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Weighted Dependent Variable - Linear Regression

April 11, 2017, 11:51 am
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In panels, you'll have to do the weighting yourself.

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Monthly data by quarter

April 11, 2017, 1:33 pm
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series x = @recode(y=na, x(-1), y)


I think I did this wrong because only 1 NA gets filled or the whole series is NA. So x is the old series and y is the new series?

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Gregory-Hansen Cointegration Test

April 11, 2017, 3:15 pm
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Hello Trubador,

Thanks very much for your code.

I'm using EViews 9 and I got the following error message:
"Near singular matrix error. Regressors may be perfectly collinear in "DO_ GHC.LS Y C (@TREND>9-2) G"
I've tested for different values of scalar Model (2 to 4); the same error message appears.

Please find attached my data and the program.

Many thanks!
breakpts.WF1

coint_greghansen.prg


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Gregory-Hansen Cointegration Test

April 11, 2017, 3:33 pm
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Hello Trubador,

I found this post; Thinking my problem was related, I run you suggestion but I still get the same error message.

Thanks again.

Capture.PNG


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Gregory-Hansen Cointegration Test

April 11, 2017, 3:34 pm
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(@TREND>9-2) is constant in your sample period.

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Monthly data by quarter

April 11, 2017, 3:41 pm
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The reverse, x is the new series and y is the old series.

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Override/exclude in a model

April 11, 2017, 7:49 pm
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Hi!

I sidetracked from this issue and am faced with it again.

So, I managed to exclude the series from my model. It solves.

But, do you have to rerun the model to use override?

If the excluded series is called series1, what should the override be called? I assume the override will be the trajectory series I want.

Would appreciate more explanation on this as the object reference to do this is confusing me.

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Override/exclude in a model

April 11, 2017, 9:59 pm
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If the series you are overriding is called "Y" and the scenario under which you are overriding it has an alias of "_1", then the series containing the overriding values must be "Y_1". You must create that series in the workfile first (and fill it with the values you wish Y to use).

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determining dynamic factors

April 11, 2017, 10:29 pm
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To be more specific, I want to find the Spectral Decomposition of the eigen values of the residual covariance of the VAR. Any clue?

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determining dynamic factors

April 11, 2017, 2:51 am
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Hi,

I am trying to implement a dynamic factor model to choose the dynamic factors based on Bai and Ng (2007) criterion. for which, I need the residual co variance of the VAR in the static factors. So does that mean, we have to run a VAR on all the static factors taken together? If so what is the dependent variable? or, should we be running a VAR on factors one by one and then use the make resid option within Eviews?

Thanks in advance, any help will be appreciated.

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determining dynamic factors

April 11, 2017, 10:29 pm
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To be more specific, I want to find the Spectral Decomposition of the eigen values of the residual covariance of the VAR. Any clue?

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Panel data cointegration

April 12, 2017, 8:46 am
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Hi,

I am estimating causality between 4 variables in panel data and part of the process includes testing for cointegration. When I test for Johansen-Fisher cointegration through Quick>Group Statistics>Johansen Cointegration Test, I get different results from when I set-up a VAR with my 4 variables and then go to View>Cointegration test.

Is there a reason for which this is happening and if so, which output should I follow?

I am using EviewS 9. The two different outputs are attached.

Thank you for your help.

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Panel data cointegration

April 12, 2017, 9:04 am
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The VAR/VEC estimator and corresponding test is doing nothing panel related, whereas the group cointegration test is doing the panel version of the tests.

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Panel data cointegration

April 12, 2017, 9:14 am
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Therefore, I should follow the Group Statistics cointegration test.

Thank you for your reply!!!

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Gregory-Hansen Cointegration Test

April 12, 2017, 10:00 am
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Hello startz,

Thanks for your prompt reply.

Sorry, I can't grasp the implications of your answer. What should I do to fix the problem?

Best regards, Mara

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State space number of iterations

April 12, 2017, 10:05 am
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Hi,

I still have the problem but I wasn't getting good results so I decided to move to another model, specifically the one presented in this paper: https://www.imf.org/external/pubs/ft/wp/2015/wp15144.pdf, which is similar to the one I was trying to estimate. I have one question though: some of the state equations include contemporaneous values of other state variables (see for example equation 2 and 3, page 7) and expectations (equations 16 and 17, page 9) so this would imply including leading values. Is it possible to estimate this model in Eviews? Is there a way around these issues?

Thank you.

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Monthly data by quarter

April 12, 2017, 10:24 am
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Gregory-Hansen Cointegration Test

April 12, 2017, 10:43 am
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Perhaps just delete that variable.

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ardl command - error message

April 12, 2017, 11:28 am
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Hi there,

I'm getting the following error message : "Equation or VAR specification is incomplete in "EQUATION
REERNFA_AU.ARDL(DEPLAGS=3, REGLAGS=3, FIXED) REERLN_AU NFA_AU TOTLN_AU"

When running the command: equation reernfa_au.ardl(deplags=3, reglags=3, fixed) reerln_au nfa_au totln_au
I've tried different things (i.e. declaring the equation before running the command) to no avail.

I'm using EViews 9.

Best regards.

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ardl command - error message

April 12, 2017, 11:34 am
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Works for me:
Code:

wfcreate m 1990 2020

series reerln_au=nrnd
series nfa_au=nrnd
series totln_au=nrnd


equation REERNFA_AU.ARDL(DEPLAGS=3, REGLAGS=3, FIXED) REERLN_AU NFA_AU TOTLN_AU


Is your copy of EViews up to date?

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