Mishkin Test

[EViews Esther]

This thread is about the Mishkin add-in that provides a framework to examine whether the market rationally prices future returns by using the test developed in Mishkin (1983).

The Mishkin Test is a nonlinear maximum likelihood estimation procedure that jointly estimates a linear forecasting equation and a model of market equilibrium pricing.
The add-in will report the LR, Wald, LM test statistics along with the corresponding P-values.

[abbas]

Dears,

Unfortunately, this thread leads to "near singular matrix" with any data. I think you should not restrict the constant to be the same in the two equations.

Thank you

Abbas Aflatooni

[EViews Gareth]

Seems to work for me with the following generated data:

Code: Select all

create u 100 series earnings = nrnd series returns = nrnd series acc = nrnd

Then do a test with earnings earnings(-1) returns(-1) and using returns as the return variable, it seems to work.

I didn't notice a slight bug in the command line version of the add-in though, so I've just fixed that and uploaded it. It will only affect the command line version though.

[nozkan23]

I use Eviews 7. I have already downloaded mishkin add-in. The add-in reports the LR, Wald, LM test statistics along with the corresponding P-values. On the other hand, it doesn't show the estimated coefficients (α1*, b1*, and b2*). In order to get those coefficients what should I do? Do you have Mishkin test code that I can apply and get those coeefficients?
Thank you in advance.

[EViews Gareth]

All Add-ins are just EViews programs. You can look at the code by opening the program. By default they are located in your My Documents folder under EViews Add-ins.

[nozkan23]

Could tell me that how can I find the estimated coefficients (α1*, b1*, and b2*) after using Mishkin add-in. Because the add-in only report the LR, Wald, LM test statistics. Thank you..

[nozkan23]

Could tell me that how can I find the estimated coefficients (α1*, b1*, and b2*) after using Mishkin add-in. Because the add-in only report the LR, Wald, LM test statistics. Thank you..

[EViews Gareth]

All Add-ins are just EViews programs. You can look at the code by opening the program. By default they are located in your My Documents folder under EViews Add-ins.

[nozkan23]

My question is how to get estimated coefficients. Coz Mishkin add-in only reports LR, LM and Wald test results. It does not show me the coefficients. thanks..

[EViews Gareth]

Correct, the add-in does not do that.

[nozkan23]

To get those estimated coefficients what should I do? Because I have to report them in my study. Could you show me the way to get those estimated coefficients, please? Thanks.

[nozkan23]

To get those estimated coefficients what should I do? Because I have to report them in my study. Could you show me the way to get those estimated coefficients, please? Thanks.

[nozkan23]

If there is no solutions for this problem, please let me know. It is a matter of life and death. Thanks..

[EViews Gareth]

The only solution is to re-program the add-in yourself.

[nozkan23]

I am not familiar with the programming. Can anyone help me to deal with this case.