Questions tagged [eviews]

Commercial statistical package for general statistical analysis and econometric analyses.

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11 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
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88 views

How can I implement ADF-test results for panel data in Gretl?

I'm doing an analysis of panel data in Gretl (I've heard EViews is better for this purpose, but then again, Gretl is free and seems good enough to get the job done), and before starting my actual ...
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40 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)...
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43 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{...
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18 views

Is multicollinearity of independent variables a problem in time series analysis

I am performing a time series analysis (co integration and var) to analyse the effect of government investment on real gdp. I could not found a direct variable for government investment because of the ...
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1answer
90 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 ...
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26 views

VAR and VECM (lag selection)

I have one data set which include data for GDP,Revenue and Expenditures.So I want to build VECM model in order to see how is interaction between this three variables.All this series are I(1). In order ...
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37 views

Lag selection in VECM

I have one data set which include data for GDP,Revenue and Expenditures.My intention is to build VECM model in order to see how is interaction between this three variables.All this series are I(1). In ...
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2answers
98 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 ...
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1answer
50 views

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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1answer
58 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 ...
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194 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?
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34 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 ...
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35 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 ...
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1answer
91 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 ...
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1answer
336 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, ...
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2answers
1k 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 ...
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584 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 ...
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217 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. ...
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1answer
96 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 ...
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49 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 ...
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1answer
1k 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 ...
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348 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 ...
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1answer
1k 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: ...
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1answer
278 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 ...
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0answers
171 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 ...
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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 ...
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22 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 ...
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1answer
1k 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 ...
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193 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 ...
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2answers
6k 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 ...
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1answer
1k 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. ...
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504 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 ...
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854 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 ...
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483 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 ...
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105 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 ...
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1answer
224 views

Granger causality: need for different lag lengths for x and y

I am trying to do a Granger causality test. In the general form Granger causality analysis includes estimating the following equation: $$y_{t}=a_{1}y_{t-1}+a_{2}y_{t-2}+\dotsc+a_{p}y_{t-p}+b_{1}x_{t-...
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298 views

Why do ARIMAX standard error differ in EViews vs. R while coefficients coincide?

The estimates by function Arima from the "forecast" package in R are as follows: ...
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0answers
292 views

Calculating eigenvectors for PCA and obtaining a different result from Matlab/EViews

Based on the variance-covariance matrix $$\begin{pmatrix}0.62 & 0.62\\ 0.62 & 0.72\end{pmatrix},$$ I have calculated the following eigenvalues $$λ_1 = 0.0500, \;λ_2 = 1.2840.$$ I then ...
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8k views

Are the following interpretations of EViews output correct? [closed]

I just wanted to know if my interpretation of the follow values were right: Std. error (of each independent variable): Indicates the likely sample variability (and hence reliability). Estimated ...
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2answers
2k views

kpss test in eviews

I am taking 5% critical values for adf pp and za. In kpss test critical value is passing from 1% but not from 5% so is it stationary or not also when take differences of series first and second ...
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0answers
313 views

R and Eviews differences in ADF test

So I've implemented the ADF test in a large number of variables using eviews and R (urca package, ur.df). Althought the criteria used to select lags and the deterministic variables included were the ...
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2answers
869 views

How to implement a SVAR with sign restrictions

I am trying to estimate a bi-variate sign-restricted SVAR with daily oil and stock prices and two shocks (demand and supply). The ultimate goal is to explain how much of the recent fall in oil ...
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1answer
245 views

Appropriate Instruments

My model is: $$Y=\beta_0+\beta_1X_1+\beta_2X_2+\beta_3X_3+\beta_4X_4.$$ I want to check if 'weather' (not included in the above model) is an appropriate instrument. $X_1$ represents price. If I ...
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1answer
2k views

Calculating income elasticity of demand

My model is as follows: $$Y=\beta_0+\beta_1X_1+\beta_2X_2+\beta_3X_3+\beta_4X_4.$$ My income variable is represented by $X_2$. When it comes to calculating the income elasticity of demand (demand ...
3
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1answer
668 views

Why after including lags do seasonal dummies become significant?

I am trying to model data that clearly looks like it has seasons. However I only pick up seasonality in very small subsets of the data and only after I add in lagged variables and eliminate trend. I ...
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1answer
6k views

Structural Break Test in Eviews [closed]

My data set contains 55 data points. I want to run a structural break tests. I am using Eviews 8 and I know that I am supposed to estimate an equation using Quick->Estimate, then once it is estimated, ...
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1answer
3k views

Why different output eviews 8 vs. eviews 9; how to interpret?

Currently, I am working on forecasting. I try various models. One of the models I tried is an AR model. As I have monthly data, I use the 12th period back in time. So the model is like ...
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3answers
6k views

Correlogram q-statistics of residuals

I am currently try to get information from the correlogram of residuals in eviews from a certain equation; I am supposed to understand if residuals are white noise or not and to adfirm that they are ...
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1answer
50k views

White's test for heteroskedasticity in R

I am trying to estimate heteroskedasticity in R. I had Eviews available in my college's lab but not at home. I have been trying to use "het.test" package and ...