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Hi there I wanted to perform a Bai and Perron test with a trimming parameter of 25 and a maximum number of breaks equal to 5. My sample is 330 observations. I get the following error message: Invalid specification for the maximum number of breaks given the sample size and trimming percentage (must b...

Thanks for your clarification.

Hi there I first simulated AR1 data and then estimated the model using OLS and ML on a sample that ignores the first observation. The model: y_t = b*y_t-1 + e (so we estimate two parameters, the b and the variance of the error term) I obtain the same log likelihood in the two outputs. The reported A...

I think there was a small error in the code related to the interpolation of two gaps... The following code produces exactly the same as the ipolate command. create u 100 rndseed 1 series y=nrnd smpl if nrnd>0.8 y = na smpl @all series temp=y ' Interpolate y with the built in command (so this will al...

Thanks for providing the program.

Cheers

Dear All I want to interpolate a series but it can only interpolate if the number of missing observation is 3 or smaller. So for example if I have a series like this: 14.6301 NA NA 16.969 NA NA NA NA NA 18.4762 20.5717 then the command should interpolate the first gap but not the second gap. Any ide...

Brilliant! Thanks you so much for this. Very much appreciated!

Best
s

Ok great. Thanks!

I am using about 630 observations. Do you think that is not enough?

Best
S

Hi Startz

Thanks for your answer. So how can I calculate it then? I looked online and textbooks, but was unsuccessful in finding an answer. Any references?

Best
s

HI there I estimated a GARCH model and now I want to calculate the variance covariance matrix of the coefficients (I can obtain this by View -> Covariance matrix). HoBut how is this calculated in Eviews? As there is a constant in the mean and variance equation, X'X is not invertible, where X is a ma...

Hi there I estimated a GARCH model and wanted to replicate the S.E. of regression. The formula given in the help for this statistic is given by square root of (Residual sum of squares)/(Nr of observations - number of regressors) . I noticed, however, that Eviews uses only the coefficients in the mea...

Hi EViews Glenn

Thanks for you reply. What do you mean with "appropriately centered version of the coefficients"? Or if this is too complicated to explain here, do you have any references on this issue?

Cheers
Steven

Hi All

I wondered how Eviews calculates the p values if it estimates a model with maximum likelihood (the logl object) and the error distribution is assumed to be a t distribution (the degrees of freedom are also estimated by ml).

Thanks for your help!

Best
s

I tried a number of things (using @recode, if structure...), but unsuccessful :( So my problem occurs when I want to estimate up to an ARCH(6) model with output growth data. My program first estimates an ARCH(1), then an ARCH(2)... When it wants to estimate the ARCH(5) model then it breaks down. The...

Hi Trubador

I have looked on the forum, but did not find anything about constraining a dependent variable such as the variance in a GARCH-M model.

Would it be possible to point us in the good direction?

Cheers
S