# Questions tagged [eviews]

Commercial statistical package for general statistical analysis and econometric analyses.

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23 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 ...
12 views

### The p-values of parameter estimates in a cointegration regression

I saw on the help site of Eviews that "Fully Modified OLS", "Canonical Cointegrating Regression" and "Dynamic OLS" can be used to estimate a single equation cointegrating relationship. However, I ...
16 views

### What is behind “forecast” in Eviews?

I have been trying to use state space models in order to represent some gestural data. Until now I have been using Eviews to to do all the dynamic forecasting part, so I was curious what is behind ...
26 views

### Impulse Responses Generation in Vector AutoRegression in EViews

I have all the positive time series data of 6 variables. On these six variables, I have applied VAR model and want to generate impulse response functions. But impulse response functions are not ...
52 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 ...
127 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, ...
30 views

### Can some one explains me how to use logit regression with multiple categorical independent variables in eviews?

I want to perform logistic regression(logit) on my data. My dependent variable is a binary value. My independent variables are a couple of categorical variables and some continuous variables. I want ...
13 views

### EViews - How to estimate ACD model?

I was wondering if anyone knows how to estimate an ACD model in EViews. I have an input for the adjusted durations and have been trying to modify the ARCH framework to allow for ACD estimation.
22 views

### eviews augmented dickey fuller lag selection

Can someone tell me how does eviews calculate teh optimal Schwarz lag selection? I did a quick search this https://en.wikipedia.org/wiki/Bayesian_information_criterion is this the same method that ...
832 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 ...
378 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 equation ...
152 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. ...
85 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 ...
43 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 ...
515 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 ...
2k views

### GARCH(1,1) model with exogenous variable using STATA and EVIEWS

I want to estimate a GARCH model with an exogenous variable. Data is as below: ...
237 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 ...
766 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: ...
241 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 ...
31 views

### How to estimate the relationship between the amount of Weibo (or twitter) count and volatility in the stock/gold market

I really need some help here since I feel I have no one to ask this. I am doing a research to find the relationship between the amount of Weibos (Chinese Twitter/Social Media) on a subject and the ...
145 views

### Replicate Quantile Regression of Stata in eViews

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 ...
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 ...
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 ...
840 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 ...
187 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 ...
4k 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 ...
730 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. ...
417 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 ...
781 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 ...
419 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 ...
94 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 ...
207 views

491 views

### Time series and EViews

I have 3 questions on EViews: m, x, and y are three series. I have found that $m \sim I(1)$, and $x \sim I(2)$,and $y \sim I(2)$ Firstly, can I generate first degree difference by writing " d(m) " ...