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LENGHT SELECTION: Estimation sample VAR
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VAR Lag Lenght: estimation sample
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How to enter data into a panel workfile.
Hi Gareth,
I am using Eviews 9 and I fetch the follwoing data among others.
This is gives me a pool like workfile as there are some common patterns here, for each series the first two letters refer to the state and the rest to the series.
I tried using a command you suggest in an earlier post, pagestack.
'pagestack(wf=STATE_HP) ?hpi ?hst ?rbtq ?yppq ?ra ?l14 ?fcm30 @ *? *
But with the ? at the start as that is where my cross section identifiers are located. My final results do not resemble a cross section however. Any idea what could be the problem?
fetch(d=usecon) fcm30
fetch(d=regional) ALHPI AKHPI AZHPI ARHPI CAHPI COHPI CTHPI DEHPI DCHPI FLHPI GAHPI HIHPI IDHPI ILHPI INHPI IAHPI KSHPI KYHPI LAHPI MEHPI MDHPI MAHPI MIHPI MNHPI MSHPI MOHPI MTHPI NEHPI NVHPI NHHPI NJHPI NMHPI NYHPI NCHPI NDHPI OHHPI OKHPI ORHPI PAHPI RIHPI SCHPI SDHPI TNHPI TXHPI UTHPI VTHPI VAHPI WAHPI WVHPI WIHPI WYHPI
fetch(d=regional) AKHST AZHST ARHST CAHST COHST CTHST DEHST DCHST FLHST GAHST HIHST IDHST ILHST INHST IAHST KSHST KYHST LAHST MEHST MDHST MAHST MIHST MNHST MSHST MOHST MTHST NEHST NVHST NHHST NJHST NMHST NYHST NCHST NDHST OHHST OKHST ORHST PAHST RIHST SCHST SDHST TNHST TXHST UTHST VTHST VAHST WAHST WVHST WIHST WYHST
fetch(d=uspop) ALRBTQ AKRBTQ AZRBTQ ARRBTQ CARBTQ CORBTQ CTRBTQ DERBTQ DCRBTQ FLRBTQ GARBTQ HIRBTQ IDRBTQ ILRBTQ INRBTQ IARBTQ KSRBTQ KYRBTQ LARBTQ MERBTQ MDRBTQ MARBTQ MIRBTQ MNRBTQ MSRBTQ MORBTQ MTRBTQ NERBTQ NVRBTQ NHRBTQ NJRBTQ NMRBTQ NYRBTQ NCRBTQ NDRBTQ OHRBTQ OKRBTQ ORRBTQ PARBTQ RIRBTQ SCRBTQ SDRBTQ TNRBTQ TXRBTQ UTRBTQ VTRBTQ VARBTQ WARBTQ WVRBTQ WIRBTQ WYRBTQ
I am using Eviews 9 and I fetch the follwoing data among others.
This is gives me a pool like workfile as there are some common patterns here, for each series the first two letters refer to the state and the rest to the series.
I tried using a command you suggest in an earlier post, pagestack.
'pagestack(wf=STATE_HP) ?hpi ?hst ?rbtq ?yppq ?ra ?l14 ?fcm30 @ *? *
But with the ? at the start as that is where my cross section identifiers are located. My final results do not resemble a cross section however. Any idea what could be the problem?
