Questions tagged [eviews]

Commercial statistical package for general statistical analysis and econometric analyses.

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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 ...
Hijab's user avatar
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1 answer
56 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 ...
iraq ahmed's user avatar
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SARIMA Models How to know if my D is 0, or no? [duplicate]

In ARIMA model i know if my d is different of 0 if the time series is not stationary. But in SARIMA model how could i know if my D is different of 0?
Raphael Rodrigues's user avatar
1 vote
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49 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 ...
steve's user avatar
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1 answer
59 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 ...
Helpplease's user avatar
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1 answer
36 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 ...
LIN_Nisa's user avatar
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19 views

Why the significance of other variables change when I put the GDP in levels or growth rate?

I'm doing a linear regression with data from 1980 to 2018. Can you help me understanding why when I use the GDP in levels most of the others variables are significant and when I use the GDP growth ...
pao's user avatar
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1 vote
0 answers
15 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 ...
user380431's user avatar
2 votes
1 answer
774 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 ...
kaix's user avatar
  • 161
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315 views

How to interpret the Cointegration test result?

How to interpret the Cointegration result?
Shi Hui's user avatar
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0 answers
166 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 ...
Ashlley Dela Cruz's user avatar
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332 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 ...
Ashley Dela Cruz's user avatar
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215 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. ...
daughterofares's user avatar
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 ...
newt335's user avatar
  • 23
2 votes
2 answers
2k 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 ...
Radifan's user avatar
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1 answer
60 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 ...
SIDATI NOUHI's user avatar
4 votes
1 answer
314 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 ...
Lucas's user avatar
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0 answers
265 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? ...
romanzdk's user avatar
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23 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 ...
Jamzy's user avatar
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0 answers
159 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
ali's user avatar
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2 votes
0 answers
87 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)...
tanvinagpal98's user avatar
2 votes
0 answers
96 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{...
Niek de Meijier's user avatar
1 vote
1 answer
645 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 ...
M.White's user avatar
  • 11
1 vote
2 answers
205 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 ...
caproki's user avatar
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1 answer
655 views

Interpretation of LM statistic and J-Bera statistic

How should I interpret the results of autocorrelation and normality from the tables enclosed herewith?
User1996's user avatar
3 votes
1 answer
133 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 ...
OhHiClark's user avatar
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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?
User1996's user avatar
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37 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 ...
Cat Almeida's user avatar
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0 answers
58 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 ...
Simon Le Roux's user avatar
1 vote
1 answer
192 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 ...
Josh Duncan's user avatar
1 vote
1 answer
699 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, ...
wincelzy's user avatar
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 ...
Jean G's user avatar
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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 ...
Mr.Rlover's user avatar
  • 163
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0 answers
340 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. ...
peter5's user avatar
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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 ...
strateeg32's user avatar
0 votes
1 answer
121 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 ...
Jaleel Adejumo's user avatar
2 votes
0 answers
398 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 ...
Jchan's user avatar
  • 21
1 vote
2 answers
2k 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 ...
Max's user avatar
  • 11
3 votes
0 answers
549 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 ...
Helix123's user avatar
  • 1,467
4 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: ...
oercim's user avatar
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0 votes
1 answer
397 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 ...
Alex's user avatar
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1 vote
0 answers
195 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 ...
tho_mi's user avatar
  • 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 ...
Albe's user avatar
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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 ...
Ansto's user avatar
  • 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 ...
Sudhan Raja's user avatar
1 vote
0 answers
234 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 ...
user142139's user avatar
8 votes
2 answers
12k 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 ...
N_Moksnes's user avatar
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. ...
Angel S.'s user avatar
4 votes
0 answers
773 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 ...
Katin's user avatar
  • 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 ...
Siva Kg's user avatar
  • 11