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Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:09 pm
by EViews Gareth
How is what possible?
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:10 pm
by nicotrader
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
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:15 pm
by EViews Gareth
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.
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:15 pm
by nicotrader
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.
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:19 pm
by nicotrader
a) you're using random starting values
Why gareth?
I use a precise in sample dataset, no random starting values
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:21 pm
by nicotrader
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.
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:24 pm
by EViews Gareth
Please look at your equation output carefully. Reading every line and understanding every line.
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:27 pm
by nicotrader
I still do not understand why you talk about random starting values
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:31 pm
by nicotrader
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?
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:33 pm
by startz
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:38 pm
by nicotrader
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
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:40 pm
by nicotrader
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
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:43 pm
by nicotrader
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.
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:44 pm
by EViews Gareth
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
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 5:45 pm
by nicotrader
Sorry why?