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by tom99163
Mon Jan 10, 2022 10:04 am
Forum: Econometric Discussions
Topic: BVAR forecast s.e. in EViews 11
Replies: 0
Views: 9816

BVAR forecast s.e. in EViews 11

Hi, I have a couple of questions regarding BVAR forecast s.e. EViews 10 allows producing forecast s.e. for BVAR. However, this option is not available in EViews 11. The technical note says "Forecast standard errors are currently only available for non-Bayesian VARs, and are computed via simulat...
by tom99163
Thu Mar 17, 2016 7:17 am
Forum: Estimation
Topic: missing data in sspace
Replies: 3
Views: 2364

Re: missing data in sspace

Thanks, Trubador. My state space model includes both monthly and quarterly series, which require the mixed frequencies setup. I learnt from other software to treat the missing months in the quarterly series as missing observations. Is there a way in the sspace module to handle the mixed frequencies ...
by tom99163
Wed Mar 16, 2016 7:17 am
Forum: Estimation
Topic: missing data in sspace
Replies: 3
Views: 2364

missing data in sspace

Dear all, I have a question regarding how exactly the sspace handle missing data. Based on my experience with other software, I can use a binary indicator (0 or 1) to indicate which observations are supposed to be omitted from the maximum likelihood estimation process. Then, the ML process is modifi...
by tom99163
Tue Dec 03, 2013 1:46 pm
Forum: Programming
Topic: mixed frequency and SSpace
Replies: 1
Views: 1599

mixed frequency and SSpace

Dear All,
I have a question regarding SSpace and mixed frequency (monthly and quarterly).
How do I specify mixed frequency in EViews 8 using SSpace? I have 4 signal equations (3 monthly and 1 quarterly).
I cannot find any clues from the User Manuals. Any insights would be highly appreciated.
Best,
Tom

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