Switching Regression
Posted: Fri Jul 24, 2015 6:57 am
EV9 20150723 32bit
What is the meaning of the following line?
UG2, p469, The coefficients on the DLOGIDX(-1) both differ from zero with opposite (statistically significant) signs.
Now we turn to the following code
Discussion
1 eq02 vs eq03, the only diff is using coef b rathen than c, but eq02 Singular covariance, and eq03 Convergence achieved
2 eq02a, still init value provide EViews, option "startnum" override "s", with Failure to improve objective (non-zero gradients) after 1 iteration
What is the meaning of the following line?
UG2, p469, The coefficients on the DLOGIDX(-1) both differ from zero with opposite (statistically significant) signs.
Now we turn to the following code
Code: Select all
tic
wfopen "C:\EViews9\Example Files\EV9 Manual Data\Chapter 33 - Switching Regression\ew_excs.wf1"
vector(5) vt
smpl 1926M01 1986M12
!ns = 3
c = 0
'UG2 p473
equation eq01.switchreg(type=markov, nstates=!ns, heterr, startnum=200, startiter=50, rng=kn, seed=1727802456) excess
vt(1) = @toc
toc
'UG2 p474
freeze(tbtp1) eq01.transprobs
'One tricky aspect of imposing restrictions is that the regime identities are not fixed and can change for different starting values.
matrix(!ns,!ns) mr = na
mr(1,2) = 0
!nc = eq01.@ncoef
vector(!nc) vi=eq01.@coefs
vector(!nc-1) vi1 = vi.@droprow(5)
do vi1.setglobalc
tic
equation eq02a.switchreg(type=markov, nstates=3, fprobmat=mr, heterr, s, startnum=200, startiter=50, seed=1727802456, rng=kn) excess 'init by EViews
vt(5) = @toc
toc
'UG2 p475
do vi1.setglobalc
tic
equation eq02.switchreg(type=markov, nstates=!ns, heterr, fprobmat=mr, s) excess 'WARNING: Singular covariance - coefficients are not unique
vt(2) = @toc
toc
tic
'user coef
coef(!nc-1) b = vi1
equation eq03.switchreg(type=markov, nstates=!ns, heterr, fprobmat=mr, s, coef=b) excess 'Convergence achieved after 0 iterations
vt(3) = @toc
toc
1 eq02 vs eq03, the only diff is using coef b rathen than c, but eq02 Singular covariance, and eq03 Convergence achieved
2 eq02a, still init value provide EViews, option "startnum" override "s", with Failure to improve objective (non-zero gradients) after 1 iteration