@logl error

[petimi]

Hi,

I'm currently trying to estimate the CKLS continuous time model in EVIEWS 6, but keep getting an error and was wondering if anyone would be good enough to give me a few pointers.

The data I'm using is the 1 Month Interbank rate from August 2001 up to March 2009, at daily intervals. (I named this series 'r')

The Logl object I have declared in EVIEWS is the following:

@logl logl1

res = r - (exp(c(2)))*r(-1) - (c(1)/c(2))*(exp(c(2)) -1) // error term

var = (c(3)^2 / 2*c(2))*(exp(2*c(2)) -1)*(r(-1)^(2*c(4))) // variance term

logl1 = -(2*log(sqr(var)) + res^2 / var) // logl function with a -ve sign because EVIEWS maximises the function


where c(1) is alpha, c(2) is beta, c(3) is sigma and c(4) is gamma

The syntax seem to pass ok after I click on 'Estimate', but after this an annoying message pops up declaring, "Missing values in @LOGL series at current coefficients at observation 1" and the estimation procedure stops immediately.

Any pointers from EVIEWS specialists would be greatly appreciated.

Thanks in advance.

Petimi

[EViews Gareth]

http://forums.eviews.com/viewtopic.php?f=4&t=490&p=1584