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Cross-sectional ranks
Posted: Wed Sep 08, 2010 11:32 am
by tgoodwin
I have a pool of time series. I want to create a new set of the series where each observation is the cross-sectional rank (at a point in time) across the pool. How do I do this in e-views? Do I have to use matrix operations? Thanks, Tom
Re: Cross-sectional ranks
Posted: Wed Sep 08, 2010 11:44 am
by EViews Gareth
Put them into a group, convert the group into a matrix (@convert), then use the @colranks function to compute the rankings (probably on the transpose). Something like this:
Code: Select all
matrix data = @convert(mygroup)
matrix ranks = @colranks(@transpose(data))
You'll then have to convert the ranks matrix back into a group (mtos)
Re: Cross-sectional ranks
Posted: Wed Sep 08, 2010 12:58 pm
by tgoodwin
Thanks Gareth. :)
Re: Cross-sectional ranks
Posted: Wed Sep 08, 2010 7:27 pm
by tgoodwin
I spoke too soon. When I use @colranks() I get an Error 500 message. And I can't find this function anywhere in the eviews 7 documentation. Is this a discontinued function?
Re: Cross-sectional ranks
Posted: Wed Sep 08, 2010 7:33 pm
by EViews Gareth
make sure your copy of EViews 7 is up to date.
Re: Cross-sectional ranks
Posted: Thu Sep 09, 2010 10:16 am
by tgoodwin
I downloaded an ev7 update and now @colranks works, but there still is nothing in the documentation about it. Is there a @rowranks as well?
Re: Cross-sectional ranks
Posted: Thu Sep 09, 2010 10:30 am
by EViews Gareth
They're sort of hidden functions at the moment (they were added after the release of EViews 7, hence the no-documentation). Rowranks is not yet implemented, which is why you need to use colranks with a transpose. I'll see if I can get rowranks working before the next patch though.