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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...

In a STAR model, or any Threshold AR model for that matter, does the transition variable need to be stationary?

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".

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 calc...

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...

EViews Gareth wrote:Lstr03.@aic

beautiful, thanks!

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...

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 ...

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...

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...

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 ...

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 ...

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?

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...