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GMM estimation

July 1, 2016, 6:08 am
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Heii!!!

I would be glad if anyone could help me with this GMM estimation.
I want to estimate the below model.

Y =α +β1 X + β2 Y(-1) + β3 Z + β4 X*Z

where X is a dummy variable.

Since one lag of the dependent variable is a regressor, should it be the instrument?
(I have attached the equation window)

What should I write in the instrument column?

Thank you.
Lahchey

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Retrieve Date String from Dummy Variables & Make Trend

July 1, 2016, 8:17 am
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Code:

!val = @dtoo(mydate)
series dum2 = @trend-!val


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Monte Carlo Simulation with AR(1)-Processes

July 1, 2016, 8:18 am
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Object names cannot have periods in them.

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MIDAS

July 1, 2016, 9:07 am
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Not sure on the documentation.


With regards to FRED, the data stored by FRED can be changed at any time, so there is no way to guarantee the data will be the same.

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Shock to an exog. variable in a VAR (VARX)

July 1, 2016, 9:34 pm
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EViews Gareth wrote:Not quite sure what you're trying to do, but if you want to see how the endogenous variables change with a shock to an exogenous variable, the only way to do it is by turning your VAR into a Model, solving the model, then change the value of the exogenous variable and go again.


Hi Gareth,

Do you know how to add confidence interval after obtaining the response?
I have been trying to find a solution for a long time. Please help.

Thanks.

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Estimation of Restricted Cobb-Douglas Production Function

July 1, 2016, 11:58 pm
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this si the translog cost function
ln(C(q;wL,wK,wM)) = c + cq * ln(q) + cL * ln(wL) + cK * ln(wK) + cM * log(wM)
+ .5 * [dqq * ln(q)^2 + dLL * ln(wL)^2 + dKK * ln(wK)^2 + dMM * ln(wM)^2]
+ .5 * [(dLK + dKL) * ln(wL)*ln(wK) + (dLM + dML) * ln(wL)*ln(wM) + (dKM + dMK) * ln(wK)*log(wM)]
+ dLq * ln(wL)*ln(q) + dKq * ln(wK)*ln(q) + dMq * ln(wM)*ln(q)
and the restrictions are:
1 = cL + cK + cM
0 = dLL + dLK + dLM
0 = dKL + dKK + dKM
0 = dML + dMK + dMM
0 = dLq + dKq + dMq
0 = dLq, 0 = dKq, 0 = dMq, 1 = cq

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Passing arguments to programs

July 2, 2016, 1:06 am
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Thanks.
For some reason I thought I couldn't call a subroutine from within a subroutine.

So if I want the SUBROUTINE in a program for later reference, I can use a INCLUDE-command, and then CALL it in the program.

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DCCGARCH11

July 2, 2016, 5:38 am
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Dear trubator

I would like to ask about whether there are diagnostic tests on the DCC-GARCH add-in in Eviews? This is because i couldn't find these when using the add-in. Can you help me please?

Thank you!

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Estimation of Restricted Cobb-Douglas Production Function

July 2, 2016, 6:44 am
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Then yes, "c(4)" = 1 -c(2) -c(3)

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Panel Regression: Hausmann Test Discussion

July 2, 2016, 8:36 am
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Dear Community,

I run a panel regression model and wanted to decide whether fixed effect or random effect specification is appropriate.
In most of my previous regression models the answer was quite obvious.
Unfortunately, right now the answer is kind of ambigious.

The Null Hypothesis for the Hausmann Test is rejected for the cross section but not rejected for the period.
When I run a Redundant Fixed Effects - Likelihood Ratio Test, the result shows that I need a period fixed effect.

Now my question: What is the appropriate model specification.
Do I use a cross section radom effect model or a period fixed effect model.
In my opinion both specifications are justified, but I am quite sure that this is the wrong answer.

What is your opinion for this case??

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Having problem with estimating ces production function

July 2, 2016, 11:10 am
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Hi,

I need to estimate CES production function like log(Y)=log(aK^-p+(1-a)*L^-p)/(-1/p)+yt+e. I am trying to estimate but cant get a result. I did Cobb-Douglas but have trouble with CES production function.

Great thanks in advance

Kanan

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Having problem with estimating ces production function

July 2, 2016, 12:09 pm
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Nobody here can guess what you did. Post as many details as possible about what you did and what went wrong and someone may be able to help.

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Having problem with estimating ces production function

July 2, 2016, 12:34 pm
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startz wrote:Nobody here can guess what you did. Post as many details as possible about what you did and what went wrong and someone may be able to help.


Thanks for reply,

I read from one source that i can estimate CES production function on eviews like this

Y = C(1)*(C(2)*K^(-C(3)) + (1− C(2)) *L^(-C(3))) ^(−1/C(3))

but it didn't work, I get NA in my st errors and probabilties. So i need to know how can I correctly write this equation that would work. I need to estimate the equation that i first posted and there is a trend also considered i guess.

thanks again,

Kanan

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Having problem with estimating ces production function

July 2, 2016, 1:37 pm
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Try changing the starting values in the c() vector.

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Having problem with estimating ces production function

July 2, 2016, 3:46 pm
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startz wrote:Try changing the starting values in the c() vector.


Sorry, I didn't fully get what you mean. I changed the order of c and started from 2, in addition I changed the starting value of one of the variables but still didn't get any result. Is the above writing ok? If so the coefficients should be similar to Cobb-Douglas function, but i get NA in probabilities and R2 is negative large number greater than 100.

Maybe I didn't understand you correctly. Would be glad for any help.

Thanks

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Having problem with estimating ces production function

July 2, 2016, 4:16 pm
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In the workfile window you'll see an object named "c". That's where EViews stores coefficients. Go in an change the values to ones you think might be reasonable before you start the estimate. (The order of the coefficients doesn't matter.) Sometimes this helps in nonlinear estimates. If that doesn't work, you might want to post your workfile, including the equation you've estimated.

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Having problem with estimating ces production function

July 2, 2016, 4:52 pm
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Thanks for your help,

I tried but still R2 is not getting a value that should be. I have uploaded the work file. The equation need to estimated is like this

log(GDP)=log(a*Capital^-p+(1-a)*Labour^-p)/(-1/p)+yt+e

It is a log written version of ces production function. Capital is with t-1. I will put the picture of the equation as well.


Thank you again

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Having problem with estimating ces production function

July 2, 2016, 4:53 pm
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This is the picture from a paper.

Thanks

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Having problem with estimating ces production function

July 2, 2016, 5:07 pm
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I don't think you've done anything wrong. The solution is highly sensitive to the starting values. For example, if you add in the trend term and start at c=1, you get a perfectly nice estimate...it just isn't the same estimate as in the picture.Getting a reliable nonlinear estimate with only 24 observations is tough. Sometimes there's nothing to do but stat estimates at lots of different values and see which one is best. Alternatively, one can plot the likelihood..but EViews isn't the right software for that.

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Need tutrial GMM time series

July 2, 2016, 6:21 pm
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Dear admin..

i have a reasearch about inflation and i have an endogenity variable. this model was solved by GMM time series. i am a newbie in eviews and need tutorial about estimate GMM and reading J statistic and testing the GMM Model.Thank You advanced

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