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hi im getting invalis reurn on "REturn". is there something worng with my eviews7?

Hi,

I have been trying to create my own rolling window using the example from Esther.
My data = (Range 1980M01 - 2011M06, Window 60M)

However, some series have only got 10 years data, which leaves the first samples with only NA-observations. I get an error, but I would like to see NA in the matrix if there are not enough observations. Alternatively a dynamic range based on the first observation. How do I do this?

Second, I couldnt figure out the command "ifirst" in: %start = @otod(@ifirst(ser))

Third, is there a way to grab the probability from a ls regression. @coefs, @tstats. But what about prob?

Jelmer

It might be best to just run the program with maximum errors set to something high. That might just do what you want.

Dear users,

I m recently doing my dissertation and faced with problem in estimation basic rolling GARCh (1,1) process. I have 2500 observation and need to forecast 1 day ahead volatility in rolling form. I will highly appreciate if advanced users provide me assistance in that issue.. I looked guideline but there was no information. In addition I have 6 day remaining to finish my dissertation. So I need your help immediately. Please share any knowledge that you have in that issue


In addition how can I estimate AGARCH in eviews? Iwant to capture asymmetry in time series? ( not by the method of EGARCH and GJR GARCH)
Sincerely


Fariz

Thanks all

Hi all,
I have same question as above

My forecasting equation is: Exchange rate=a_1+a_2*inflation+a_3*outputgap+a_4*real exchange rate+a5*interest rate differential

I want to run the out-of sample forecasting test with both rolling window forecasting scheme and recursive window forecasting scheme.
I have monthly data for all the variables from 1999m01 to 2011m04. And I want to set to estimation rolling window with 96 months from 199901 to 2006m12 and the evaluation window from 2007m01 to 2011mo4.
I want to evaluate the model for every time adding a new observation( one month ahead) by the mean squared prediction error of the linear model compare to the mean squared prediction error of the random walk model (y_t=error_t)

Please can anyone help me with the program code?

Thanks very much.

Dongya

What have you done so far?

What have you done so far?

Hi,
Many Thanks for the reply.

To be honest, I haven't done much. :-(. I am totally new to programming.
But, I have run the test of forecasting equation with data from 1999m1 to 200612.
I have also tried to change the Esther's code to fit my work, but, it didn't work.

I would be thankful if you can show me how to program the code.

Dongya

Your best bet is to read through the programming guides here on the forum, and in the manuals, until you're at a point where you can understand Esther's code, and then modify it to your needs. We'll be happy to help with any specific bugs you encounter along the way.

I'm having some difficulty trying to apply the 4-period-ahead forecasts, based on LS equation. I coppied the whole code and made only 2 adjustments.
My original series is a monthly stock price index from 1980m01 - 2010m12 (372 obs). The equation I want to forecast is just "P c P(-1)". Therefore the only adjustments I made were the equation deffinition(P c P(-1) instead of y c x1 x2) and the number of coefficients of the coefficent matrix (2 instead of 3).

When running the code below I get the following error:
Syntax error in "IF 2002M07 < 2002 M11 THEN"

Could someone please help me out with this?

Please note that there are some changes in the program (see *EDITED). I believe that it should work.

Thanks!!!

Dear Esther,

I have one more question regarding your forecasting model. If I would now like to use a 1-period-ahead forecast rolling regression only, could I simply change the '+2' in '-1' in the following code:

' 4-period-ahead forecast
%4pers = @otod(@dtoo(%start)+!i+!window-1) 'start point
%4pere = @otod(@dtoo(%start)+!i+!window+2) 'end point: %4pere - %4pers +1 = 4

I was wondering if I did this if most of your code then would be redundant or if this would indeed be the correct way to model a 1-period-ahead forecast.

Forgive me if this is a rather 'stupid' question but I am new to programming in Eviews.

Thank you

The difference between start (%1pers) and end (%1pere) points should be 1 so that you can write the program as follows:

Dear Esther,

I had another look at 4-period-ahead forecast code you helped me with but I think it is still not correct.
When running the rolling regression with a window of 20, the spreadsheet gives output from the 13th entry. When adjusting the window this does not change and even with a window of a 100 the first 12 entries show "NA" en then the forecasted regression output is given. If I'm correct, in the case of a window of 20 and a 4-period-ahead forecast, the spreadsheet should give ouput from the 24th entry right? And in the case of a window of a 100 it should be from the 104th entry.

I'm deeply sorry for all these questions but I do not know anyone who could help me.

Thanks!

If I'm correct, in the case of a window of 20 and a 4-period-ahead forecast, the spreadsheet should give ouput from the 24th entry right?

Yes, it is. Can you post your workfile?