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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 ...

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 calcu...

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 t...

Hi,

Is there a command to extact the value of the logl of a SVAR model? I've looked but I could not find it. Thanks.

Best regards,

Hi ecofin, Thanks for your suggestions, number 1,2,3 and 5 are straightforward to implement. But for the moment you can obtain the p-value using the Monte Carlo option (for your request number 1) and run the regression with the same specification as showed in the spool (for your request number 5). D...

2. The spool "signal_tests" contains the graph and tabulate of the C.S.D you can extract any of them from the spool. dlg.spectral(t,criteria=4,individual) signal_tests.extract(csd) graph_3 3. I can get the spectrum of the log returns using the Hamming window. The error of the out of memory...

Hi, I am estimating some impulse response functions with an SVAR model with short-run restriccions, I want to obtain the confidence intervals for the responses with monte carlo, but when I select the option the interval does not apper. Is it possible to obtain the confidence intervals with the model...

Hi, The Hamming and Hann windows are special cases of the Tukey, do you mean a box to insert the parameter of the Tukey window? The add-in already estimate the cumulative spectral distribution, is the distribution showed in the Normalized Integrated spectrum test which is the same as the wntestb com...

This thread is about the HEGY add-in which performs seasonal unit root tests. The add-in works with biannual, quarterly or monthly data. The add-in contains the option to obtain the critical value by Monte Carlo, time of the simulations depend mostly on the number of observations but in general they...

The specification you posted does not run because you only have 35 observations, since the tests are based on expansions that use variables combination and exponentials, like the RESET test, the testing procedure cannot be performed, you can bring out some variables, nevertheless I recommend you to ...

Masume:

What do you mean by ommitted?, the first two linear variables are the dependent variable and the constant. ¿What did you tried to do to get the over flow error?, please post your workfile.

Or you can estimate the parameters of a distribution by ML and compare the information criteria with other estimations, in case that you do not find the distribution you want in the option that startz suggests. wfcreate u 1 1000 genr z=nrnd*2+5 logl normal normal.append @logl logl1 normal.append res...

Hi Louisa, For the example 1, after installing the add-in just entee in the command window: vector(11) sv=1 z.star(variables=x x(-1) x(-2),transition=x(-1),lstr,evaluation,sv=sv) ¿Which version of Eviews are you using? ¿Of which fields to fill do you have questions? all of them are explained if the ...

Check the appendix c of user guide II, estimation and solution options.

Regards.

Hi,

Thanks for the code, I'm using it to run some multivariate simulations, but I have a question, the code is based in the method that use the cholesky decomposition?

Regards.