fetch(d=usecon) fcm30
fetch(d=regional) ALHPI AKHPI AZHPI ARHPI CAHPI COHPI CTHPI DEHPI DCHPI FLHPI GAHPI HIHPI IDHPI ILHPI INHPI IAHPI KSHPI KYHPI LAHPI MEHPI MDHPI MAHPI MIHPI MNHPI MSHPI MOHPI MTHPI NEHPI NVHPI NHHPI NJHPI NMHPI NYHPI NCHPI NDHPI OHHPI OKHPI ORHPI PAHPI RIHPI SCHPI SDHPI TNHPI TXHPI UTHPI VTHPI VAHPI WAHPI WVHPI WIHPI WYHPI
fetch(d=regional) AKHST AZHST ARHST CAHST COHST CTHST DEHST DCHST FLHST GAHST HIHST IDHST ILHST INHST IAHST KSHST KYHST LAHST MEHST MDHST MAHST MIHST MNHST MSHST MOHST MTHST NEHST NVHST NHHST NJHST NMHST NYHST NCHST NDHST OHHST OKHST ORHST PAHST RIHST SCHST SDHST TNHST TXHST UTHST VTHST VAHST WAHST WVHST WIHST WYHST
fetch(d=uspop) ALRBTQ AKRBTQ AZRBTQ ARRBTQ CARBTQ CORBTQ CTRBTQ DERBTQ DCRBTQ FLRBTQ GARBTQ HIRBTQ IDRBTQ ILRBTQ INRBTQ IARBTQ KSRBTQ KYRBTQ LARBTQ MERBTQ MDRBTQ MARBTQ MIRBTQ MNRBTQ MSRBTQ MORBTQ MTRBTQ NERBTQ NVRBTQ NHRBTQ NJRBTQ NMRBTQ NYRBTQ NCRBTQ NDRBTQ OHRBTQ OKRBTQ ORRBTQ PARBTQ RIRBTQ SCRBTQ SDRBTQ TNRBTQ TXRBTQ UTRBTQ VTRBTQ VARBTQ WARBTQ WVRBTQ WIRBTQ WYRBTQ
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How to enter data into a panel workfile.
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illegal or reserved name
Dear forum,
when executing the following program:
pagecreate(id,page=type1_type2) @date @srcpage mod_10_l3_m0
scalar nom = 22
!modnumber = 0
table(40+3,5*2*nom) type1type2
for %temp mod_10_l2 mod_10e_l2 mod_0_l2 mod_10_o36_l2 mod_9_l2 mod_9e_l2 3per_l2 3perasy_l2 5per_l2 5perasy_l2 2mom_l2 mod_10_l3_m0 mod_10_o104_l3 3per_l3 3perasy_l3 2mom_l3 5per_l3 5perasy_l3 mod10_o104_l4 mod10_l4_m0 mod10_o104_l4_m0 mo10_o104_l4_m10 '
..............
other code in between
...................
%copydest1 = "type1_type2\"+ %temp +"1"
%copydest2 = "type1_type2\"+ %temp +"2"
copy resultsuptable {%copydest1}
copy resultsstatetable {%copydest2}
pageselect type1_type2
%name1 = %temp+"1"
%name2 = %temp+"2"
type1type2(2,1+5*!modnumber*2) = %name1+"up"
type1type2(2,1+5*!modnumber*2+5) = %name2+"state"
!pos1=1+5*!modnumber*2
!pos2= 6+5*!modnumber*2
{%name1}.copytable type1type2 4 !pos1
{%name2}.copytable type1type2 4 !pos2
!modnumber = !modnumber +1
next
I get for the loop step "3per_l2" the message that "3PER_L21" is an illegal or reserved name in "COPY RESULTSUPTABLE TYPE1_TYPE2\3PER_L21"". The steps before are correctly executed. Is there an error in my code? How do I need to change it?
PS I already tried some name variation for "3PER_L21" e.g.replacing 1 by letters, but to no effect.
when executing the following program:
pagecreate(id,page=type1_type2) @date @srcpage mod_10_l3_m0
scalar nom = 22
!modnumber = 0
table(40+3,5*2*nom) type1type2
for %temp mod_10_l2 mod_10e_l2 mod_0_l2 mod_10_o36_l2 mod_9_l2 mod_9e_l2 3per_l2 3perasy_l2 5per_l2 5perasy_l2 2mom_l2 mod_10_l3_m0 mod_10_o104_l3 3per_l3 3perasy_l3 2mom_l3 5per_l3 5perasy_l3 mod10_o104_l4 mod10_l4_m0 mod10_o104_l4_m0 mo10_o104_l4_m10 '
..............
other code in between
...................
%copydest1 = "type1_type2\"+ %temp +"1"
%copydest2 = "type1_type2\"+ %temp +"2"
copy resultsuptable {%copydest1}
copy resultsstatetable {%copydest2}
pageselect type1_type2
%name1 = %temp+"1"
%name2 = %temp+"2"
type1type2(2,1+5*!modnumber*2) = %name1+"up"
type1type2(2,1+5*!modnumber*2+5) = %name2+"state"
!pos1=1+5*!modnumber*2
!pos2= 6+5*!modnumber*2
{%name1}.copytable type1type2 4 !pos1
{%name2}.copytable type1type2 4 !pos2
!modnumber = !modnumber +1
next
I get for the loop step "3per_l2" the message that "3PER_L21" is an illegal or reserved name in "COPY RESULTSUPTABLE TYPE1_TYPE2\3PER_L21"". The steps before are correctly executed. Is there an error in my code? How do I need to change it?
