Probit Regression [Parameter Stability]

August 5, 2015, 5:42 am

≪ Previous: Pooled Mean Group (PMG) Estimation

On more thing trubador (sorry to rebump old thread):

My restricted model which has data from all three seasons has 16 parameters whereas each season modelled separately has 14 (since we drop the 2 season dummies when modelling each season separately).

Therefore on the first line of code ( scalar dof = (3-1)*number of variables including constant)

Would the number of variables including the constant be under the restricted or unrestricted model i.e 16 or 14?

Thanks!

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mtos

August 5, 2015, 7:11 am

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≪ Previous: Probit Regression [Parameter Stability]

thank you both for the clarifications - really helpful

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ADF Unit Root Test

August 5, 2015, 7:34 am

≫ Next: Why MAE and RMSE are the same

≪ Previous: mtos

Hi,

I'm trying to perform the ADF Unit Root Test, but I get this error:
"Insufficient number of observations encountered in UROOT".

What should I do?

HB

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Why MAE and RMSE are the same

August 5, 2015, 7:58 am

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Hello all,

I am doing recursive window to forecast stock return. After obtain predictions, I use RMSE, MAE, MAPE, Theil to evaluate the performance.

But I found that the results of MAE and RMSE are totally the same, and some of Theil value is 1.

I do not know whether these are correct? Could anyone can help me check it.

Code:
%y = "stock"      'y is stock return
%x1 = "div2"   'x1 is dividend yield
%x2 = "sir"    'x2 is short-term interest rate
%x3="ipg"    'x3 is industrial production growth

'stock regression 1 step ahead
for !i=0 to 124-1    'estimate the regression 124 times
smpl 1980m2 2004m12+!i   'recursive-sample starts at same place
                         'sample is extended by 1 obs each time
equation stkreg1s{!i}.ls {%y} c {%x1}(-1) {%x2}(-1) {%x3}(-1)
stkreg1s{!i}.makeresid stkreg1sres
smpl 2005m1+!i 2015m04   'set forecast sample
stkreg1s{!i}.forecast(f=na) tmp_stkreg1sfcst
series stkreg1sfcst
stkreg1sfcst = tmp_stkreg1sfcst
next

'forecast evaluation
%y="stock"
scalar mape = @mape(stock, stkreg1sfcst)
scalar mae = @mae(stock, stkreg1sfcst)
scalar theil = @theil(stock, stkreg1sfcst)
scalar RMSE = @rmse(stock, stkreg1sfcst)

By the way, which one of the following two is correct?
scalar RMSE = @rmse(y, yfcst)
scalar RMSE = @rmse(yfcst, y)

Thank you very much!

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Switch Regression Model Problem

August 5, 2015, 8:12 am

≫ Next: generating missing values in starting and end of series

≪ Previous: Why MAE and RMSE are the same

What's the version and build date of your copy of EViews?

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generating missing values in starting and end of series

August 5, 2015, 8:12 am

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≪ Previous: Switch Regression Model Problem

Your question isn't clear.

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ADF Unit Root Test

August 5, 2015, 8:13 am

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Try it with more observations.

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Pooled Mean Group (PMG) Estimation

August 5, 2015, 8:13 am

≫ Next: Why MAE and RMSE are the same

≪ Previous: ADF Unit Root Test

Try emailing it to support@eviews.com

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Why MAE and RMSE are the same

August 5, 2015, 8:21 am

≫ Next: Why MAE and RMSE are the same

≪ Previous: Pooled Mean Group (PMG) Estimation

You are computing the forecast evaluation statistics over a single value. That's what causes them to be identical.

For RMSE it doesn't matter which order you put the series in.

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Why MAE and RMSE are the same

August 5, 2015, 8:32 am

≫ Next: Why MAE and RMSE are the same

≪ Previous: Why MAE and RMSE are the same

Thanks for your reply.

This is a recursive window forecasting. If I want to forecast 1 step ahead from 2005m01 to 2015m12, then how to modify the program?

Will the forecast in menu have the same result of programming?

Besides that, I use the data from prediction and compare it with actual data and computing RMSE and MAE manually, the result is totally different with the one programming generated. Driven crazy... :cry:

Thanks again.

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Why MAE and RMSE are the same

August 5, 2015, 8:36 am

≫ Next: Why MAE and RMSE are the same

≪ Previous: Why MAE and RMSE are the same

Change the sample before calculating the evaluation statistics.

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Why MAE and RMSE are the same

August 5, 2015, 8:40 am

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≪ Previous: Why MAE and RMSE are the same

The result I obtained from the programming is a little strange, can I do the forecast from the menu after finish the regression. It is much simpler and the result seems to be more satisfied.

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ADF Unit Root Test

August 5, 2015, 8:43 am

≫ Next: Why MAE and RMSE are the same

≪ Previous: Why MAE and RMSE are the same

don't have anymore.

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Why MAE and RMSE are the same

August 5, 2015, 8:59 am

≫ Next: Switch Regression Model Problem

≪ Previous: ADF Unit Root Test

If you want to.

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Switch Regression Model Problem

August 5, 2015, 9:52 am

≫ Next: Switch Regression Model Problem

≪ Previous: Why MAE and RMSE are the same

Eviews 8 Standard Edition May 2013

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Switch Regression Model Problem

August 5, 2015, 10:01 am

≫ Next: generating missing values in starting and end of series

≪ Previous: Switch Regression Model Problem

Very out of date. Update to the latest version of 8.

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generating missing values in starting and end of series

August 5, 2015, 11:20 am

≫ Next: generating missing values in starting and end of series

≪ Previous: Switch Regression Model Problem

Sir ,

I have different variables like health expenditure and education of brics countries and data series is from 1990 to 2014. But values are missing from 1990 to 93 and from 2013-14.
I wanted to know how can I generate these missing value so that I can apply my tools.

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