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 ...
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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 ...
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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 ...
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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 ...
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1answer
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 ...
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1answer
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, ...
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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 ...
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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.
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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 ...
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2answers
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 ...
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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 ...
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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. ...
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1answer
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 ...
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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 ...
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1answer
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 ...
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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: ...
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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 ...
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1answer
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: ...
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1answer
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 ...
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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 ...
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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 ...
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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
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 ...
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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 ...
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2answers
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 ...
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1answer
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. ...
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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 ...
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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 ...
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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 ...
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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 ...
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1answer
207 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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278 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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266 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?

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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1answer
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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288 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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1answer
770 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
232 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 ...
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1answer
597 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
5k 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
38k 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 ...
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1answer
26k views

Johansen cointegration test: interpretation of results in EViews

I am not sure whether I am interpreting the cointegration test correctly. This is the test result: Because of the probability of the test I understand that my series are cointegrated of order 2. ...
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405 views

Fitting a CGARCH-M model

I'm dealing with a CGARCH-M model that the long and short-run volatility components have different effects on returns. Here are its mean and variance equations: Mean equation: $$ y_t = \alpha + \...
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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) " ...
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1answer
372 views

Modeling different lag structures

I know there are various information criteria that can be used to compare model specifications, including those with different lag structures. I can easily compare the Akaike Information Criterion (...
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30 views

how to interprete the ACF/PACF plots? [duplicate]

what the result suggests of the order of the ARMA model?