EViews.com

Hi All,

My question:
If HAC standard error takes into account the auto-correlation, does it mean than we don't have to incorporate lags in a model. Is it possible to use both the HAC std. error and lags in a model?

Thanking you in advance.

Hi, I have to test the halloween-effect in Eviews. The halloween-effect means that the returns in the time november-april are higher than in the time from mai-oktober. What is the right equation for this ? My proposal is: Return=c(1)+c(2)*(@month>=11 or @month<=4) Is this correct ? Yes. If C(2) is ...

Stationary variables, including dummy variables, are never cointegrated. Thank you Startz. You did partially solve my problem. So, you mean to say that it is not possible to examine the effect of say gender (dummy variable) on the long run relationship between two non-stationary variables (assuming...

Hi All, I just wanted to know whether it is possible to use co-integration to examine the long-run relationship between X and Y in Eviews where Y is a dummy variable and X has a unit root. Alternatively, what is the option in Eviews to incorporate the dummy variable Y if I need to examine the long r...

You specified your equation as:

Code: Select all

stock c(1) dummy

You should enter it as:

Code: Select all

stock c dummy

By using c(1) you are telling EViews to use a one period lead on the variable C. Which means there are only 38 valid observations to use.

Thank you so much for clearing out my confusion.

You probably have a different data. You might post your workfile including the equation you've estimated. Thank you startz for the prompt response. I double checked the data for both. Here are the data and equation I wanted to estimate. stock dummy 7.24 1 5.96 1 6.11 1 7.22 1 6.01 1 5.96 1 4.65 0 5...

Hi All, My question may appear to be very trivial one, but I just wanted to figure out why Eviews adjusts the sample even in a simple OLS (this causes difference in intercept and slope coefficients). Here is the result for eviews vs stata for simple OLS. The regressor is a dummy variable. There are ...