STAR*

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mrhode8
Posts: 2
Joined: Wed Aug 16, 2017 1:58 pm

Re: STAR*

Is it possible to not include an intercept term? Some papers I've read that use daily data, suggest an intercept in both the linear and non-linear parts of this model are not needed because of the frequency.

NicolasR
Posts: 85
Joined: Mon Nov 04, 2013 6:22 pm
Location: Here

Re: STAR*

Hi,

I have design the add-in in such a way that the intercept must be included in the model. But you can easily do that in the STAR EViews 10 procedure.

Good luck!

Sekanda8
Posts: 1
Joined: Mon Dec 11, 2017 10:20 am

Re: STAR*

Dear Nicolas,

I am writing my master thesis in financial economics and I am using the logistic smooth transition regression model in a factor model. I downloaded your add-in. When i use it via the window of my dependent variable or I use the command that I can find in your pdf, I only obtained scalars (with one value of 1 or 0 ) for the estimation and evaluation parts. I was wondering if you could help me with that.

These are the commands I tried to use:

exc1.star(variables= unffr mktrf ,transition=mpu,lstr,evaluation,sv=sv)
exc1.star(variables= unffr mktrf mpu ,transition=mpu,lstr,evaluation,sv=sv)

Many thanks.

Ghezal

NicolasR
Posts: 85
Joined: Mon Nov 04, 2013 6:22 pm
Location: Here

Re: STAR*

Hello,

I guess that the estimation of your gamma parameter is large enough, hence you can use a discrete TAR model and it is not necessary to perform a LSTAR estimation.

Regards,

mohamed abed
Posts: 1
Joined: Wed Jul 04, 2018 7:14 pm

Re: STAR*

NicolasR wrote:Hi Louisa,

For the example 1, after installing the add-in just entee in the command window:

Code: Select all

`vector(11) sv=1z.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 pdf.

Dear Nicolas, thanks for the STAR* add ins! I am having a problem with adding lags. What is right code of adding 10 lags? I used x(-1 to -10) but I get a mistake massage. Best regards.

NicolasR
Posts: 85
Joined: Mon Nov 04, 2013 6:22 pm
Location: Here

Re: STAR*

Hi,

You can not add the lags using that command. You must type each lag individually.

Regards,