## Search found 13 matches

Fri Dec 08, 2017 5:22 am
Forum: Estimation
Topic: Bai and Perron multiple break test
Replies: 21
Views: 10037

### Re: Bai and Perron multiple break test

Thanks Gareth,
It works in Eviews 10 (provides the breakdates in vector).
Thu Dec 07, 2017 10:58 am
Forum: Estimation
Topic: Bai and Perron multiple break test
Replies: 21
Views: 10037

### Re: Bai and Perron multiple break test

Eviews 8
Thu Dec 07, 2017 8:49 am
Forum: Estimation
Topic: Bai and Perron multiple break test
Replies: 21
Views: 10037

### Re: Bai and Perron multiple break test

Since I am assuming multiple breaks, I created 6 by 10 matrix by
matrix(6,10) breaks

and used
breaks(!j,!i)=eq.@breaks(!j)
in the loop, is shows following error:
@BREAKS is not a member or procedure of EQ in "BREAKS(1,1)=EQ.@BREAKS(1)
Thu Dec 07, 2017 6:04 am
Forum: Estimation
Topic: Bai and Perron multiple break test
Replies: 21
Views: 10037

### Re: Bai and Perron multiple break test

Dear Gareth/Glenn, I used following code for the Bai-Perron test for the above data. matrix(24,10) coefs matrix(24,10) pvals matrix(6,10) breaks for !i=1 to 10 smpl if id=!i equation eq equation eq.BREAKLS(METHOD=GLOB,HETERR,SELECT=WDMAX) y C x1 x2 x3 for !j=1 to eq.@ncoefs coefs(!j,!i) = eq.@coef(!...
Sun Dec 03, 2017 8:37 am
Forum: Estimation
Topic: Bai and Perron multiple break test
Replies: 21
Views: 10037

### Re: Bai and Perron multiple break test

Dear Gareth, I have a large dataset of multiple samples (sorted by id, see attached sample). I wanted to test multiple breakpoints (based on Bai perron test) for each sample and store the coefficients, p-values and break dates for the regression Y=a+b1.x1+b2.x2+b3.x3 Can you suggest me any loop comm...
Tue Jan 07, 2014 6:26 am
Forum: Estimation
Topic: Estimating Multivariate TVTP Markov Switching model
Replies: 9
Views: 4110

### Re: Estimating Multivariate TVTP Markov Switching model

Startz is right. By default, EViews uses random search for initial values. You can either choose "User supplied" option as the starting method or save/specify the "Seed" value of random number generator for further use. I'd like to remind you that the estimation of time varying ...
Fri Jan 03, 2014 4:56 am
Forum: Estimation
Topic: Estimating Multivariate TVTP Markov Switching model
Replies: 9
Views: 4110

### Re: Estimating Multivariate TVTP Markov Switching model

Dear Glenn,
Now I am facing the convergence problem.
I run the model once and found convergence, but when I run the same model the following day, it say' convergence not achieved after certain iteration'.
How would I solve the problem?
Thu Jan 02, 2014 7:14 am
Forum: Estimation
Topic: Markov switching model
Replies: 30
Views: 35418

### Re: Markov switching model

Dear Trubador, I am estimating Multivariate Markov Switching model with Eviews8. I am facing the convergence problem. I run the model once and found convergence, but when I run the same model the following day, it say' convergence not achieved after certain iteration'. How would I solve the problem?...
Wed Nov 13, 2013 7:14 am
Replies: 24
Views: 22979

EViews Gareth wrote:If you open up the add-in file, you should see that it is pretty straight forward to change the dates.

Thanks
I have got it.
Fri Nov 08, 2013 5:30 am
Forum: Estimation
Topic: Estimating Multivariate TVTP Markov Switching model
Replies: 9
Views: 4110

### Re: Estimating Multivariate TVTP Markov Switching model

EViews Glenn wrote:You'll have to be more specific about the Filardo paper to which you refer and the model in question.

I have used the explanatory variables on List of non-switching regressor and it worked.
thanks
Fri Nov 08, 2013 5:26 am
Replies: 24
Views: 22979

Dear,
I m working on UK recession data.
I have used Composite Leading Indicator(CLI) of OECD to define the recession data.
Can someone let me if it is possible to use RecShade on UK data.
Or if not possible than how can I make an addin with UK data?
thanks
Sohan
Wed Oct 30, 2013 3:55 am
Forum: Estimation
Topic: WARNING: Singular covariance - coefficients are not unique
Replies: 0
Views: 1296

### WARNING: Singular covariance - coefficients are not unique

Dear all,
I am trying to estimate the markov switching model.
But when I run the model I got the error
'WARNING: Singular covariance - coefficients are not unique'
and there is no std error and s-statistic values.
Can somebody help plzzzzzzzz.
thanks
Sat Oct 26, 2013 1:42 am
Forum: Estimation
Topic: Estimating Multivariate TVTP Markov Switching model
Replies: 9
Views: 4110

### Estimating Multivariate TVTP Markov Switching model

Dear All, I am trying to estimate a multivariate markov switching model where the transition probabilities will be estimated with Filardo's (1998) procedure. To more elaborate Filardo (1998) choose a information variables for transition probabilities. I want to use Composite leading Indication (CLI)...