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long runvariance
Posted: Sat Mar 17, 2012 1:59 pm
by selin1000
Hello! I am programming on Eviews and need to compute long run variance in my program at some point. Could anybody tell me what I should write in my code to get "long run variance" of a variable? Thank you so much for your help
Best
Selin
Re: long runvariance
Posted: Sat Mar 17, 2012 2:16 pm
by EViews Gareth
Look up lrcov in the object reference.
Re: long runvariance
Posted: Sat Mar 17, 2012 3:02 pm
by selin1000
Thank you so much! :) I just looked up lrcov, but I am still a bit confused. Basically I am generating a new series x and I want to estimate its long run variance. I typed lrcov(x) but it tells me illegal command. How can I fix this? Thanks a lot again.
Re: long runvariance
Posted: Sun Mar 18, 2012 8:09 am
by trubador
You have two alternatives in this case. The following should yield identical results (with default options):
Code: Select all
wfcreate u 100
series y = nrnd
group g.add y
y.lrvar
g.lrcov
Re: long runvariance
Posted: Sun Mar 18, 2012 11:30 am
by selin1000
Thank you so much, that was so helpful! :) Now I am able to compute long run variance, but I still cant use it in my formula. My code is as follows:
wfcreate u 276
scalar SC
series x=nrnd
x.lrvar
SC=276/x.lrvar*x.lrvar
However, that gives a syntax error. How can I make and use the long-run variance as a scalar value?
Thanks so much again! :)
Selin
Re: long runvariance
Posted: Sun Mar 18, 2012 2:11 pm
by trubador
Code: Select all
wfcreate u 276
scalar SC
series x=nrnd
x.lrvar(out=lv)
SC=276/(lv(1)*lv(1))
Re: long runvariance
Posted: Tue Mar 20, 2012 12:19 pm
by selin1000
Thank you so much! It works great now! I appreciate it :)