VARSEL Auto-Search / Gets

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GFXFTS
Posts: 42
Joined: Wed Nov 21, 2018 10:33 am

VARSEL Auto-Search / Gets

Postby GFXFTS » Sun Feb 28, 2021 5:24 am

Hello,

I have tried the new VARSEL function Auto-Search / Gets but always get an error message (see attachment).

I have also attached the way I specified the equations. It works with the stepwise method though.

Would you mind having a look, please?

Thanks a lot,

Günter
Attachments
Varsel Gets Setup.PNG
Varsel Gets Setup.PNG (13.43 KiB) Viewed 4845 times
test_chart.wf1
(1.23 MiB) Downloaded 172 times
Varsel Gets Error.PNG
Varsel Gets Error.PNG (6.32 KiB) Viewed 4845 times

EViews Gareth
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Re: VARSEL Auto-Search / Gets

Postby EViews Gareth » Sun Feb 28, 2021 6:32 am

Is your copy of EViews up to date?
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GFXFTS
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Re: VARSEL Auto-Search / Gets

Postby GFXFTS » Sun Feb 28, 2021 7:00 am

Yes it is. Eviews 12 latest update

EViews Gareth
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Re: VARSEL Auto-Search / Gets

Postby EViews Gareth » Sun Feb 28, 2021 8:30 am

On the options tab of the estimation dialog, make sure you have the "bypass diagnostics failed by GUM" checkbox checked.
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GFXFTS
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Re: VARSEL Auto-Search / Gets

Postby GFXFTS » Sun Feb 28, 2021 10:02 am

Great. That did the trick. Thanks a lot. Have a nice evening, Günter

JimForest
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Re: VARSEL Auto-Search / Gets

Postby JimForest » Sun Mar 20, 2022 4:37 pm

I'd like to make some suggestions to improve this and make it more like Autometrics.

First, I'd suggest that when the GUM fails a test and gives and error that EViews suggest to use indicator saturation methods. A message could be "GUM failed X specification tests : List of tests failed: X1, X2, etc.. Consider using indicator saturation.

I see that you have already added indicator saturation. What Autometrics does is to include all possible saturates in the GUM.

Currently there is no box in the options tab to do indicator saturation.

Perhaps, rather than having GETS as its own module, selected under "Method." Maybe in the regular least squares method you can add the VARSEL options to the options tab, with saturation.

I like the features you added in version 12, but I'm having difficulty with the implementation of them. Right now, when I use GETS or LASSO in VARSEL it is retaining all variables with the default settings.

Variable Coefficient Std. Error t-Statistic Prob.

C 0.002378 0.034117 0.069707 0.9445
MKT_RF -0.000353 0.008276 -0.042700 0.9660
SMB 0.001946 0.000253 7.696785 0.0000
HML -0.000637 0.000286 -2.227685 0.0271
MOM 0.000592 0.000228 2.602133 0.0100
CH_10YR -0.010941 0.016475 -0.664116 0.5074
CH_CRDSPR -0.005726 0.004796 -1.194071 0.2339


If you could please advise, it would be helpful.

EViews Gareth
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Re: VARSEL Auto-Search / Gets

Postby EViews Gareth » Sun Mar 20, 2022 6:35 pm

With only 7 covariates, variable selection of any kind is unlikely to do much.
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