PERCENTILE

[cristianlb]

Hi there, I hope you are keeping well.

I need to get the percentil 1% of a return serie and it is not possible. I receive the message "@PCTILES is an illegal or reserved name". I am employing the following instruction:

scalar perc_rprice=@pctiles(rprice,0.01)

I saw a couple of post about it and the solution is use rank or quantil instead of percentile. Nevertheless, these are not the solution that I need. Please find attached my workfile (Eviews 10).

Please your support and comments.
Many thanks

[EViews Gareth]

Don't you just want @quantile?

[cristianlb]

Hi, thanks for your message.

I must obtain a percentile metric. Please tell me if Eviews is able to do that and how can I do it.

I await your comments.
Many thanks.
CSS

[EViews Gareth]

Perhaps you could define a “percentile metric”

[cristianlb]

I need to get the percentil 1% of a return serie and it is not possible. I receive the message "@PCTILES is an illegal or reserved name". I am employing the following instruction (Eviews 10):

scalar perc_rprice=@pctiles(rprice,0.01)

Please find attached my file.

I await your comments.
Many thanks

[EViews Gareth]

So use the @quantile function

[cristianlb]

mmmm, but you are not clearing my doubt. could you do it?.
Thanks

[EViews Gareth]

I don't know what your doubt is, so I cannot clear it.

[cristianlb]

Sir,

I imagine that you have used excel. Excel has a function percentile. Please find attached a file with an example of a return series. Sheet2: percentil 1% = -2,96%

Can Eviews replicate this simple calculation and how can do it?. Also, again I have attached eviews workfile in order to do this calculation.

Please explain clearly how can I use the function @pctiles.

I await your comments.

[EViews Gareth]

Have you tried @quantile? It does the same thing as the percentile function in Excel.

[cristianlb]

yes I did. and the result is not the same.

So, for "n" times, could you please give any useful support about my questions?.

Thanks,

[EViews Gareth]

I'm trying to help, but I don't see why @quantile doesn't do what you want it to.

2020-01-07_102320.png (309.88 KiB) Viewed 14995 times

The slight difference is because of the interpolation method, probably (it isn't clear what methods Excel uses for interpolation).

[EViews Matt]

After a quick empirical check, it appears that Excel is using the van der Waerden interpolation method. That isn't the default interpolation method for EViews, but it is available, e.g.

Code: Select all

scalar perc_rprice=@quantile(exceldata,0.01,"v")

[cristianlb]

Many Thanks.

Best Regards.