## Search found 32 matches

Sun May 22, 2016 5:36 am
Forum: Add-in Support
Topic: STAR*
Replies: 52
Views: 31732

### Re: STAR*

Dear Nicolas, I believe I have corrected the problems I was having yesterday, which is shown in the above post. No matter which starting values I chose, and how I changed the convergence parameter, I just couldn't get reasonable results. I was having failure to converge which resulted in unreasonabl...
Sat May 21, 2016 8:08 pm
Forum: Econometric Discussions
Topic: STAR model with non-stationary transition variable
Replies: 0
Views: 1320

### STAR model with non-stationary transition variable

In a STAR model, or any Threshold AR model for that matter, does the transition variable need to be stationary?
Sat May 21, 2016 4:29 pm
Forum: Programming
Topic: generate a vector of random values
Replies: 3
Views: 2206

### generate a vector of random values

Hi I'd like to generate a vector of random values.

I have been trying vector(15) myvec = 0.5*nrnd

but I get the error message
Syntax error in "VECTOR(15) myvec = 0.5*NRND".
Sat May 21, 2016 4:01 pm
Forum: Add-in Support
Topic: STAR*
Replies: 52
Views: 31732

### Re: STAR*

I looks like that the optimization algorithm does not reach convergence. You can try different strarting values. When I have no idea what values, what I usually do is to try random numbers for the starting values and I keep the ones that reach the best values of some criteria (BIC, AIC, R2,SSR). If...
Sat May 21, 2016 3:38 pm
Forum: Add-in Support
Topic: STAR*
Replies: 52
Views: 31732

### Re: STAR*

Maybe. To check how your transition function behaves you can select the option "Evaluation of the transition function" and this will give you the values that your transition function takes. If the function only takes two values then you will have a TAR model. Do you want the model to calc...
Sat May 21, 2016 3:27 pm
Forum: Add-in Support
Topic: STAR*
Replies: 52
Views: 31732

### Re: STAR*

Dear NicolasR, Thank you for your response above. I just saw it there, as I am posting another issue. I am having a problem with estimation. I have tried changing my starting values and I can't seem to resolve the problem here. Here is an upload of my output. But what is strange is that the transiti...
Sat May 21, 2016 11:50 am
Forum: Programming
Topic: extract the AIC from estimated equation output
Replies: 2
Views: 1935

### Re: extract the AIC from estimated equation output

EViews Gareth wrote:Lstr03.@aic

beautiful, thanks!
Sat May 21, 2016 10:48 am
Forum: Programming
Topic: extract the AIC from estimated equation output
Replies: 2
Views: 1935

### extract the AIC from estimated equation output

Hello, I'd like to extract the AIC from my estimation output. For example I estimate the equation lrd4.star(variables=lrd4(-1) bdmrgn dlsoy lrd6, transition=lrd4(-1), lstr, evaluation, sv=d4sv) which generates the equation LSTR03 with the following ouptut. I thought it would be something simply like...
Fri May 20, 2016 4:25 pm
Forum: Add-in Support
Topic: STAR*
Replies: 52
Views: 31732

### Re: STAR*

Hi, In STAR models the transition function determines the regime. Therefore with a STAR model you estimate as many regimes as values that your transition function takes. The threshold "c", the "Gamma" (In the add-in documentation notation) and the transition variable determines ...
Wed May 11, 2016 6:27 pm
Forum: Add-in Support
Topic: STAR*
Replies: 52
Views: 31732

### Re: STAR*

Hi, In STAR models the transition function determines the regime. Therefore with a STAR model you estimate as many regimes as values that your transition function takes. The threshold "c" and the "Gamma" (In the add-in documentation notation) determines the behavior of your tran...
Tue May 10, 2016 12:33 pm
Forum: Estimation
Topic: EViews 9.5 TAR model methodology
Replies: 4
Views: 2184

### Re: EViews 9.5 TAR model methodology

I haven't looked at those papers in a while, but the statement appears to relate to the regressors, not the threshold, so that even with exogenous thresholds you have problems if the regressors are endogenous. Thank you for your reply. Are you aware of the missing equations I mentioned in the EView...
Tue May 10, 2016 12:29 pm
Forum: Add-in Support
Topic: STAR*
Replies: 52
Views: 31732

### Re: STAR*

Thanks for the great Add-In. However, I am not clear on whether this add-in can handle data with multiple regimes (3 or more regimes)? In the add-in documentation the provided examples do not show the threshold specification summary. So does this add-in estimate the appropriate number of thresholds ...
Mon May 02, 2016 6:12 am
Forum: Estimation
Topic: EViews 9.5 TAR model methodology
Replies: 4
Views: 2184

### Re: EViews 9.5 TAR model methodology

I read in the user guide that the methodology is based on the methodologies of Bai and Perron (1998), and not the fixed regressor bootstrap testing proposed by Hansen (1999), to determine the number of thresholds. The user guide goes on to say that "We caution you that the approaches based on ...
Sun May 01, 2016 1:42 pm
Forum: Estimation
Topic: EViews 9.5 TAR model methodology
Replies: 4
Views: 2184

### Re: EViews 9.5 TAR model methodology

Equations 33.3 and 33.4 are missing in the Eviews user guide. The equations are not appearing in either Mozilla, IE or Chrome. Does anybody know if there is a way to report these types of things to EViews?
Sun May 01, 2016 1:09 pm
Forum: Estimation
Topic: EViews 9.5 TAR model methodology
Replies: 4
Views: 2184

### EViews 9.5 TAR model methodology

I read in the user guide that the methodology is based on the methodologies of Bai and Perron (1998), and not the fixed regressor bootstrap testing proposed by Hansen (1999), to determine the number of thresholds. The user guide goes on to say that "We caution you that the approaches based on t...

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