PS I already tried some name variation for "3PER_L21" e.g.replacing 1 by letters, but to no effect.
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illegal or reserved name
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illegal or reserved name
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illegal or reserved name
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illegal or reserved name
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Johansen cointegration test set up in Eviews 9
Hello,
I have a question regarding a set up of the Johansen cointegration test in Eviews. The process I am planning to follow is below. Could you kindly correct me if anything is wrong.
1) I have three REAL price series that I would like to test for cointegration in EViews 9. Please see the file attached JohansenCoint.docx (initially 54 obs.) The ADF test shows that all three series are I(1)
Visually the series do not exhibit any distinctive trend so it is likely that their non-stationarity comes from being Random Walk ones, i.e. they are neither RW with drift nor series with deterministic trend.
2) In the group dialog window of the Johansen cointegration test I made the following settings (here is my main concern) Please see the dialog box snapshot in the file attached. So I chose 1) No intercept or trend in CE or test VAR and lag intervals 0 1.
Based on the Eviews User my choice means that there is no intercept or detemenistic trend in cointegration VAR (my data support that, it means that there is no B*x(t) term in VAR eq. 47.1 in the User guide http://www.eviews.com/help/helpintro.ht ... _Test.html).
The lag choice 0 1 means that in the VECM equation (user guide eq. 47.2) on the RHS of the equation there is PI*y(t-1) (it corresponds to 0 in the lag selection) and one lag of the 1st difference delta_y(t-1).
What does choice 1 1 mean?
Thank you.
eviews1
I have a question regarding a set up of the Johansen cointegration test in Eviews. The process I am planning to follow is below. Could you kindly correct me if anything is wrong.
1) I have three REAL price series that I would like to test for cointegration in EViews 9. Please see the file attached JohansenCoint.docx (initially 54 obs.) The ADF test shows that all three series are I(1)
Visually the series do not exhibit any distinctive trend so it is likely that their non-stationarity comes from being Random Walk ones, i.e. they are neither RW with drift nor series with deterministic trend.
2) In the group dialog window of the Johansen cointegration test I made the following settings (here is my main concern) Please see the dialog box snapshot in the file attached. So I chose 1) No intercept or trend in CE or test VAR and lag intervals 0 1.
Based on the Eviews User my choice means that there is no intercept or detemenistic trend in cointegration VAR (my data support that, it means that there is no B*x(t) term in VAR eq. 47.1 in the User guide http://www.eviews.com/help/helpintro.ht ... _Test.html).
The lag choice 0 1 means that in the VECM equation (user guide eq. 47.2) on the RHS of the equation there is PI*y(t-1) (it corresponds to 0 in the lag selection) and one lag of the 1st difference delta_y(t-1).
What does choice 1 1 mean?
Thank you.
eviews1
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How to enter data into a panel workfile.
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How to enter data into a panel workfile.
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Lag intervals in Johansen cointegration test
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Basic Rolling Regression
Hi everyone.
So I am trying to forecast the volatility of the S&P 500 and S&P 100 and I need to create a in and out of sample forecast using a rolling regression. However this is my first time using EVIEWS and was wondering what I will need to do before conducting the Roll regression.
At this moment in time, I've collected my data and I have imported it into my EVIEWS workbook and made them into logs. What is the next step for me ? what equation do I need to make? what is the basic roll regression code?
Any help would be much appreciated!
Thank you.
So I am trying to forecast the volatility of the S&P 500 and S&P 100 and I need to create a in and out of sample forecast using a rolling regression. However this is my first time using EVIEWS and was wondering what I will need to do before conducting the Roll regression.
At this moment in time, I've collected my data and I have imported it into my EVIEWS workbook and made them into logs. What is the next step for me ? what equation do I need to make? what is the basic roll regression code?
Any help would be much appreciated!
Thank you.
