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Switching regression Problem
Posted: Thu Jan 04, 2018 1:02 pm
by nicotrader
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.
Re: Switching regression Problem
Posted: Thu Jan 04, 2018 1:18 pm
by startz
May simply be a coincidence. Check that the starting values are the same for both estimates
Re: Switching regression Problem
Posted: Thu Jan 04, 2018 6:09 pm
by nicotrader
values change I have tried innumerable estimate. ...
Re: Switching regression Problem
Posted: Fri Jan 05, 2018 12:13 am
by nicotrader
I have just made a further series of estimates, the problem exists.
Surely there is a bug problem, TO SOLVE URGENTLY.
Re: Switching regression Problem
Posted: Fri Jan 05, 2018 3:56 am
by EViews Gareth
Could you provide an example?
Re: Switching regression Problem
Posted: Fri Jan 05, 2018 11:14 pm
by nicotrader
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
Re: Switching regression Problem
Posted: Sat Jan 06, 2018 12:06 am
by EViews Gareth
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
Re: Switching regression Problem
Posted: Sat Jan 06, 2018 8:23 am
by nicotrader
I tried many times error is present, in addition you do not have the time series I use.
Re: Switching regression Problem
Posted: Sat Jan 06, 2018 9:28 am
by EViews Gareth
in addition you do not have the time series I use.
Would it be possible to rectify that?
Re: Switching regression Problem
Posted: Sat Jan 06, 2018 10:45 am
by nicotrader
sorry, rectification what?
Re: Switching regression Problem
Posted: Sat Jan 06, 2018 11:41 am
by EViews Gareth
Could you give us the data?
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 12:27 am
by nicotrader
- data.xlsx
- data
- (232.2 KiB) Downloaded 863 times
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 9:26 am
by EViews Gareth
If I run the following:
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.
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 3:06 pm
by nicotrader
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.....
Re: Switching regression Problem
Posted: Mon Jan 08, 2018 3:25 pm
by EViews Gareth
Did you run the code I provided and achieve the same results or different ones?