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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.

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...

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 + ...

Thanks Matt, that's very helpful! I'll check again and post the results if I could solve it in the end.

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...

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 ...

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...

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...

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...

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...

Great, that's exactly what I want. Thanks!

Thanks, but the estimated equation has a threshold... Let me think more about it, thanks for the help!

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...

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...

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!