Questions tagged [eviews]
Commercial statistical package for general statistical analysis and econometric analyses.
88 questions
0
votes
1
answer
30
views
Need help F-statistics requirment
I was working on the thesis and was stuck in the F test, I used a probability value of 0.05 or 5% before but my test results were not enough or exceeded the conditions. Now I want to try using a ...
- 1
1
vote
0
answers
22
views
ARIMA with multiple series [closed]
i would like to conduct forecast time series ARIMA model about the disease outbreak on eviews using temp and rainfall as exogenous variable. I am able to forecast all of them alone but not with the ...
- 11
0
votes
1
answer
69
views
What tests should be done before running a multiple regression model on balanced panel data?
I am currently a graduate student working on writing my master’s thesis. The master's thesis includes conducting a regression model on a set of bank data, which includes financial indicators for the ...
1
vote
0
answers
57
views
Different PACF plots with different statistical software
I was attempting to replicate the results of a paper and ran PACF plots through R Studio, Stata, and EVIEWS for the UK debt-to-GDP ratio. I received quite different plots in return. Can anyone shed ...
- 107
1
vote
1
answer
80
views
Can i add dummy variables before testing the residuals for normality?
I am using eviews 13 and I want to run these equations
Co c yd yd(-1)
Co c yd co(-1)
With quantile regression I want to test the residuals for normality and ...
- 21
0
votes
1
answer
54
views
Why the result of forecasting GARCH being constant?
I am new to researching modeling and forecasting using the GARCH model. So I am still confused about the result that I get. I forecast stock return volatility using Eviews. The best ARIMA model in my ...
- 1
1
vote
0
answers
19
views
EViews Maximum Likelihood Output, Coefficient C(3) [closed]
I would like to estimate the following model in EViews using ML:
y_i = x0 + x1*beta_i + epsilon_i
I get three values as output: C(1), C(2) and C(3)
I think the meaning of C(3) is that it is the mean ...
- 11
2
votes
1
answer
795
views
Can a Variable Be Both Dependent and Independent?
We can see that the GDP growth, represented by "y" is the dependent variable and independent variable. I would like to perform quantile regression in Eviews, with ...
- 161
0
votes
0
answers
192
views
vector error correction model results
First i checked the cointegration using Johansen. After that i estimated a VECM model using both b_r and b_f as the left hand variable and it gave me different results. the error correction term are ...
0
votes
0
answers
394
views
Error Correction model and vector error correction model and their error correction terms
(1) What is the difference between these two ina bivariate variable? I know that VECM caters to more than one cointegrating vectors but equation wise what is difference between these two? Both uses ...
0
votes
0
answers
235
views
Estimate GARCH model in EViews after removing missing data
I want to estimate daily stock prices and natural gas data with using GARCH in EViews. There are some missing days (like holidays etc.). When I extract them from the data set, ARCH is not working. ...
1
vote
1
answer
1k
views
What is the speed of adjustment for two cointegrating vectors?
I have estimated a VECM model in EViews and using the Johansen test I obtained that there were cointegration vectors. The output for the short-run equation of VECM contains two error correction terms ...
- 23
2
votes
2
answers
3k
views
Independent Variable has same value
i'm doing a regression using EViews, but one of eight independent variable has the same values for all sample and shows near singular matrix error, my supervisor said that it still could be done as ...
- 23
0
votes
1
answer
69
views
VECM terms of variables
I have estimated a VECM model of 4 endogenous variables and 3 exogenous, before solving my model, I would like to introduce another variable (endog, let's say (X)) which is calculated with a formula ...
4
votes
1
answer
365
views
Why is the intercept different in an AR(1) model compared to a lagged endogenous variable model? [closed]
In other words, why is that when estimating in EViews
y = c ar(1)
yields a different coefficient for c when compared to
...
- 41
0
votes
0
answers
290
views
How to select ARIMA model with cyclic ACF?
My annual time series has following ACF/PACF structure.
Based on what ARIMA model should be selected here? Exponential decreasing of ACF --> AR(4) probably? Or because of periodical ACF maybe SMA? ...
- 101
0
votes
0
answers
25
views
Equivalent of addfactors in R - Or, how to manually adjust a portion of a forecast
We currently use eviews for our forecasts. Our models tend to perform OK over a longer timeframe but perform dreadfully in the shorter term. Typically, we will overwrite these numbers to adjust the ...
