Search found 21 matches

by wxhdiy01
Wed Jun 14, 2017 10:08 am
Forum: Programming
Topic: Programming threshold model with GARCH
Replies: 3
Views: 1415

Re: Programming threshold model with GARCH

Now convergence can be achieved when the threshold value is given. I only added @byeqn. It's unclear to me though if it has to be estimated by equation instead of by observations.
by wxhdiy01
Tue Jun 13, 2017 10:35 am
Forum: Programming
Topic: Programming threshold model with GARCH
Replies: 3
Views: 1415

Re: Programming threshold model with GARCH

Many thanks for the suggestion! I tried the logl object and it's way faster than the optimize command! But I still get the "fail to improve the likelihood" message, and now even if I specify a threshold value instead of letting the system estimate it, I still don't get the convergence :( M...
by wxhdiy01
Mon Jun 12, 2017 2:37 pm
Forum: Programming
Topic: Programming threshold model with GARCH
Replies: 3
Views: 1415

Programming threshold model with GARCH

Hi there, I'm using Eviews to optimize a threshold autoregressive model with a GARCH structure in the error term. The threshold effect is only in the mean equation; the variance equation doesn't have the threshold effect and is just a normal GARCH. The equation (simplified) is as follows: yt = a0 + ...
by wxhdiy01
Fri Jan 13, 2017 2:00 pm
Forum: Programming
Topic: Optimization may be unreliable issue
Replies: 2
Views: 1229

Re: Optimization may be unreliable issue

Thanks Matt, that's very helpful! I'll check again and post the results if I could solve it in the end.
by wxhdiy01
Fri Jan 13, 2017 10:58 am
Forum: Programming
Topic: Optimization may be unreliable issue
Replies: 2
Views: 1229

Optimization may be unreliable issue

Hi! I'm using the user-defined optimization feature of Eviews, and although the code run well, it sometimes ends with the warning "Optimization may be unreliable (first or second order conditions not met)". What does this really mean and any suggestion on how to fix it? I've tried differen...
by wxhdiy01
Mon Dec 19, 2016 4:25 pm
Forum: Programming
Topic: Using optimize command to construct a TGARCH with non-zero threshold
Replies: 1
Views: 896

Using optimize command to construct a TGARCH with non-zero threshold

Hello! I'm estimating a model with threshold (1 threshold, thus 2 regimes) in both the mean and variance equation, and since the threshold value is not 0, it seems that the TGARCH feature in Eviews cannot be directly applied. Therefore I tried the User-defined optimization in Eviews, but since it's ...
by wxhdiy01
Tue Nov 01, 2016 7:21 am
Forum: Programming
Topic: Combine equation coefficients and graphs from different workfiles
Replies: 1
Views: 1154

Combine equation coefficients and graphs from different workfiles

Hello! I currently have an individual program file and workfile for each country (7 countries in total), and combining the results from 7 files become very tedious. Is there a way to automatically save results from different workfiles to a single csv, and combine graphs into a single pdf? For exampl...
by wxhdiy01
Mon Sep 19, 2016 8:16 am
Forum: Programming
Topic: Overflow problem when simulating data
Replies: 1
Views: 827

Overflow problem when simulating data

Hi~ I'm using a Smooth Transition Autoregressive (STAR) model which has different coefficients depending on the threshold variable. The model is in the form of y=(1st regime coef * y_lags)+(2nd regime coef * y_lags)*(transition function), I included the sample code below, where y(-1) is the threshol...
by wxhdiy01
Sat Aug 20, 2016 7:32 am
Forum: Add-in Support
Topic: STAR*
Replies: 50
Views: 28984

Re: STAR*

Problem solved, however it still cannot help find the correct starting value efficiently :( if lstr0{!n}.@aic<!mininfocrit then !mininfocrit=lstr0{!n}.@aic vector(23) svbest_!n=sv_!n endif delete lstr0{!n} if !n>1 then !n_1=!n-1 delete str_tests0{!n_1} else delete str_tests endif delete transition_l...
by wxhdiy01
Sat Aug 20, 2016 6:58 am
Forum: Add-in Support
Topic: STAR*
Replies: 50
Views: 28984

Re: STAR*

Hi! I'm trying to write codes so that the fitness of different starting values are compared automatically. Since the add-in needs to be run many times and I don't want to have many equations in the workfile, I use delete command to get rid of the generated equations at each trial, and run the add-in...
by wxhdiy01
Tue Aug 16, 2016 5:12 am
Forum: Programming
Topic: Save the Chi-square value of a Wald test
Replies: 2
Views: 1097

Re: Save the Chi-square value of a Wald test

Great, that's exactly what I want. Thanks!
by wxhdiy01
Mon Aug 15, 2016 12:11 pm
Forum: Programming
Topic: Save threshold value
Replies: 4
Views: 1703

Re: Save threshold value

Thanks, but the estimated equation has a threshold... Let me think more about it, thanks for the help!
by wxhdiy01
Mon Aug 15, 2016 12:09 pm
Forum: Programming
Topic: Save the Chi-square value of a Wald test
Replies: 2
Views: 1097

Save the Chi-square value of a Wald test

Hi! I was estimating multiple equations and perform Wald tests on them. There are 40 equations in total, thus 40 Chi-square values. Is there a way to automatically store these values, preferably into one table? I've searched the help documents for Wald test, but didn't find anything related to how t...
by wxhdiy01
Mon Aug 15, 2016 6:13 am
Forum: Programming
Topic: Save threshold value
Replies: 4
Views: 1703

Re: Save threshold value

Thanks for the reply! I tried the code but it returns "1 is not a valid index for vector-series-coefficient in "SERIES NEW = TAR_FA_PORT_IN_GDP.@THRESHOLDS(1)" I just want to know how to retrieve results from a threshold estimation in general. For example, if it's a self-exciting mode...
by wxhdiy01
Thu Aug 11, 2016 12:40 pm
Forum: Programming
Topic: Save threshold value
Replies: 4
Views: 1703

Save threshold value

Hi! I'm running a threshold model (Max breaks set to be 1) in Eviews, and want generate a new series with all observations equal to the value of the threshold calculated in the model. Is there a command that can automatically do this? Many thanks!

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