday) after the first weekend after the first full moon in spring for each year?
by pmann
Fri Nov 25, 2011 11:33 am
Forum: Data Manipulation
Topic: holidays in a time series
Replies: 12
Views: 8768

Re: holidays in a time series

so is there any possibilitiy on eviews to program a dummy for these holidays which dates vary each year? or is it too complex?
by pmann
Fri Nov 25, 2011 8:40 am
Forum: Data Manipulation
Topic: holidays in a time series
Replies: 12
Views: 8768

Re: holidays in a time series

yes and that's the problem, in germany there a fixed holidays like 1/1/.., 12/25/.. and 12/26/.. but there are also a few holidays like the easter holidays that go according the first full moon in spring (so these holidays could be between 03/22/.. and 04/25/..)
so how can i deal with this?
by pmann
Fri Nov 25, 2011 8:25 am
Forum: Data Manipulation
Topic: holidays in a time series
Replies: 12
Views: 8768

Re: holidays in a time series

thanks for the reply!
and what can i do if i don't want to indentify the returns by the zero?
unfortunately i've seen that there a several zeros in my series that are no holidays...
by pmann
Fri Nov 25, 2011 7:25 am
Forum: Data Manipulation
Topic: holidays in a time series
Replies: 12
Views: 8768

Re: holidays in a time series

is there no one who can help me? or is it too complicated?
by pmann
Thu Nov 24, 2011 1:59 pm
Forum: Data Manipulation
Topic: holidays in a time series
Replies: 12
Views: 8768

holidays in a time series

hey eviews forum! My problem is the following: I've got a time series of daily returns of the german stock index for about 40years (regular 5 day week). here an example: date:..............return: 12/22/1988.....0.003462753060434306 12/23/1988.....0.005256070350794826 12/26/1988.....0 12/27/1988.......
by pmann
Wed Nov 16, 2011 4:10 pm
Forum: Data Manipulation
Topic: code for "last and first three trading days of a month"
Replies: 18
Views: 11688

Re: code for "last and first three trading days of a month"

ok i hope we got it know! thank you veeeery much!!!
by pmann
Wed Nov 16, 2011 4:02 pm
Forum: Data Manipulation
Topic: code for "last and first three trading days of a month"
Replies: 18
Views: 11688

Re: code for "last and first three trading days of a month"

yes ok, lets called it "dummy" but how can i run a regression with this dummy?
is this the right way: quick->estimate equation
equation specification: return=c(1)+c(2)*dummy
method: ls - least square
sample: 1/04/1988 11/01/2011

or how can i run a regression with this dummy?
by pmann
Wed Nov 16, 2011 3:43 pm
Forum: Data Manipulation
Topic: code for "last and first three trading days of a month"
Replies: 18
Views: 11688

Re: code for "last and first three trading days of a month"

i've written that i want to run a regression like this: return=c+beta*x where x is our dummy variable which equals 1 for the last and the first 3 trading days of each month ( and 0 for the other days). or don't we need a dummy variable for this? but how can i define x so that it only includes the la...
by pmann
Wed Nov 16, 2011 3:27 pm
Forum: Data Manipulation
Topic: code for "last and first three trading days of a month"
Replies: 18
Views: 11688

Re: code for "last and first three trading days of a month"

ok, it is a little bit clearer now. and i've tried it now...i've converted the workfile and after that i've copied your code in to the window program (file->new->program) and pressed on "run" and than a window appears with the heading "run program" and there is: program name or p...
by pmann
Wed Nov 16, 2011 2:51 pm
Forum: Data Manipulation
Topic: code for "last and first three trading days of a month"
Replies: 18
Views: 11688

Re: code for "last and first three trading days of a month"

ok, thanks a lot! but i havent thought that it is so complicated!! is it much easier if we keep the non-trading days and have a regular five day week? or is it still so complicated? it is very hard for us to understand the code you sent us, so we can't assess if eviews has really done the right thin...
by pmann
Wed Nov 16, 2011 12:14 pm
Forum: Data Manipulation
Topic: code for "last and first three trading days of a month"
Replies: 18
Views: 11688

Re: code for "last and first three trading days of a month"

the weekends are not in our series and if there is a holiday there is just a 0 for the return of that day

and we are not interested in the return of a holiday because it is always zero, so i think it would be better if there is a NA instead of a zero for the holiday
by pmann
Wed Nov 16, 2011 12:05 pm
Forum: Data Manipulation
Topic: code for "last and first three trading days of a month"
Replies: 18
Views: 11688

Re: code for "last and first three trading days of a month"

when i click on range the following appears:

workfile structure typ: dated - regular frequency
frequency: daily - 5 day week
start date: 12/30/1987
end date: 11/01/2011

so we have a 5 day week i think
by pmann
Wed Nov 16, 2011 11:37 am
Forum: Data Manipulation
Topic: code for "last and first three trading days of a month"
Replies: 18
Views: 11688

Re: code for "last and first three trading days of a month"

what do you mean with structure?

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