STAR*
Moderators: EViews Gareth, EViews Moderator, EViews Esther
STAR*
This thread is about the Smooth Transition Regression (STR) addin which performs testing, estimation and evaluation of STR models. The testing procedures includes the specific alternatives: LSTR, ESTR, LSTRD and ESTRD, transition variables significance and adequacy between STR structures. For the estimation of the STR models the equation or Logl objects are used. The evaluation consists on the usefulness of the transition function in the model, their dynamic properties and diagnostic tests of residuals. The addin is based on Clive WJ Granger and Timo Terasvirta. Modelling nonlinear economic relationships. Oxford University Press, 1993. Comments and suggestions of the addin are welcomed.
Attached you can find the addin documentation.
Regards, Nicolas Ronderos Pulido
Attached you can find the addin documentation.
Regards, Nicolas Ronderos Pulido
 Attachments

 STR.pdf
 Addin documentation.
 (307.24 KiB) Downloaded 1500 times
Last edited by NicolasR on Fri Nov 03, 2017 10:34 am, edited 2 times in total.
Re: STAR*
Do you check the addin documentation? I provide two examples in there, one with simulated data and the other with USA inflation. The estimated model with the addin can forecast if you choose LSTAR or ESTAR models, but if you choose LSTARD or ESTARD model it can not given that you need the transition variable (residuals) in more advanced periods. Remember that forecasting from nonlinear models for more than T+1 has some problems.
PD: note that the estimated model contain a dep variable as you dependent variable in the estimated models, you could create it as genr dep=%yourvariablename
Regards.
PD: note that the estimated model contain a dep variable as you dependent variable in the estimated models, you could create it as genr dep=%yourvariablename
Regards.
Re: STAR*
Hi!
First of all, thank you very much for this useful addin!
I'm working with my postgraduate thesis in economics and I'm estimating an error correction model using an smooth transition approach (STECM).
The method I should use is pretty similar to the one that is used in Delatte's et. al. paper (only without the panelapproach):
http://papers.ssrn.com/sol3/papers.cfm? ... id=1917219
My question: is there a way I could include the short run effects of the ECMmodel when using your addin? This short run component is the one that is last term of the right hand side of the model, so the smooth transition function is not in direct relation with it. However, in order to estimate the model properly I should still include the short run part in it.
Thank you so much in advance!
Petteri
First of all, thank you very much for this useful addin!
I'm working with my postgraduate thesis in economics and I'm estimating an error correction model using an smooth transition approach (STECM).
The method I should use is pretty similar to the one that is used in Delatte's et. al. paper (only without the panelapproach):
http://papers.ssrn.com/sol3/papers.cfm? ... id=1917219
My question: is there a way I could include the short run effects of the ECMmodel when using your addin? This short run component is the one that is last term of the right hand side of the model, so the smooth transition function is not in direct relation with it. However, in order to estimate the model properly I should still include the short run part in it.
Thank you so much in advance!
Petteri
Re: STAR*
The paper seems interesting. I don´t know what you mean exactly by the shortrun effects, but you can estimate an Error Correction Model using the EngleGranger procedure (from what I saw you have two variables CDS and bonds) and save the stationary error correction mechanism, then using the addin twice estimate both equations including this mechanism. What is normally found is that in some periods the cointegration mechanism stops working, the transition variable will tell you this.
Good luck!
Good luck!
Re: STAR*
hello;
thank you for your program for estimating STR models. but I have a question about running it. would you please guide me what do you exactly mean about "vector object for starting value"? it is not clear for me and I don not know what i must insert in it? can you help me where I can find any description about your program?
thanks again for providing this program.
thank you for your program for estimating STR models. but I have a question about running it. would you please guide me what do you exactly mean about "vector object for starting value"? it is not clear for me and I don not know what i must insert in it? can you help me where I can find any description about your program?
thanks again for providing this program.
Re: STAR*
Hi,
STR models are nonlinear in parameters so to estimate them one must use an optimization algorithm, the vector object for starting values is a vector object that contains an starting value for each of the coefficients in the model respectively i.e. the position (1,1) in the vector corresponds to the starting value for the first coefficient and so on. The vector object must be at least of the same size than the number of parameters you want to estimate.
Check the examples in the addin documentation, it will give you a better idea .
Regards.
STR models are nonlinear in parameters so to estimate them one must use an optimization algorithm, the vector object for starting values is a vector object that contains an starting value for each of the coefficients in the model respectively i.e. the position (1,1) in the vector corresponds to the starting value for the first coefficient and so on. The vector object must be at least of the same size than the number of parameters you want to estimate.
Check the examples in the addin documentation, it will give you a better idea .
Regards.
Re: STAR*
Hi;
I am using eviews 8 to running STR addin, but I can not find any addin documentation and your examples.
Now I am trying to insert an item in " vector object for starting value", I have 5 coefficient to be estimated, can you please exactly describe for me what I write there for starting value?
Thanks
I am using eviews 8 to running STR addin, but I can not find any addin documentation and your examples.
Now I am trying to insert an item in " vector object for starting value", I have 5 coefficient to be estimated, can you please exactly describe for me what I write there for starting value?
Thanks
Re: STAR*
If you click Addins>Manage addins> select the star addin and then Docs the addin documentation will appear (now is attached in the first comment just in case). You have to create a vector of size 5 or greater.
In this case all the starting values will equal one, if you want to change any then just fill the starting value in the corresponding coordinate.
Code: Select all
vector(5) starting_values=1
In this case all the starting values will equal one, if you want to change any then just fill the starting value in the corresponding coordinate.
Code: Select all
vector(1,2) starting_values=0.5
Re: STAR*
Hi;
Thank you so much for your helping, and please excuse me for interrupting you. But when I running the program, I face with this massage error:
" Syntax error in control statement in " If 2*@wcount("inf(1) ex y pim")+1>@ROWS(VECTOR(10) STARTING_VALUE=1) THEN"."
I do not understand what is the problem!!
I will be appreciate you if explain this massage error for me.
Best Regard
Thank you so much for your helping, and please excuse me for interrupting you. But when I running the program, I face with this massage error:
" Syntax error in control statement in " If 2*@wcount("inf(1) ex y pim")+1>@ROWS(VECTOR(10) STARTING_VALUE=1) THEN"."
I do not understand what is the problem!!
I will be appreciate you if explain this massage error for me.
Best Regard
Re: STAR*
Hi,
Thank you for this useful addin. I've trying to use it with my data, however I get the following message WARNING: Singular covariance  coefficients are not unique and in the estimation model, the coefficients appear but I only get NA for the tstat and prob.
Could you help me ? Thank you !!
Souad
Thank you for this useful addin. I've trying to use it with my data, however I get the following message WARNING: Singular covariance  coefficients are not unique and in the estimation model, the coefficients appear but I only get NA for the tstat and prob.
Could you help me ? Thank you !!
Souad

 Posts: 1
 Joined: Tue Sep 15, 2015 2:41 am
Re: STAR*
Dear Nicolas, thanks for the STAR* add ins! I have installed the add in and tried to use it. I read the PDF help file you wrote but still not clear how to implement. For example, how do you input the commend for example 1 in the PDF file? If I input the equations, variables in the STAR window, what are the definitions of all the fields in the "STAR models" window? Many thanks and I look forward to hearing from you! /Louisa
Who is online
Users browsing this forum: No registered users and 1 guest