[R-sig-finance] VAR, VECM, Kalman, ... non-R software recomme ndations?

[Pfaff, Bernhard]

Hello Dirk,

just to give you a brief glimpse of what you can expect from the built-in
functions in EViews here is a rough excerpt from the manual for estimating a
vector error correction model:

function:
var_name.ec(trend, n) lag_pairs y1 y2 @ x1 x2

"Specify the order of the VEC by entering one or more pairs of lag
intervals, then list the endogenous variables. Note that the lag orders are
those of the first differences, not the levels. If you are comparing results
to another software program, you should be certain that the specifications
for the lag orders are comparable." 

*Ah, never thought that this would matter*

"You may include exogenous variables, such as seasonal dummies, in the VEC
by including an '@'-sign followed by the list of series..."
"You must specify the trend option and the number of cointegrating equations
n to use...in parenthesis..."

Well, as Whit pointed out earlier, if you leave the menue driven area of
EViews and do your own macro programming, EViews is inferior to RATS/CATS,
IMHO.


Bernhard
> 
> 
> Thanks to all for the continued feedback.  I am now leaning towards
> Rats/Cats. I had used Rats a bit in grad school and have 
> experienced its
> idiosyncratic nature which may well drive me up the wall. But 
> it is focussed
> on what I need, and half the price of Stata.
> 
> One last question: Between Rats and Eviews, would anybody 
> speak in favour of
> Eviews?
> 
> Dirk
> 
> -- 
> Those are my principles, and if you don't like them... well, 
> I have others.
>                                                 -- Groucho Marx
> 


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