Questions tagged [eviews]

Commercial statistical package for general statistical analysis and econometric analyses.

Filter by
Sorted by
Tagged with
5
votes
1answer
337 views

Is ARIMA(1,0,0)+xreg for level shift the same as linear regression model with level shift adjustment and lag1 term?

I have a time series with a level shift. Thus, when treating it with an ARIMA model, I use arima(1,0,0)+xreg. The xreg is a ...
5
votes
1answer
25k 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. ...
4
votes
1answer
35k 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 ...
4
votes
0answers
380 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 ...
3
votes
2answers
549 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 ...
3
votes
1answer
649 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: ...
3
votes
2answers
3k 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 ...
3
votes
1answer
565 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 ...
3
votes
2answers
30k views

How to read UNIT ROOT TEST results obtained from EVIEWS? I mean what values do we study to interpret our result?

Null Hypothesis: D(OIL_PRICES) has a unit root Exogenous: Constant Lag Length: 0 (Automatic - based on SIC, maxlag=22) ...
3
votes
1answer
2k views

Why do I get very different results estimating GARCH-M model in EViews and R (rugarch)?

I'm dealing with a GARCH-M model that I've estimated using R and EViews. Here are its mean and variance equations. Mean equation: $$ y_t=\mu + \rho \sigma^2_t + \varepsilon_t $$ Variance equation: ...
2
votes
1answer
2k views

How to perform a regression on 5 years of annual observations in eviews [closed]

I am new to regression analysis so please excuse my ignorance. I have collected 5 years of annual panel data, and I would like to regress this data on eviews but it is saying there is an insufficient ...
2
votes
0answers
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 ...
2
votes
0answers
211 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 ...
2
votes
0answers
259 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: ...
2
votes
1answer
252 views

Cross-sectional SUR in R [closed]

Is there a package in R that can estimate panel data with cross-sectional seemingly unrelated regression generalized least squares weights (like in EViews)?
2
votes
1answer
2k views

Augmented Dickey-Fuller Trend and Intercept

I am trying to determine if I should include an "intercept" or a "trend and intercept" when using the Augmented Dickey-Fuller (ADF) test. I ran a regression with my dependent variable and a time ...
1
vote
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 ...
1
vote
2answers
16k views

How do you interpret results from unit root tests with intercept?

...
1
vote
1answer
769 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 ...
1
vote
1answer
655 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. ...
1
vote
1answer
199 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-...
1
vote
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 ...
1
vote
1answer
350 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 (...
1
vote
1answer
286 views

Unit root and cointegration in Panel Data

What should I do when I found out that my variables are stationary in first differencies? Should I estimate model in differencies? How unit root is related with cointegration? Thx for answers.
1
vote
1answer
1k views

How to interpret standard errors and t-values in error-correction terms?

When estimating a Vector Error Correction (VEC) model in EViews, the resulting output always shows the error-correction terms together with standard errors and t-values for the included variables, and ...
1
vote
1answer
947 views

Exogenous regressors in panel unit root test

From visual inspection I suspect some of the series in my panel dataset to be non-stationary. If I do the panel unit root test on them in EViews 7, I can choose exogenous regressors under ...
1
vote
1answer
35 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 ...
1
vote
1answer
77 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, ...
1
vote
0answers
323 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 ...
1
vote
0answers
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 ...
1
vote
0answers
133 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 ...
1
vote
0answers
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 ...
1
vote
0answers
176 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 ...
1
vote
0answers
763 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 ...
1
vote
0answers
374 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 ...
1
vote
0answers
235 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 ...
1
vote
0answers
7k 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 ...
1
vote
0answers
277 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 ...
1
vote
1answer
221 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 ...
1
vote
0answers
376 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 + \...
1
vote
0answers
30 views

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

what the result suggests of the order of the ARMA model?
1
vote
1answer
756 views

How could I use VAR model for nonstationary series?

I have five independent variables: oil (stationary at level), f (stationary at level), k (...
1
vote
0answers
26 views

How to project video viewcount based on historicals?

My goal is to create a formula that can give an indication of how a YouTube channel's video will perform in the first 30 days of its lifespan and eliminate viral video / "lightening in a bottle" ...
1
vote
0answers
655 views

GARCH(1,1) regression in Eviews

I'm having a problem in doing a GARCH(1,1) regression. I'm trying to regress gold prices serie on stock returns series as in the following equation in eviews: $$ r = c(1) + c(2) \cdot s + c(3)\cdot ...
1
vote
1answer
446 views

Number of observations used for ARIMA modeling

Our professor keeps on writing in his slides that when you test different ARIMA models on your time series, one always has to keep T fixed. I assume he is talking about fitting your model using the ...
1
vote
2answers
10k views

Interpret Eviews Output: EGARCH - ARCH and GARCH term

I am having some difficultires, figuering out what (and why) the ARCH term in the following output is: Please note that above's output is from Introductory Econometrics for Finance from p. 407 I ...
1
vote
1answer
750 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 ...
0
votes
2answers
178 views

do i need to add a variable to my regression?

I am doing multiple regression on a subset of the NLYS79 dataset, namely a subset containing 540 respondents. And am interested in the significance of race upon earnings. My variables here are: years ...
0
votes
1answer
229 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 ...
0
votes
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 ...