EViews.com

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

Don't you just want @quantile?

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

Perhaps you could define a “percentile metric”

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

So use the @quantile function

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

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

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.

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

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,

I'm trying to help, but I don't see why @quantile doesn't do what you want it to. The slight difference is because of the interpolation method, probably (it isn't clear what methods Excel uses for interpolation).

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.

Many Thanks.

Best Regards.