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State Space model
Dear ALL
I am doing DieBold and Li and putting my sspace modelling, but showing NEAR SINGULAR MATRIX error, could anyone suggest me anything? am I making any mistakes on my equations?
PLS PLS help. Many tnx
@signal _3_month =sv1+( ( 1-exp(-c(26)*3) ) / (c(26)*3) )*sv2+( ( ( 1-exp(-c(26)*3) ) / (c(26)*3) ) - ( exp(-c(26)*3) ) )*sv3+[ename=e_3_month]
@signal _2_year =sv1+( ( 1-exp(-c(26)*24) ) / (c(26)*24) )*sv2+( ( ( 1-exp(-c(26)*24) ) / (c(26)*24) ) - ( exp(-c(26)*24) ) )*sv3+[ename=e_2_year]
@signal _5_year =sv1+( ( 1-exp(-c(26)*60) ) / (c(26)*60) )*sv2+( ( ( 1-exp(-c(26)*60) ) / (c(26)*60) ) - ( exp(-c(26)*60) ) )*sv3+[ename=e_5_year]
@signal _10_year=sv1+( ( 1-exp(-c(26)*120) ) / (c(26)*120) )*sv2+( ( ( 1-exp(-c(26)*120) ) / (c(26)*120) ) - ( exp(-c(26)*120) ) )*sv3+[ename=e_10_year]
@signal _20_year=sv1+( ( 1-exp(-c(26)*240) ) / (c(26)*240) )*sv2+( ( ( 1-exp(-c(26)*240) ) / (c(26)*240) ) - ( exp(-c(26)*240) ) )*sv3+[ename=e_20_year]
@signal _30_year=sv1+( ( 1-exp(-c(26)*360) ) / (c(26)*360) )*sv2+( ( ( 1-exp(-c(26)*360) ) / (c(26)*360) ) - ( exp(-c(26)*360) ) )*sv3+[ename=e_30_year]
@signal _40_year=sv1+( ( 1-exp(-c(26)*480) ) / (c(26)*480) )*sv2+( ( ( 1-exp(-c(26)*480) ) / (c(26)*480) ) - ( exp(-c(26)*480) ) )*sv3+[ename=e_40_year]
@state sv1 = c(10) + c(1)*( sv1(-1) - c(10) ) + c(2)*( sv2(-1) - c(11) ) + c(3)*( sv3(-1) - c(12) ) + [ename=ni_l]
@state sv2 = c(11) + c(4)*( sv1(-1) - c(10) ) + c(5)*( sv2(-1) - c(11) ) + c(6)*( sv3(-1) - c(12) ) + [ename=ni_s]
@state sv3 = c(12) + c(7)*( sv1(-1) - c(10) ) + c(8)*( sv2(-1) - c(11) ) + c(9)*( sv3(-1) - c(12) ) + [ename=ni_c]
@evar var(ni_l)=exp(c(13))
@evar var(ni_s)=exp(c(14))
@evar var(ni_c)=exp(c(15))
@evar cov(ni_l,ni_c)=c(16)
@evar cov(ni_s,ni_c)=c(17)
@evar cov(ni_l,ni_s)=c(18)
@evar var(e_3_month)=exp(c(19))
@evar var(e_2_year)=exp(c(20))
@evar var(e_5_year)=exp(c(21))
@evar var(e_10_year)=exp(c(22))
@evar var(e_20_year)=exp(c(23))
@evar var(e_30_year)=exp(c(24))
@evar var(e_40_year)=exp(c(25))
@param c(26) 0.0609
I am doing DieBold and Li and putting my sspace modelling, but showing NEAR SINGULAR MATRIX error, could anyone suggest me anything? am I making any mistakes on my equations?
