Search found 2617 matches

by EViews Glenn
Thu Oct 17, 2019 8:45 am
Forum: Estimation
Topic: Markov Switching Regression
Replies: 4
Views: 159

Re: Markov Switching Regression

I'm don't understand the request.
by EViews Glenn
Thu Sep 19, 2019 9:12 am
Forum: Bug Reports
Topic: switchreg small thing
Replies: 1
Views: 396

Re: switchreg small thing

Sorry to take so long. Missed seeing this one.

It will be fixed in the next patch.
by EViews Glenn
Thu Sep 19, 2019 8:26 am
Forum: Estimation
Topic: Multiple Breakpoint Test with ARMA
Replies: 1
Views: 114

Re: Multiple Breakpoint Test with ARMA

Not built-in. The nonlinear nature of the estimators makes this difficult.
by EViews Glenn
Thu Sep 19, 2019 8:25 am
Forum: Estimation
Topic: Funny state switching
Replies: 3
Views: 181

Re: Funny state switching

Have to think about this. Can you send me the workfile?
by EViews Glenn
Thu Sep 19, 2019 8:23 am
Forum: Estimation
Topic: Structural Break in the Variance/Covariance Matrix State Space
Replies: 3
Views: 149

Re: Structural Break in the Variance/Covariance Matrix State Space

Looking at the variance specs only, it looks okay to me.
by EViews Glenn
Tue Sep 17, 2019 5:03 pm
Forum: Estimation
Topic: Markov Switching Regression
Replies: 4
Views: 159

Re: Markov Switching Regression

It's not a built-in feature. Note that the residuals that we compute aren't regime specific but rather an expected value using the regime probabilities. This accords with the notion that you never know what regime you are in. For the computation that you described, you'd have to use the coefficients...
by EViews Glenn
Thu Sep 12, 2019 4:44 pm
Forum: Estimation
Topic: Funny state switching
Replies: 3
Views: 181

Re: Funny state switching

Hard to say. The switching objective is very different from the simple minimum sums-of-squares that you get in the standard case.

What is regime specific in your model?
by EViews Glenn
Thu Sep 12, 2019 12:45 pm
Forum: Estimation
Topic: State Space Covariance
Replies: 4
Views: 150

Re: State Space Covariance

My 2 minute look at the De Jong and Mackinnon (1988) paper suggests that if the above is indeed what you want, you can get it by saving the one-step ahead and filtered state covariances and doing a recursion. This is based on a quick look so I may be wrong, but it looks as though it's possible from ...
by EViews Glenn
Thu Sep 12, 2019 12:23 pm
Forum: Estimation
Topic: State Space Covariance
Replies: 4
Views: 150

Re: State Space Covariance

The former.

Do you want cov(state(t|T), state(T|T))?

I haven't looked at this in a while, but off the top of my head, I can't think of an easy way to get that one from what we provide you. I'll have to take a look at the papers again.
by EViews Glenn
Thu Sep 12, 2019 12:19 pm
Forum: Estimation
Topic: Structural Break in the Variance/Covariance Matrix State Space
Replies: 3
Views: 149

Re: Structural Break in the Variance/Covariance Matrix State Space

I don't have the time to test this right now, but it should work.

All that the variance equation is doing is evaluating the expression to get the appropriate variance for a give observation.
by EViews Glenn
Thu Aug 29, 2019 10:17 am
Forum: Bug Reports
Topic: Crash upon cancellation of VEC VAR (E11)
Replies: 2
Views: 262

Re: Crash upon cancellation of VEC VAR (E11)

I've just posted a fix for this bug. I've also taken the opportunity to add a bit of additional limited early error checking for some specification errors so that the dialog with be reentrant. The fix will appear in the next patch.

Thanks again for your patience.
by EViews Glenn
Mon Aug 19, 2019 5:12 pm
Forum: Bug Reports
Topic: Crash upon cancellation of VEC VAR (E11)
Replies: 2
Views: 262

Re: Crash upon cancellation of VEC VAR (E11)

Thanks for the report. We will take a look.
by EViews Glenn
Tue Jul 30, 2019 4:07 pm
Forum: Estimation
Topic: Markov switch state probabilities forecast
Replies: 18
Views: 723

Re: Markov switch state probabilities forecast

I'm sorry, but that is correct.
by EViews Glenn
Tue Jul 30, 2019 10:10 am
Forum: Estimation
Topic: Markov switch state probabilities forecast
Replies: 18
Views: 723

Re: Markov switch state probabilities forecast

I'm afraid that I don't understand the question.
by EViews Glenn
Thu Jul 18, 2019 2:17 pm
Forum: Programming
Topic: Assigning valmap in a program
Replies: 6
Views: 381

Re: Assigning valmap in a program

Ignore him. It's on my list.

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