## Switching regression Problem

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

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

### Switching regression Problem

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!

startz
Non-normality and collinearity are NOT problems!
Posts: 3397
Joined: Wed Sep 17, 2008 2:25 pm

### Re: Switching regression Problem

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

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

### Re: Switching regression Problem

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

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

### Re: Switching regression Problem

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

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11898
Joined: Tue Sep 16, 2008 5:38 pm

### Re: Switching regression Problem

Could you provide an example?

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

### Re: Switching regression Problem

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
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11898
Joined: Tue Sep 16, 2008 5:38 pm

### Re: Switching regression Problem

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

Code: Select all

`create u 12262series y=nrndsmpl 1 10361equation eq1.switchreg(type=markov, nstates=3) y csmpl @alleq1.fit yfpagestruct(end=13000)eq1.fit yf2show yf yf2`

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

### Re: Switching regression Problem

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

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11898
Joined: Tue Sep 16, 2008 5:38 pm

### Re: Switching regression Problem

nicotrader wrote: in addition you do not have the time series I use.
Would it be possible to rectify that?

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

### Re: Switching regression Problem

sorry, rectification what?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11898
Joined: Tue Sep 16, 2008 5:38 pm

### Re: Switching regression Problem

Could you give us the data?

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

### Re: Switching regression Problem

data.xlsx
data

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11898
Joined: Tue Sep 16, 2008 5:38 pm

### Re: Switching regression Problem

If I run the following:

Code: Select all

`wfopen data.xlsxsmpl 1 10361equation eq1.switchreg(type=markov, nstates=3) series01 csmpl @alleq1.fit yf1pagestruct(end=13000)eq1.fit yf2show yf1 yf2`

I obtain identical results.

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

### Re: Switching regression Problem

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
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11898
Joined: Tue Sep 16, 2008 5:38 pm

### Re: Switching regression Problem

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