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
VARSEL Auto-Search / Gets
Moderators: EViews Gareth, EViews Moderator
VARSEL Auto-Search / Gets
- Attachments
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- Varsel Gets Setup.PNG (13.43 KiB) Viewed 4949 times
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- test_chart.wf1
- (1.23 MiB) Downloaded 176 times
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- Varsel Gets Error.PNG (6.32 KiB) Viewed 4949 times
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13319
- Joined: Tue Sep 16, 2008 5:38 pm
Re: VARSEL Auto-Search / Gets
Yes it is. Eviews 12 latest update
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13319
- Joined: Tue Sep 16, 2008 5:38 pm
Re: VARSEL Auto-Search / Gets
On the options tab of the estimation dialog, make sure you have the "bypass diagnostics failed by GUM" checkbox checked.
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Re: VARSEL Auto-Search / Gets
Great. That did the trick. Thanks a lot. Have a nice evening, Günter
Re: VARSEL Auto-Search / Gets
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.
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.
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13319
- Joined: Tue Sep 16, 2008 5:38 pm
Re: VARSEL Auto-Search / Gets
With only 7 covariates, variable selection of any kind is unlikely to do much.
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