Panel Least Squares estimation method Nonlinear optimization algorithm

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EViews Glenn
EViews Developer
Posts: 2548
Joined: Wed Oct 15, 2008 9:17 am

Re: Panel Least Squares estimation method Nonlinear optimization algorithm

Postby EViews Glenn » Wed Jul 12, 2017 4:42 pm

The results in EQ01 look fine. You might want to perterb results from those final values to verify stability, but the gradients look good.

acemi
Posts: 46
Joined: Thu Jun 23, 2016 10:28 pm

Re: Panel Least Squares estimation method Nonlinear optimization algorithm

Postby acemi » Wed Jul 12, 2017 9:17 pm

Thank you very much.
Is there method to conduct perturb study in Eviews9 (built-in, add-in, or programming) ?

EViews Glenn
EViews Developer
Posts: 2548
Joined: Wed Oct 15, 2008 9:17 am

Re: Panel Least Squares estimation method Nonlinear optimization algorithm

Postby EViews Glenn » Thu Jul 13, 2017 9:42 am

Not built-in for NLLS yet. For now, you'll need to write a loop.

acemi
Posts: 46
Joined: Thu Jun 23, 2016 10:28 pm

Re: Panel Least Squares estimation method Nonlinear optimization algorithm

Postby acemi » Thu Jul 13, 2017 9:53 pm

OK thank you.
I would like ask your professional judgement on one issue :

the simulation gave multiple converging results but most of them having different coefficient values. SSR values are also different. I conclude that there are multiple local optima in the search range. Moreover when I rank by SSR values in ascending order, the minimum SSR has some converged coefficient values way off of theoretical expectations. So in the overall I conclude that the results are inconclusive for empirical purposes and a better algorithm should be used in stead.

Best regards


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