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Re: Problem with lags in SETAR model

Posted: Mon Jan 25, 2016 1:15 pm
by EViews Rebecca
If I understand you correctly, indicator(-1), indicator(-2), etc are your threshold regressors. Then you want, for example:

Dependent variable followed by list of threshold regressors:
indicator indicator(-1)

List of non-threshold regressors:
c

Threshold variable specification
1 4

This is all explained in the documentation.

Re: Problem with lags in SETAR model

Posted: Mon Jan 25, 2016 2:05 pm
by statistik123
Yes, you are right!
I tried it the same way like in the documentation and you did. But with the same:

Dependent variable followed by list of threshold regressors:
indicator indicator(-1)

List of non-threshold regressors:
c

Threshold variable specification
1 4
I got also an error: Threshold variable lags must be positive integers.

Re: Problem with lags in SETAR model

Posted: Mon Jan 25, 2016 2:32 pm
by EViews Rebecca
Are you saying you ran the above and got an error? What exactly did you enter?

Re: Problem with lags in SETAR model

Posted: Mon Jan 25, 2016 2:59 pm
by statistik123
Yes, I ran the above and got errors. The strange thing is that the errors are different:

Threshold variable lags must be positive integers.
Specification leads to singular matrix in at least one sub-sample.

I enter exactly:

zewindicator zewindicator(-1)

c

1 4

...I don“t know. When this is the right equation maybe there is some mistake in the uploaded time serie. I will check it again! But good to know, that I understand the documentation right and that there is no mistake and I have to search somewhere else.