Panel Least Squares estimation method Nonlinear optimization algorithm

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

EViews Glenn
EViews Developer
Posts: 2671
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: 2671
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


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 26 guests