PLS PLS help. Many tnx
@signal _3_month =sv1+( ( 1-exp(-c(26)*3) ) / (c(26)*3) )*sv2+( ( ( 1-exp(-c(26)*3) ) / (c(26)*3) ) - ( exp(-c(26)*3) ) )*sv3+[ename=e_3_month]
@signal _2_year =sv1+( ( 1-exp(-c(26)*24) ) / (c(26)*24) )*sv2+( ( ( 1-exp(-c(26)*24) ) / (c(26)*24) ) - ( exp(-c(26)*24) ) )*sv3+[ename=e_2_year]
@signal _5_year =sv1+( ( 1-exp(-c(26)*60) ) / (c(26)*60) )*sv2+( ( ( 1-exp(-c(26)*60) ) / (c(26)*60) ) - ( exp(-c(26)*60) ) )*sv3+[ename=e_5_year]
@signal _10_year=sv1+( ( 1-exp(-c(26)*120) ) / (c(26)*120) )*sv2+( ( ( 1-exp(-c(26)*120) ) / (c(26)*120) ) - ( exp(-c(26)*120) ) )*sv3+[ename=e_10_year]
@signal _20_year=sv1+( ( 1-exp(-c(26)*240) ) / (c(26)*240) )*sv2+( ( ( 1-exp(-c(26)*240) ) / (c(26)*240) ) - ( exp(-c(26)*240) ) )*sv3+[ename=e_20_year]
@signal _30_year=sv1+( ( 1-exp(-c(26)*360) ) / (c(26)*360) )*sv2+( ( ( 1-exp(-c(26)*360) ) / (c(26)*360) ) - ( exp(-c(26)*360) ) )*sv3+[ename=e_30_year]
@signal _40_year=sv1+( ( 1-exp(-c(26)*480) ) / (c(26)*480) )*sv2+( ( ( 1-exp(-c(26)*480) ) / (c(26)*480) ) - ( exp(-c(26)*480) ) )*sv3+[ename=e_40_year]
@state sv1 = c(10) + c(1)*( sv1(-1) - c(10) ) + c(2)*( sv2(-1) - c(11) ) + c(3)*( sv3(-1) - c(12) ) + [ename=ni_l]
@state sv2 = c(11) + c(4)*( sv1(-1) - c(10) ) + c(5)*( sv2(-1) - c(11) ) + c(6)*( sv3(-1) - c(12) ) + [ename=ni_s]
@state sv3 = c(12) + c(7)*( sv1(-1) - c(10) ) + c(8)*( sv2(-1) - c(11) ) + c(9)*( sv3(-1) - c(12) ) + [ename=ni_c]
@evar var(ni_l)=exp(c(13))
@evar var(ni_s)=exp(c(14))
@evar var(ni_c)=exp(c(15))
@evar cov(ni_l,ni_c)=c(16)
@evar cov(ni_s,ni_c)=c(17)
@evar cov(ni_l,ni_s)=c(18)
@evar var(e_3_month)=exp(c(19))
@evar var(e_2_year)=exp(c(20))
@evar var(e_5_year)=exp(c(21))
@evar var(e_10_year)=exp(c(22))
@evar var(e_20_year)=exp(c(23))
@evar var(e_30_year)=exp(c(24))
@evar var(e_40_year)=exp(c(25))
@param c(26) 0.0609
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Maximise a t value for a given amount of lag
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simultaneous editing of program files
I managed to open a text file and execute the textfile as a program file using
text _t
_t.append(file) .\test2.txt
_t.save .\testsave.prg
exec .\testsave
in google docs i can simulateneously edit this document with others, but for some reason, i cannot open the document in Eviews. I can access my GDrive account, but i get the error message
"unable to open file :test2.txt",
when executing the command:
open ":\KVARTS\test2.txt"
opening a workfile through Gdrive works fine (wfopen(2) ":\KVARTS\kvarts.WF1")
Do you know what is causing this error?
Thomas
text _t
_t.append(file) .\test2.txt
_t.save .\testsave.prg
exec .\testsave
in google docs i can simulateneously edit this document with others, but for some reason, i cannot open the document in Eviews. I can access my GDrive account, but i get the error message
"unable to open file
when executing the command:
open "
opening a workfile through Gdrive works fine (wfopen(2) "
Do you know what is causing this error?
Thomas
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simultaneous editing of program files
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Markov switching regime probabilities
I have a Markov switching estimate where if I ask for a graph of the smoothed probabilities the graph is labelled filtered. What's more, if I make series of filtered and smoothed probabilities the reported numbers are identical.
But this only happens for one case, not for others. In the attached file China works fine and Costa Rica exhibits the problem.
...I wish you luck with this one.
But this only happens for one case, not for others. In the attached file China works fine and Costa Rica exhibits the problem.
...I wish you luck with this one.
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Markov switching regime probabilities
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