Switching regression Problem

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nicotrader
Posts: 63
Joined: Sat Jun 06, 2015 11:48 am

Switching regression Problem

Postby nicotrader » Thu Jan 04, 2018 1:02 pm

Hi all,

i have a problem with eviews 10 in particular with switch regression.

Then if I estimate a model and specific a sample, ex. 1-10000 observation of 12000 dataset the model rejects an output of probability state (STATIC FORECAST).
But if I estimate a model with same sample (1-10000 observation) but with 12500 dataset the model rejects a different output of probability state (STATIC FORECAST), then is impossible to estimate a reliable model.
If I add an observation in out-of sample the output in-sample result change!


please help.

startz
Non-normality and collinearity are NOT problems!
Posts: 3400
Joined: Wed Sep 17, 2008 2:25 pm

Re: Switching regression Problem

Postby startz » Thu Jan 04, 2018 1:18 pm

May simply be a coincidence. Check that the starting values are the same for both estimates

nicotrader
Posts: 63
Joined: Sat Jun 06, 2015 11:48 am

Re: Switching regression Problem

Postby nicotrader » Thu Jan 04, 2018 6:09 pm

values ​​change I have tried innumerable estimate. ...

nicotrader
Posts: 63
Joined: Sat Jun 06, 2015 11:48 am

Re: Switching regression Problem

Postby nicotrader » Fri Jan 05, 2018 12:13 am

I have just made a further series of estimates, the problem exists.
Surely there is a bug problem, TO SOLVE URGENTLY.

EViews Gareth
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Re: Switching regression Problem

Postby EViews Gareth » Fri Jan 05, 2018 3:56 am

Could you provide an example?
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nicotrader
Posts: 63
Joined: Sat Jun 06, 2015 11:48 am

Re: Switching regression Problem

Postby nicotrader » Fri Jan 05, 2018 11:14 pm

I add an update.
The model output also changes when I use the same estimation model.
Incredible bug....



Model

https://ibb.co/bQuf6b

output

https://ibb.co/jV09zw

output

https://ibb.co/ds0WCG

EViews Gareth
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Re: Switching regression Problem

Postby EViews Gareth » Sat Jan 06, 2018 12:06 am

I tried to recreate what I think you are explaining, but every thing looked ok...

Code: Select all

create u 12262
series y=nrnd

smpl 1 10361
equation eq1.switchreg(type=markov, nstates=3) y c
smpl @all
eq1.fit yf

pagestruct(end=13000)
eq1.fit yf2

show yf yf2
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nicotrader
Posts: 63
Joined: Sat Jun 06, 2015 11:48 am

Re: Switching regression Problem

Postby nicotrader » Sat Jan 06, 2018 8:23 am

I tried many times error is present, in addition you do not have the time series I use.

EViews Gareth
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Re: Switching regression Problem

Postby EViews Gareth » Sat Jan 06, 2018 9:28 am

nicotrader wrote: in addition you do not have the time series I use.
Would it be possible to rectify that?
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nicotrader
Posts: 63
Joined: Sat Jun 06, 2015 11:48 am

Re: Switching regression Problem

Postby nicotrader » Sat Jan 06, 2018 10:45 am

sorry, rectification what?

EViews Gareth
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Re: Switching regression Problem

Postby EViews Gareth » Sat Jan 06, 2018 11:41 am

Could you give us the data?
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nicotrader
Posts: 63
Joined: Sat Jun 06, 2015 11:48 am

Re: Switching regression Problem

Postby nicotrader » Mon Jan 08, 2018 12:27 am

data.xlsx
data
(232.2 KiB) Downloaded 33 times

EViews Gareth
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Re: Switching regression Problem

Postby EViews Gareth » Mon Jan 08, 2018 9:26 am

If I run the following:

Code: Select all

wfopen data.xlsx
smpl 1 10361
equation eq1.switchreg(type=markov, nstates=3) series01 c

smpl @all
eq1.fit yf1

pagestruct(end=13000)
eq1.fit yf2

show yf1 yf2


I obtain identical results.
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nicotrader
Posts: 63
Joined: Sat Jun 06, 2015 11:48 am

Re: Switching regression Problem

Postby nicotrader » Mon Jan 08, 2018 3:06 pm

Sure????

This is the forecast output with in sample 10361 and out of sample 12536.


https://ibb.co/nezghR

totally different to in sample 10361 out of sample 12200.....

EViews Gareth
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Re: Switching regression Problem

Postby EViews Gareth » Mon Jan 08, 2018 3:25 pm

Did you run the code I provided and achieve the same results or different ones?
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