Search found 4 matches

by obaid610
Tue Nov 14, 2017 7:32 pm
Forum: Models
Topic: Forecasting using Logl object
Replies: 2
Views: 101

Re: Forecasting using Logl object

Wow, silly me. Thanks for the help

Cheers
by obaid610
Tue Nov 14, 2017 12:10 am
Forum: Models
Topic: Forecasting using Logl object
Replies: 2
Views: 101

Forecasting using Logl object

Hi Everyone I have questions regarding forecasting the dependent variable using logl object. Lets supposed we have the following model: series res = y - c(1) - c(2)*x - c(3)*z series var = c(4) * z^c(5) series logl1 = log(@dnorm(res/@sqrt(var))) - log(var)/2 How can I forecast the values of "y&...
by obaid610
Mon Sep 28, 2015 7:13 am
Forum: Econometric Discussions
Topic: Heterogeneous Agent Model
Replies: 2
Views: 407

Re: Heterogeneous Agent Model

Dear trubador Thank you for your reply. This appears to be a simulation whereas I am looking for an estimating the entire system at once. A little research on the forums has indicated that LogL object can be used to used to estimate this system. Can you advise me on how this can be estimated using l...
by obaid610
Mon Sep 28, 2015 2:38 am
Forum: Econometric Discussions
Topic: Heterogeneous Agent Model
Replies: 2
Views: 407

Heterogeneous Agent Model

Dear all, I am trying estimate a Heterogeneous Agents model that forecasts asset price changes. Two types of investors switch between strategies, either chartist or fundamentalist. The relative weights of the agents are determined dynamically by weight W, which is based on relative past profitabilit...

Go to advanced search