I would like to model a regime switching with a rolling window of 1000 days, my problem is how to store the regime probabilities for each one of the iterations in the loop.
I know that with
eq01.makergmprobs(type=smooth) rprob1 rprob2
I can store but only for the last iteration.
I'm adapting a code posted in this forum Multi-step ahead forecast by EViews Gareth on Jan 29, 2014.
'rolling Markov Switching regression
group y variable
' set window size
!window = 1000
' declare equation for estimation
equation eq01
' get size of workfile
!length = @obsrange
'calculate number of rolls
!nrolls = @floor(!length-!window)
'matrix to store coefficient estimates
matrix(5,!nrolls) coefmat
'matrix to store regime probabilities
matrix(1000,!nrolls) regime_probabilities
' loop
for !i = 1 to !nrolls
' dynamic sample
smpl @first+!i @first+!i+!window
equation eq01.switchreg(type=markov) y c
eq01.rgmprobs(type=smooth) 1 2
' estimate equation -
colplace(coefmat,eq01.@coefs,!j) 'store coefficients
eq01.makergmprobs(type=smooth) rprob1 rprob2
colplace(regime_probabilities,eq01@..... ????? ‘ how to store the regime probabilities rprob1 e rprob2????
'in this point, I would like to store rprob1 e rprob2 in matrix regime_probabilities for each loop
next
Thanks for any help.
Markov Switching store regime probabilities
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Re: Markov Switching store regime probabilities
The regime probs are series with values for each observation in the estimation sample. What exactly do you wish to save?
Re: Markov Switching store regime probabilities
Hi,
I am trying to do the same (and also storing transition probabilities)
This is the best I´ve been able to do:
for !horizon=140 to 240
smpl 1955q1 1955q1+!horizon
equation eq{!horizon}.switchreg(your specification)
eq{!horizon}.makergmprobs(type=smooth, n=smoothed!horizon) s1!horizon s2!horizon
wfsave(type=excelxml, mode=update) smoothed!horizon.xlsx range="Sheet!a1" @keep s1!horizon s2!horizon
eq{!horizon}.maketransprobs(out=mat) BB!horizon
BB!horizon.write(t=xls) BB!horizon.xls
Next
Unfortunately, this stores smoothed probs in one group within the work file and exports it to an excel file for each iteration.
Could somebody tell me how to store them in a single item?
Thank you in advance guys!!!!
I am trying to do the same (and also storing transition probabilities)
This is the best I´ve been able to do:
for !horizon=140 to 240
smpl 1955q1 1955q1+!horizon
equation eq{!horizon}.switchreg(your specification)
eq{!horizon}.makergmprobs(type=smooth, n=smoothed!horizon) s1!horizon s2!horizon
wfsave(type=excelxml, mode=update) smoothed!horizon.xlsx range="Sheet!a1" @keep s1!horizon s2!horizon
eq{!horizon}.maketransprobs(out=mat) BB!horizon
BB!horizon.write(t=xls) BB!horizon.xls
Next
Unfortunately, this stores smoothed probs in one group within the work file and exports it to an excel file for each iteration.
Could somebody tell me how to store them in a single item?
Thank you in advance guys!!!!
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