Questions tagged [eviews]

Commercial statistical package for general statistical analysis and econometric analyses.

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1answer
439 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
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2answers
5k 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 ...
5
votes
1answer
28k 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
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1answer
45k 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
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1answer
948 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: ...
4
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0answers
466 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
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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 ...
3
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1answer
53 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 ...
3
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1answer
649 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
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2answers
33k 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
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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
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1answer
408 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 (...
2
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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
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0answers
41 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{...
2
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0answers
45 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
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0answers
316 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
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0answers
293 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
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1answer
285 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
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1answer
627 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 ...
2
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1answer
3k 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
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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 ...
1
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2answers
16k views

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

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1answer
52 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 ...
1
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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 ...
1
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1answer
933 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
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1answer
218 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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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
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1answer
324 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
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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
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1answer
1k 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
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0answers
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)...
1
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2answers
74 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 ...
1
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1answer
83 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
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1answer
252 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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0answers
515 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
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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
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0answers
168 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
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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
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0answers
190 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
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0answers
829 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
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0answers
465 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
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0answers
289 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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0answers
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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0answers
301 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
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0answers
450 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
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0answers
32 views

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

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

How could I use VAR model for nonstationary series?

I have five independent variables: oil (stationary at level), f (stationary at level), k (...
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0answers
27 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
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0answers
680 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
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0answers
69 views

Test of stationarity in Dickey and Fuller test

Why is that in DF (Dickey and Fuller) test, the test verifies that $Tst = 0$ or $Tst < 0$. Why not test $\Phi = 1$ or $\Phi < 1$? Need some guidance on this