rtadf
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- Posts: 2
- Joined: Wed Sep 03, 2014 4:24 am
Re: rtadf
Dear Itamar,
Thank you for your reply. I am pretty sure that the "gsadf" contains the test-statistics (and the 1%,5% or 10% of the sorted test-statistics) are the critical values. Are these critical values of the BSADF? Then how can we implement the GSADF process? Which method should be used as a date-stamping strategy?
Could you please provide a brief explanation of each method?
Thank you in advance.
Regards,
Ioannis
Thank you for your reply. I am pretty sure that the "gsadf" contains the test-statistics (and the 1%,5% or 10% of the sorted test-statistics) are the critical values. Are these critical values of the BSADF? Then how can we implement the GSADF process? Which method should be used as a date-stamping strategy?
Could you please provide a brief explanation of each method?
Thank you in advance.
Regards,
Ioannis
Re: rtadf
Hi,
Forgive me if I wasn't clear. I'll try again:
- 'gsadf' is the test statistics sequence. This is what PSY call the BSADF sequence.
- 'gsadf_cv' is the corresponding critical values sequence of the BSADF at a chosen significance level (beta).
- The starting point of a bubble period is marked as the date at which 'gsadf' crosses 'gsadf_cv' from below and the endpoint is where 'gsadf' crosses 'gsadf_cv' from above.
BTW, there is a bug in the add-in - some error about %BETA_PC when running the GSADF test. I will fix it in the next update of the add-in. In the meanwhile, the output has all the info you need to perform the GSADF test.
Itamar
Forgive me if I wasn't clear. I'll try again:
- 'gsadf' is the test statistics sequence. This is what PSY call the BSADF sequence.
- 'gsadf_cv' is the corresponding critical values sequence of the BSADF at a chosen significance level (beta).
- The starting point of a bubble period is marked as the date at which 'gsadf' crosses 'gsadf_cv' from below and the endpoint is where 'gsadf' crosses 'gsadf_cv' from above.
BTW, there is a bug in the add-in - some error about %BETA_PC when running the GSADF test. I will fix it in the next update of the add-in. In the meanwhile, the output has all the info you need to perform the GSADF test.
Itamar
Re: rtadf
Good day Itamar
Im currently working on a project where i have variables that i want to use in your RTADF group code loop.
Although i can read the coding a bit, i am still new to actually programming the functions in Eviews. Is it at all possible to have the group code run and have the critical values change in a kind of loop. So that in the end, if i have 3 variables on which i want to apply the model, i want to end up with 9 graphs, each of the variables using 90%, 95% and 99% critical values.
If it is unclear to what i am looking for, please let me know
If so, could you advise me perhaps on how this is done?
Regards,
J
Im currently working on a project where i have variables that i want to use in your RTADF group code loop.
Although i can read the coding a bit, i am still new to actually programming the functions in Eviews. Is it at all possible to have the group code run and have the critical values change in a kind of loop. So that in the end, if i have 3 variables on which i want to apply the model, i want to end up with 9 graphs, each of the variables using 90%, 95% and 99% critical values.
If it is unclear to what i am looking for, please let me know
If so, could you advise me perhaps on how this is done?
Regards,
J
Re: rtadf
Dear J,
I believe what your asking for can be achieved fairly easily. All you need to do is add your choice of a confidence level (beta) to the simulation command line. The default beta is set to 95%. If instead, for example, you wish to set beta to 90%l, just add "beta=0.90" to the simulation command line (see in boldface):
'generate critical values for the common sample length using the first series as input
smpl %sample
%i=g01.@seriesname(1)
{%i}.rtadf(const,model=!model,lag=!lag,win=!win,sim, rep=!rep, d=0, beta=0.90)
rtadf_spool.extract(tstat_{%i}) untitled01
close tstat_{%i}
for !i=1 to 3
stats(!i,2)=tstat_{%i}(11+!i,4)
next
The rest of the code need not change. You will, however, need to run this code 3 times for each beta in order to get 9 graphs. (Of course you can always optimize this code by running a loop over 'beta'. it's your call)
Hope this helps!
Itamat
I believe what your asking for can be achieved fairly easily. All you need to do is add your choice of a confidence level (beta) to the simulation command line. The default beta is set to 95%. If instead, for example, you wish to set beta to 90%l, just add "beta=0.90" to the simulation command line (see in boldface):
'generate critical values for the common sample length using the first series as input
smpl %sample
%i=g01.@seriesname(1)
{%i}.rtadf(const,model=!model,lag=!lag,win=!win,sim, rep=!rep, d=0, beta=0.90)
rtadf_spool.extract(tstat_{%i}) untitled01
close tstat_{%i}
for !i=1 to 3
stats(!i,2)=tstat_{%i}(11+!i,4)
next
The rest of the code need not change. You will, however, need to run this code 3 times for each beta in order to get 9 graphs. (Of course you can always optimize this code by running a loop over 'beta'. it's your call)
Hope this helps!
