Search found 8 matches

by purdued
Mon Dec 05, 2016 10:25 am
Forum: Estimation
Topic: Estimating State Space Model with exogenous variables
Replies: 1
Views: 1413

Estimating State Space Model with exogenous variables

Hi all, I'm trying to estimate the following specification: y(t) = trend + cycle trend(t) = 2*trend(t-1) - trend(t-2) + e_t(t) cycle = C(2)*cycle(-1) + c(3)*x(t) + c(4)*z(t-1) + e_c(t) I'm essentially breaking gdp into trend and cycle with the cycle being described by financial variables x (house pr...
by purdued
Wed Aug 20, 2014 8:01 am
Forum: Add-in Support
Topic: ARIMASel (Automatic ARIMA selection)
Replies: 85
Views: 99585

Re: ARIMASel (Automatic ARIMA selection)

I'm not sure on that. I might re-install the add-in to see if that works.
by purdued
Wed Aug 20, 2014 7:44 am
Forum: Add-in Support
Topic: ARIMASel (Automatic ARIMA selection)
Replies: 85
Views: 99585

Re: ARIMASel (Automatic ARIMA selection)

Yes, it works fine when I use it for an individual series. Also in the manage add-ins section, it says installed.
by purdued
Wed Aug 20, 2014 3:45 am
Forum: Add-in Support
Topic: ARIMASel (Automatic ARIMA selection)
Replies: 85
Views: 99585

Re: ARIMASel (Automatic ARIMA selection)

Hi I'm looking to loop arimasel over a list of series like some of the others before me; I'm using the code !row = 1 table results for %ser c1 c2 c3 {%ser}.arimasel results(!row,1) = %ser results(!row,2) = chosenstr !row = !row + 1 next However I keep getting an error saying "arimasel is not a ...
by purdued
Fri Nov 29, 2013 10:41 am
Forum: Bug Reports
Topic: "overflow of analytical derivatives" error
Replies: 6
Views: 3933

Re: "overflow of analytical derivatives" error

Thanks Trubador. Changing initial values helps alright. the model is very sensitive to what you set them to though. I can set the initial values to non-zero numbers and have gotten equation objects while other non-zero numbers will result in the error will pop up. Is it possible a figure is tending ...
by purdued
Tue Nov 26, 2013 9:19 am
Forum: Bug Reports
Topic: "overflow of analytical derivatives" error
Replies: 6
Views: 3933

Re: "overflow of analytical derivatives" error

Hi Glenn,

Here's the workfile, sorry for the delay.

I have a feeling all this is due to the spec of the pc I'm working on.
str_data.WF1
(123.58 KiB) Downloaded 256 times
by purdued
Fri Nov 22, 2013 5:30 am
Forum: Bug Reports
Topic: "overflow of analytical derivatives" error
Replies: 6
Views: 3933

"overflow of analytical derivatives" error

Hi all, I'm currently trying to estimate an non-linear STR with the following: smpl @all series dr_uk = r_uk - r_uk(-1) series ldr_uk = dr_uk(-1) series t = @trend + 1 coef(1) gamma coef(1) lambda coef(7) beta coef(7) theta LS R_UK = (1 - 1/(1 + @exp(-gamma(1)*(t - lambda(1)))))*(BETA(1) + BETA(2)*R...
by purdued
Tue Nov 19, 2013 10:37 am
Forum: Estimation
Topic: Smooth Transition Regression estimation issue
Replies: 1
Views: 1466

Smooth Transition Regression estimation issue

Hi all, I'm currently trying to estimate an non-linear STR with the following: smpl @all series dr_uk = r_uk - r_uk(-1) series ldr_uk = dr_uk(-1) series t = @trend + 1 coef(1) gamma coef(1) lambda coef(7) beta coef(7) theta LS R_UK = (1 - 1/(1 + @exp(-gamma(1)*(t - lambda(1)))))*(BETA(1) + BETA(2)*R...

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