EViews.com

Hi,

I'm trying to figure out how to code summation notation into Eviews 7. See attachment for what exactly I'm trying to do. Basically, this notation creates a time series, where the value for each time period t equals a weighted sum over the next 40 periods. R is a time series.

I've written a loop, but thought there must be a more efficient way to do it.

Thanks for your help,
Matt

I'm not certain how efficient your loops are, but what makes this tricky using the efficient series genr routines is that the weights are only a function of the date offset. I can't think of an easy way to do it without loops, but there are probably more and less efficient ways of doing this.

Here is my loop:

genr z = 0
for !x = 0 to 39
genr zz = r(!x)*(b^!x)*(1 - b)/(1 - b^40)
genr z = z + zz
next


What do you think? Could it be done any better?

That one is pretty good. I'm assuming that (b^!x)*(1 - b)/(1 - b^40) are the weights.

If memory isn't an issue, you might try something like The idea here is to auto-generate all of the weighted series using leads (like you do), but then to use the @rsum to do the actual summation. Might not make much of a difference since it's basically the same algorithm, but it may eliminate some of the overhead. It would be interesting to see how this compares.

The results are identical for the two loops.

Thanks again for your help.

Matt