Itamat
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- Posts: 2
- Joined: Wed Oct 01, 2014 7:49 am
PRoblems with BETA_PC
Hi Itamar,
I am an old user of Phillips, Shi and Yu methods, but i used them on MATLAB.
Your patch on eviews facilitates my work so much (thanks in advide), but i am having a problem with models 2 and 4. When i do the test by PROC-ADD INS or by the formula specified on your paper a problem called BETA_PC appears, it may be caused by a broken simulation. I followed your reccomendation suggested on a previous post but it does not get any better. What can i do?
Thank you Itamar.
I am an old user of Phillips, Shi and Yu methods, but i used them on MATLAB.
Your patch on eviews facilitates my work so much (thanks in advide), but i am having a problem with models 2 and 4. When i do the test by PROC-ADD INS or by the formula specified on your paper a problem called BETA_PC appears, it may be caused by a broken simulation. I followed your reccomendation suggested on a previous post but it does not get any better. What can i do?
Thank you Itamar.
Re: rtadf
Hi,
I fixed this problem in the new version of Rtadf (version 1.3). It should appear in EViews add-ins website within the next few days. If you wish, send me your email in a private message and I'll send you the installation file by mail.
I fixed this problem in the new version of Rtadf (version 1.3). It should appear in EViews add-ins website within the next few days. If you wish, send me your email in a private message and I'll send you the installation file by mail.
Re: rtadf
A new version (1.3) of the Rtadf addin is now available at the EViews addin page. The update includes the following improvements:
- The output table and graph are now presented within the series object.
- Output objects now include only the following three: the sequence of test statistics, sequence of critical values and a vector which holds the simulated critical values. For example, if you use the SADF test you'll get 'sadf' ,'sadf_cv' and 'sadf_dist' respectively.
- An updated user guide
- Bug fixes (including the BETA_PC bug)
Itamar
- The output table and graph are now presented within the series object.
- Output objects now include only the following three: the sequence of test statistics, sequence of critical values and a vector which holds the simulated critical values. For example, if you use the SADF test you'll get 'sadf' ,'sadf_cv' and 'sadf_dist' respectively.
- An updated user guide
- Bug fixes (including the BETA_PC bug)
Itamar
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- Posts: 2
- Joined: Wed Oct 01, 2014 7:49 am
Re: rtadf
Itamar,
I used the 3rd model for the stamping and it worked.
Thanks, your patch helped me a lot.
Juan Pablo
I used the 3rd model for the stamping and it worked.
Thanks, your patch helped me a lot.
Juan Pablo
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- Posts: 34
- Joined: Wed Mar 19, 2014 9:28 pm
- Location: India
Re: rtadf
I am using the monthly dividend yield data. I am successfully able to run the 1,2 and 3 model using the latest version of rtadf package with EViews 8.0.
However, when I run model 4 (GSADF) it is showing two issues:
1. Enormous amount of computation time (However it is ok!!) {It is not happening for other 3 models}
2. At the end it is showing an error "BETA_PC" not defined.
3. For all the models despite selecting AIC it is selecting the lag length based on SIC only.
PS: For lag length selection I used AIC with 3 lags.
However, when I run model 4 (GSADF) it is showing two issues:
1. Enormous amount of computation time (However it is ok!!) {It is not happening for other 3 models}
2. At the end it is showing an error "BETA_PC" not defined.
3. For all the models despite selecting AIC it is selecting the lag length based on SIC only.
PS: For lag length selection I used AIC with 3 lags.
Re: rtadf
Hi,
1. Yep, the GSADF test takes A LOT of time since it runs a lot of regressions. I am currently working on ways to parallelize the code with the help of a 3rd party software but it is in experimental stages. I'll post an update once it is ready.
2. You probably have an earlier version of the add-in. Download the latest from EViews' add-in webpage. The BETA_PC bug should be fixed. If not, let me know.
3. I tested it myself and I don't see any problems. Maybe in your specific case the results of both criteria coincide? Try using a larger number of maximum lags, say 8, and see if it is still the same.
1. Yep, the GSADF test takes A LOT of time since it runs a lot of regressions. I am currently working on ways to parallelize the code with the help of a 3rd party software but it is in experimental stages. I'll post an update once it is ready.
2. You probably have an earlier version of the add-in. Download the latest from EViews' add-in webpage. The BETA_PC bug should be fixed. If not, let me know.
3. I tested it myself and I don't see any problems. Maybe in your specific case the results of both criteria coincide? Try using a larger number of maximum lags, say 8, and see if it is still the same.