- 85
0
votes
0
answers
167
views
How should I interpret the output of CGARCH Model in Eviews? C3, C4, C5, C6 and C7
I am trying to understand how I should interpret the coefficients of CGARCH model. My topic is related to stock market volatility
- 1
2
votes
0
answers
89
views
Relationship among futures, options and stock prices [closed]
I have the data of past 10 years of NIFTY (the National Stock Exchange of India) stock, futures and options and I want to show the lead-lag relationship (which reacts first, futures, options or stocks)...
2
votes
0
answers
99
views
How to estimate this heterogeneous asset pricing model in eviews?
I'am trying to estimate a heterogeneous asset pricing model for my thesis in eviews. It is a model with these two equations, where I want to estimate the coefficients $b_1$, $b_2$ and $\beta$;
\begin{...
1
vote
1
answer
716
views
Understanding Hypothesis tests for a Pareto distribution
I'm writing an essay that's looking at the presence of the Pareto Principle in data. Unfortunately, as a consequence of interest, I've picked a topic that involves statistical analysis well above what ...
- 11
1
vote
2
answers
227
views
Forecasting 75 steps into the future ARIMA(1,1,1) Model EViews [closed]
Good afternoon,
I have an economics time series of around 3300 daily observations that go over 10 years.
I already developed and ARIMA(1,1,1) Model based on the autocorrelation and partial ...
- 129
0
votes
1
answer
740
views
Interpretation of LM statistic and J-Bera statistic
How should I interpret the results of autocorrelation and normality from the tables enclosed herewith?
- 1
3
votes
1
answer
149
views
Including a variable in a regression but NOT estimating its coefficient
I came across a curious problem trying to replicate a paper. The results in the paper were estimated using Eviews, which I am not familiar with. I noticed the author specified (by formula) and ...
- 41
0
votes
0
answers
1k
views
How can i correct or interpret a negative but an insignificant error correction term?
The variables that are used for cointegration are I(1). I got the error correction term as negative but it not significant. So how should i proceed for the results?
- 1
0
votes
0
answers
38
views
How can i correct a variable that is significant for the same model in one year and not in the other year?
I need some help with my master's dissertation.
I am using a simple regression, often used in literature that establishes a relationship between ...
0
votes
0
answers
67
views
Econometrics: Creating Impulse Response Functions
I am currently busy studying asymmetric price transmission in the global stainless steel value chain.
I have not been able to replicate the impulse response functions that are shown below.
I am more ...
1
vote
1
answer
204
views
Arellano Bond estimator
I am trying to estimate an equation in levels with the lagged dependent variable on the right hand side.
I am looking at using arellano bond estimator for this. My issue is that I am looking for ...
- 11
1
vote
1
answer
735
views
Deriving the Cointegrating Equation in a VECM model
I am teaching myself econometrics and I am having trouble understanding how the cointegrating equation in VECM is derived.
Lets say we have two variables, Consumption and Income. As I understand it, ...
- 13
6
votes
2
answers
3k
views
Eviews : How to test for cointegration in the right way
I am studying ECM alone using a book and some parts are not explained.
First, the book advise to test for a unit and for the order of integration of the series. In eviews options are not pretty clear ...
- 113
1
vote
0
answers
1k
views
Not available with this estimation method (ARMA ML) error message in eviews
I tried a Breusch–Godfrey LM test on an ARMA Maximum Likelihood model in eviews and I got the following error message:
Not available with this estimation method (ARMA ML).
I re-estimated the ...
- 163
0
votes
0
answers
346
views
Cointegration - Interpretation of result
When performing Johansen cointegration test between two I(1) variables, I got the following result (sample size 2011)
What confuses me is that in models 3 and 5 there are 2 cointegrating relations. ...
- 80
1
vote
0
answers
39
views
Advise on best way to regress this and how to apply the method (probably panel data)
Till now I have had two econometrics courses, so my knowledge is limited up to censored/truncated etc.
Now I did not have time series analysis yet, but after speaking to the professor of the course he ...
- 212
0
votes
1
answer
127
views
VEC model: EViews differences variables authomatically
I am performing a multivariate time series analysis. My variables are stationary at level. Whenever I want to make a VEC model, but EViews will difference the data authomatically. What can I do about ...
2
votes
0
answers
447
views
Time Series - Using log or not?
