SState ML estimation ignores initial values

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Fifis
Posts: 23
Joined: Thu Jan 06, 2022 11:48 pm

SState ML estimation ignores initial values

Postby Fifis » Fri Feb 25, 2022 10:12 am

Good afternoon!

I am trying to estimate a state-space model, and it converges slowly, so I wanted to help the optimiser by estimating it once, saving those values for posterity, and then, using them as the initial values. I did it as described in an older topic, http://forums.eviews.com/viewtopic.php?t=15425, but couldn't make it work.

My specification goes like this:

Code: Select all

sspace xport
xport.append @SIGNAL XB_R_Q_G_S  = C(011) * S1 + U01_0
xport.append @SIGNAL LAG_PMIMANUS_M_S = C(021) * S1 + U02_0
...
' State equations (~transition equations)
xport.append @STATE S1 = C(1) * S1(-1) + C(2) * S2(-1) + [ VAR = 1 ]
xport.append @STATE S2 = S1(-1)
...
vector(19) svec0
svec0.fill 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0, 0
xport.append @mprior svec0
xport.ml(covinfo = "hessian", m = 100, c = 0.0001)


After estimating a heavy model once, I would like to provide these estimated C(...) values to save time. I tried doing it in both ways before the estimation part (i.e. before invoking xport.ml).

First:

Code: Select all

param C(1) 1.312443 C(2) -0.419682 C(11) 0.350661 ... C(94) -1.450587


Second:

Code: Select all

C(1)=1.312443
C(2)=-0.419682
...
C(94)=-1.450587


However, when I run the next line with xport.ml, it still starts at some automatically guessed values and takes the same number of iterations to converge as if I had supplied nothing. The initial log-likelihood value, as evidenced by xport.ml(m=0, ...), is -896; after 10 iterations, it is -827, and the final one after 89 iterations is -819. No matter how I set the values of C(...), the initial log-likelihood value is always -896, an it should be the final one because I am already supplying the optimal values of the coefficients as starting values (or so do I think). The numerical gradient at the optimal values is very close to zero (below 1e-8 for each coordinate), so no further optimisation should be carried out. Yet it takes another 89 iterations to start climbing from the initial values of -896.

How do I supply the previously optimised values as the initial ones to sspace to save time?

Yours sincerely,
Andreï V. Kostyrka

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Re: SState ML estimation ignores initial values

Postby EViews Glenn » Fri Feb 25, 2022 12:21 pm

Sorry you are having problems. Which version of EViews are you using and what is the build date? Thanks.

Fifis
Posts: 23
Joined: Thu Jan 06, 2022 11:48 pm

Re: SState ML estimation ignores initial values

Postby Fifis » Mon Feb 28, 2022 1:47 am

Dear Glenn,

I am using EViews 12 Enterprise Edition, build Jan 19 2022.

Yours sincerely,
Andreï V. Kostyrka

Fifis
Posts: 23
Joined: Thu Jan 06, 2022 11:48 pm

Re: SState ML estimation ignores initial values

Postby Fifis » Mon Feb 28, 2022 6:28 am

Sorry, I figured it out.

Turns out, appending the parameter values in one of the earlier lines was fixing them in such a manner that the vector was being ignored, and I forgot that it existed:

Code: Select all

xport.append @PARAM  C(1) 1.75606   C(2) -0.806248   ... C(94) -4.057869


It was non-obvious to me that the initial values were taken not from the updated C(...) but from the @PARAM appended to the model.

Thank you!

Yours sincerely,
Andreï V. Kostyrka

EViews Glenn
EViews Developer
Posts: 2671
Joined: Wed Oct 15, 2008 9:17 am

Re: SState ML estimation ignores initial values

Postby EViews Glenn » Mon Feb 28, 2022 10:01 am

Great.

The values are taken from C (or whatever the explicit references are in the sspace object) but the @param overrides that default behavior.


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