EViews.com

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