I am testing some time series on Eviews, which are 10-year treasury constant maturity rate and 3-month treasury bill.
I need to test for the order of integration of the former, and the cointegration ...
- 21
2
votes
2
answers
3k
views
Lag Exclusion test for VAR - What are the null and alternative hypotheses?
everyone.
I ran a lag exclusion test for my VAR model on EViews and arrived at the Chi-squared test statistics as shown in the image linked below. Could someone please tell me what exactly are the ...
- 21
3
votes
0
answers
562
views
Unbalanced panel with one-way random effects a la Swamy/Arora
The one-way random effects model for balanced data as described by Swamy/Arora (1978) is extended to the unbalanced case in Baltagi/Chang (1994) (another exposition is in Baltagi's text book). Various ...
- 1,497
5
votes
1
answer
2k
views
GARCH estimates differ in rugarch (R) vs. EViews
I modelled a stock's volatility using the "rugarch" package in R and Eviews.
The estimated model is GARCH(1,1).
Data is as below:
...
- 699
0
votes
1
answer
414
views
VECM model in Eviews with a mix of stationary and non-stationary variables [closed]
I have three I(3) variables and three I(0) variables.
I found that I(3) variables are co-integrated and my dependent variable is one of I(3)s.
When I tried to build a VECM model in Eviews, Eviews ...
- 1
1
vote
0
answers
199
views
Replicate Quantile Regression of Stata in eViews [closed]
I have a quantile regression in Stata which I'd like to replicate in eViews. While the coefficients are the same, the standard errors are different (irrespective of the method I use to compute the ...
- 211
0
votes
0
answers
1k
views
Correct procedure for modelling GARCH for forecasting volatility of stock Index returns
I will be using Eviews and am looking to forecast volatility of stock index returns using ARCH/GARCH models. I've generated the logarithmic returns and done the unit root tests. I then proceeded to ...
- 139
1
vote
0
answers
27
views
How can I estimate parameters (variance) of a linear model with dual error terms using the log mle?
The log likelihood function is then given by:
lnL(α,β,σ_v,σ_u )=-Tln(σ)+T/2 ln(2⁄π)+∑[lnΦ((s.ε_it λ)/σ)-1/2 (ε_it/σ)^2 ]
Where T is the number of time ...
- 11
1
vote
1
answer
2k
views
Johansen Cointegration Test results interpretation
Hi All!
I am struggling to interpret the results of my Johansen Cointegration test. Could anyone possibly clear my doubt please. I have attached the screenshot. It was found that my model had 2 ...
- 11
1
vote
0
answers
239
views
Need help with a DOLS model
I am attempting to build a multivariate DOLS model. More specifically, it is model that is already being used where I work, but I am trying to replicate the model in R. Currently, the model is used ...
- 61
8
votes
2
answers
13k
views
Time series data with seasonality using VAR?
I have two time series:
1) Which only contains historical data for production 2006-2011 on a monthly basis.
2) Which contains both historical and projected flow data 2006-2057 on a monthly basis.
I ...
- 83
1
vote
1
answer
2k
views
What should I do if the residuals of my ARIMA models are not normal?
My data is about the number of earthquakes with magnitude greater than or equal to 7 that have occurred from 1912-2013. The Jarque-Bera test shows that the residuals of arima models are not equal. ...
- 71
4
votes
0
answers
783
views
Cointegration in R and Eviews
I need to repeat in R results of a fully-modified OLS estimation that I got in Eviews. Here is the Eviews estimation (updated):
My code in R using the cointReg ...
- 99
1
vote
0
answers
1k
views
SVAR: Long-run or short restrictions
TL;DR
What is the difference between regular and long run SVAR model?
In details:
I am estimating a SVAR model, with tourist arrivals, accomodation capacities and consumer confidence.
I am chose ...
- 11
1
vote
0
answers
665
views
Residual diagnostic correlogram q statistics
I am trying to get information from the correlogram of residuals in eviews from a certain equation. And it is stated that the p-values should be all greater than 0.05. But all of my p Values are ...
0
votes
0
answers
130
views
Introduction of Control Variable in Toda and Yamamoto Procedure
I have conducted Granger Causality test between the prices of futures index and price of individual stocks using Toda and Yamamoto Procedure. Now i got a suggestion to include some business life cycle ...
- 123