Questions tagged [eviews]
Commercial statistical package for general statistical analysis and econometric analyses.
87
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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 ...
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0
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38
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How do I interpret a DCC model from EViews?
How would I interpret this DCC model from EViews? I am trying to use this output to find whether bitcoin has safe haven properties in volatile markets. When I read journals it says if δ2 and δ3 are ...
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13
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Null hypothesis of a ARMA model
How to interpret a potential null hypothesis of an ARMA (1,1) model?
(e.g., past dependent variable has nothing to do with today's value)
null hypothesis: c(1) = c(2) = 0
Also, how can we get the p-...
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2
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1
answer
702
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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 ...
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87
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22
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error correction model and its error correction term
what if i regress x on y and the residuals are stationary. i used it in a d(x) c d(y) xresid(-1) equation and the ect is not significant. however when i regress y on x, the residuals are also ...
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0
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91
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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 ...
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13
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Market cointegration
Does anyone here have a code or steps of how to conduct a Threshold vector error correction model? I've been reading a lot of literature but I've only understand the implications of the model. Most of ...
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116
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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 ...
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151
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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. ...
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1
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716
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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 ...
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1k
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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 ...
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33
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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
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1
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165
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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
...
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169
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? ...
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18
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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 ...
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126
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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
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2
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0
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67
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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
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71
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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{...
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1
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466
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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 ...
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1
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2
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179
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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 ...
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1
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413
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Interpretation of LM statistic and J-Bera statistic
How should I interpret the results of autocorrelation and normality from the tables enclosed herewith?
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1
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82
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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 ...
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982
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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?
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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 ...
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48
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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 ...
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1
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173
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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 ...
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1
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1
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561
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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, ...
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2
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2k
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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 ...
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0
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990
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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 ...
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323
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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. ...
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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 ...
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105
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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 ...
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250
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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 ...
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2k
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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 ...
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495
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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 ...
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1k
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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:
...
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367
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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 ...
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0
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184
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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 ...
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1k
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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 ...
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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 ...
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1
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1k
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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 ...
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224
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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 ...
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10k
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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 ...
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2k
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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. ...
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708
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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 ...
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1k
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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 ...
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1
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0
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610
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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 ...
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122
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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 ...
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159
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How to interprete logistic regresion using Eviews having dummy variables
I need your help with logistic regression analysis. My dependent variable is a dummy variable: 0 fails 1 successful.
Method: ML - Binary Logit (Newton-Raphson / Marquardt steps)
variables and ...
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