## Likelihood function problem

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bqlqbsleb
Posts: 6
Joined: Thu Sep 14, 2017 3:28 am

### Likelihood function problem

i was trying to use LOGl to estimate an EGARCH model, here is my code

Code: Select all

@logl logl1
res = er - c(1) - c(2)*var - c(3)*var*D - c(4)*tr
LOG(var) = C(5) + C(6)*ABS(RESID(-1)/@SQRT(var(-1))) + C(7)*RESID(-1)/@SQRT(var(-1)) + C(8)*LOG(var(-1)) + C(9)*op+ C(10)*pe + C(11)*RF
logl1 = log(@dnorm(res/@sqrt(var))) - log(var)/2

However, i get this information
Missing values in @LOGL series at current coefficients at observation 6/02/1989

So, can some experts tell me why and how to solve it?

bqlqbsleb
Posts: 6
Joined: Thu Sep 14, 2017 3:28 am

### Re: Likelihood function problem

sorry, the code is the below

Code: Select all

@logl logl1
res = er - c(1) - c(2)*var  - c(4)*tr
LOG(var) = C(5) + C(6)*ABS(RESID(-1)/@SQRT(var(-1))) + C(7)*RESID(-1)/@SQRT(var(-1)) + C(8)*LOG(var(-1)) + C(9)*op+ C(10)*pe + C(11)*RF
logl1 = log(@dnorm(res/@sqrt(var))) - log(var)/2

bqlqbsleb
Posts: 6
Joined: Thu Sep 14, 2017 3:28 am

### Re: Likelihood function problem

here is the workfile
Attachments
missing.wf1

bqlqbsleb
Posts: 6
Joined: Thu Sep 14, 2017 3:28 am

### Re: Likelihood function problem

the starting value is set based on

Code: Select all

equation basic.arch(ged, egarch, archm=var) er c tr @ op pe rf

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11907
Joined: Tue Sep 16, 2008 5:38 pm

### Re: Likelihood function problem

RESID has no data. Are you sure you want it to depend on RESID?

bqlqbsleb
Posts: 6
Joined: Thu Sep 14, 2017 3:28 am

### Re: Likelihood function problem

EViews Gareth wrote:RESID has no data. Are you sure you want it to depend on RESID?

yes. as for the GARCH (1,1), i would like to add it to the volatility model. i know that Eviews has package to do it in a simple way; however, i need to modify the mean equation in the following procedure.

so, how can i solve it? i have pre-estimated a model and i believe after that estimation, resid should have values.

bqlqbsleb
Posts: 6
Joined: Thu Sep 14, 2017 3:28 am

### Re: Likelihood function problem

bqlqbsleb wrote:
EViews Gareth wrote:RESID has no data. Are you sure you want it to depend on RESID?

yes. as for the GARCH (1,1), i would like to add it to the volatility model. i know that Eviews has package to do it in a simple way; however, i need to modify the mean equation in the following procedure.

so, how can i solve it? i have pre-estimated a model and i believe after that estimation, resid should have values.

I mean EGARCH(1,1)

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