Likelihood function problem

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

Likelihood function problem

Postby bqlqbsleb » Fri Sep 15, 2017 6:19 am

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

Postby bqlqbsleb » Fri Sep 15, 2017 6:23 am

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

Postby bqlqbsleb » Fri Sep 15, 2017 6:27 am

here is the workfile
Attachments
missing.wf1
(459.5 KiB) Downloaded 15 times

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

Re: Likelihood function problem

Postby bqlqbsleb » Fri Sep 15, 2017 7:39 am

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
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Re: Likelihood function problem

Postby EViews Gareth » Fri Sep 15, 2017 8:20 am

RESID has no data. Are you sure you want it to depend on RESID?
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bqlqbsleb
Posts: 6
Joined: Thu Sep 14, 2017 3:28 am

Re: Likelihood function problem

Postby bqlqbsleb » Sat Sep 16, 2017 6:48 am

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

Hi Garath, thanks for your reply.

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

Postby bqlqbsleb » Sat Sep 16, 2017 6:57 am

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

Hi Garath, thanks for your reply.

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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