Re: rtadf
Dear Itamar,
First of all, thank you for a great add-in. It has been of tremendous help for us.
I am using the latest version (1.4) and I still seem to run into the occasional beta_pc problem. However, I think I have come up with a possible solution.
In the rtadfsim program, the beta_pc scalar is created just before the pagecreate statement, whereas the cv table is created right after this. This results in the beta_pc scalar being created on the initial default page containing data and the cv table being created on the simulation page.
This creates a problem for the following piece of code (from the rtadf program) as eviews is trying to copy beta_pc from the simulation page to the default page. However, beta_pc does not exist on the simulation page. Often, the program will not result in an error, but keep on going. The results will be correct since beta_pc is already present on the default page, which is what we are trying to achieve. However, sometimes it will prompt an error since we are trying to copy something that does not exist.
Solution:
In the rtadfsim code, move the creation statement of the scalar beta_pc a couple of lines down, such that it is below the pagecreate statement. The scalar will now be created on the simulation page and can thus be copied from there. I have altered my code to the following:
Additionally, I have added a destination to the copy statement in the rtadf program. However, this seems to be redundant, so this change might not need to be made.
/Thomas
First of all, thank you for a great add-in. It has been of tremendous help for us.
I am using the latest version (1.4) and I still seem to run into the occasional beta_pc problem. However, I think I have come up with a possible solution.
In the rtadfsim program, the beta_pc scalar is created just before the pagecreate statement, whereas the cv table is created right after this. This results in the beta_pc scalar being created on the initial default page containing data and the cv table being created on the simulation page.
This creates a problem for the following piece of code (from the rtadf program) as eviews is trying to copy beta_pc from the simulation page to the default page. However, beta_pc does not exist on the simulation page. Often, the program will not result in an error, but keep on going. The results will be correct since beta_pc is already present on the default page, which is what we are trying to achieve. However, sometimes it will prompt an error since we are trying to copy something that does not exist.
Code: Select all
'import simulation results to default page
pageselect simulation
%simpagename = @pagename
pageselect {%datapagename}
copy {%simpagename}\cv cv
copy {%simpagename}\beta_pc
%beta_pc = @str(beta_pc)
Solution:
In the rtadfsim code, move the creation statement of the scalar beta_pc a couple of lines down, such that it is below the pagecreate statement. The scalar will now be created on the simulation page and can thus be copied from there. I have altered my code to the following:
Code: Select all
!d = @val(%d)
!eta = @val(%eta)
!theta = @val(%theta)
!beta = @val(%beta)
'create a new page
!totalobs = !runin+!T
pagecreate(page=simulation) u !totalobs
scalar beta_pc = @round(!beta*100)
Additionally, I have added a destination to the copy statement in the rtadf program. However, this seems to be redundant, so this change might not need to be made.
Code: Select all
'changed from this
copy {%simpagename}\beta_pc
'to this
copy {%simpagename}\beta_pc beta_pc
/Thomas
Re: rtadf
Dear Thomas,
Thanks for your kind words!
your suggestion seems to work well. I am currently working on an update for the 'rtadf' add-in and you've just saved me some work
BTW, the new version will allow the user to run the simulations in parallel via MATLAB, an option that cuts simulation running time dramatically...
Hope to have it uploaded soon.
Best,
Itamar
Thanks for your kind words!
your suggestion seems to work well. I am currently working on an update for the 'rtadf' add-in and you've just saved me some work
BTW, the new version will allow the user to run the simulations in parallel via MATLAB, an option that cuts simulation running time dramatically...
Hope to have it uploaded soon.
Best,
Itamar
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- Posts: 1
- Joined: Thu May 21, 2015 2:21 am
Re: rtadf
Hello Itamar,
I am trying to use the Phillips, Shi and Yu methods for my bachelor degree thesis. I downloaded the eviews add ins from the EViews site, but when I run the test a problem called BETA_PC appears. I read here on the forum about this problem, but the RTADF add ins that I downloaded from the site is from 2013/08/28. I saw that you wrote on this forum that you uploaded a new version in March 2014 but I can't find it anywhere. I need some help, so can you tell me where else can I find the latest version of the RTADF add ins?
Best regards,
Anca.
I am trying to use the Phillips, Shi and Yu methods for my bachelor degree thesis. I downloaded the eviews add ins from the EViews site, but when I run the test a problem called BETA_PC appears. I read here on the forum about this problem, but the RTADF add ins that I downloaded from the site is from 2013/08/28. I saw that you wrote on this forum that you uploaded a new version in March 2014 but I can't find it anywhere. I need some help, so can you tell me where else can I find the latest version of the RTADF add ins?
Best regards,
Anca.
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