Switching regression Problem

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EViews Gareth
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Re: Switching regression Problem

Postby EViews Gareth » Mon Jan 08, 2018 5:09 pm

How is what possible?
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nicotrader
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Re: Switching regression Problem

Postby nicotrader » Mon Jan 08, 2018 5:10 pm

I try to explain myself better and more simply:

first estimation
dataset excel:

1 2 3 4 5 6 7 8 9

insample:

1 2 3 4 5

forecast:

1 2 3 4 5 6 7 8 9

second estimation same model
dataset excel:

1 2 3 4 5 6 7 8 9 10 11

insample:

1 2 3 4 5

forecast:

1 2 3 4 5 6 7 8 9 10 11

Then, DIFFERENT OUTPUT INSAMPLE

EViews Gareth
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Re: Switching regression Problem

Postby EViews Gareth » Mon Jan 08, 2018 5:15 pm

EViews Gareth wrote:
I'll also point out that re-estimating the same equation on the same data will also, probably, give different estimates and then produce different forecasts, since a) you're using random starting values, and b) your estimates didn't converge.
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nicotrader
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Re: Switching regression Problem

Postby nicotrader » Mon Jan 08, 2018 5:15 pm

In my work add a new observation in excel dataset day by day and every day refresh the excel dataset and estimate every time the model, but with same parameters and same in sample dataset.

nicotrader
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Re: Switching regression Problem

Postby nicotrader » Mon Jan 08, 2018 5:19 pm

a) you're using random starting values


Why gareth?


I use a precise in sample dataset, no random starting values

nicotrader
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Re: Switching regression Problem

Postby nicotrader » Mon Jan 08, 2018 5:21 pm

The in sample dataset its always the same.
the only thing that changes is the total dataset, in particular out of sample dataset which present new observation every time.

EViews Gareth
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Re: Switching regression Problem

Postby EViews Gareth » Mon Jan 08, 2018 5:24 pm

Please look at your equation output carefully. Reading every line and understanding every line.
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nicotrader
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Re: Switching regression Problem

Postby nicotrader » Mon Jan 08, 2018 5:27 pm

I still do not understand why you talk about random starting values

nicotrader
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Re: Switching regression Problem

Postby nicotrader » Mon Jan 08, 2018 5:31 pm

I make another clarification, if it is not possible to obtain a stable in-sample estimate, then the forecast function is totally useless.
you think?

startz
Non-normality and collinearity are NOT problems!
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Re: Switching regression Problem

Postby startz » Mon Jan 08, 2018 5:33 pm


nicotrader
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Re: Switching regression Problem

Postby nicotrader » Mon Jan 08, 2018 5:38 pm

starts the value are every time the same.
I never change the value of the series in sample.
Only add a observation out of sample.
The value of in sample are same always

nicotrader
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Re: Switching regression Problem

Postby nicotrader » Mon Jan 08, 2018 5:40 pm

Please look, the value are same always.

first estimation
dataset excel:

1 2 3 4 5 6 7 8 9

insample:

1 2 3 4 5

forecast:

1 2 3 4 5 6 7 8 9

second estimation same model
dataset excel:

1 2 3 4 5 6 7 8 9 10 11

insample:

1 2 3 4 5

forecast:

1 2 3 4 5 6 7 8 9 10 11

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

Re: Switching regression Problem

Postby nicotrader » Mon Jan 08, 2018 5:43 pm

I use a different model in eviews, ex garch but i have a problem only with switch regression.
In garch model and forecast the output is always same if i use the same in sample dataset.

EViews Gareth
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Re: Switching regression Problem

Postby EViews Gareth » Mon Jan 08, 2018 5:44 pm

nicotrader wrote:I make another clarification, if it is not possible to obtain a stable in-sample estimate, then the forecast function is totally useless.
you think?

Probably more accurate to say that it is not a good idea for you to use Markov Switching
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nicotrader
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Re: Switching regression Problem

Postby nicotrader » Mon Jan 08, 2018 5:45 pm

Sorry why?


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