Switching regression Problem
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- Posts: 63
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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!
please help.
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.
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- Non-normality and collinearity are NOT problems!
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Re: Switching regression Problem
May simply be a coincidence. Check that the starting values are the same for both estimates
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- Joined: Sat Jun 06, 2015 11:48 am
Re: Switching regression Problem
values change I have tried innumerable estimate. ...
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- 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.
Surely there is a bug problem, TO SOLVE URGENTLY.
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Switching regression Problem
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
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
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13315
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Re: Switching regression Problem
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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Re: Switching regression Problem
I tried many times error is present, in addition you do not have the time series I use.
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: Switching regression Problem
Would it be possible to rectify that?nicotrader wrote: in addition you do not have the time series I use.
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Re: Switching regression Problem
sorry, rectification what?
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- Fe ddaethom, fe welon, fe amcangyfrifon
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13315
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Switching regression Problem
If I run the following:
I obtain identical results.
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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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.....
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.....
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13315
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Re: Switching regression Problem
Did you run the code I provided and achieve the same results or different ones?
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