Smooth Transition Regression estimation issue
Posted: Tue Nov 19, 2013 10:37 am
Hi all,
I'm currently trying to estimate an non-linear STR with the following:
smpl @all
series dr_uk = r_uk - r_uk(-1)
series ldr_uk = dr_uk(-1)
series t = @trend + 1
coef(1) gamma
coef(1) lambda
coef(7) beta
coef(7) theta
LS R_UK = (1 - 1/(1 + @exp(-gamma(1)*(t - lambda(1)))))*(BETA(1) + BETA(2)*R_UK(-1) + BETA(3)*LDR_UK + BETA(4)*PI_GUK + BETA(5)*Y_GUK + BETA(6)*PI_UK + BETA(7)*CLI_UK) + (1/(1 + @exp(-gamma(1)*(t - lambda(1)))))*(THETA(1) + THETA(2)*R_UK(-1) + THETA(3)*LDR_UK + THETA(4)*PI_GUK + THETA(5)*Y_GUK + THETA(6)*PI_UK + THETA(7)*CLI_UK)
I get an error saying "overflow of analytical derivatives" although I get estimates for my coefficients. What I don't get is a equation object.
Anyone knows what's happening here?
I'm new to eviews so I'm hoping its something stupid.
Thanks
Dave
I'm currently trying to estimate an non-linear STR with the following:
smpl @all
series dr_uk = r_uk - r_uk(-1)
series ldr_uk = dr_uk(-1)
series t = @trend + 1
coef(1) gamma
coef(1) lambda
coef(7) beta
coef(7) theta
LS R_UK = (1 - 1/(1 + @exp(-gamma(1)*(t - lambda(1)))))*(BETA(1) + BETA(2)*R_UK(-1) + BETA(3)*LDR_UK + BETA(4)*PI_GUK + BETA(5)*Y_GUK + BETA(6)*PI_UK + BETA(7)*CLI_UK) + (1/(1 + @exp(-gamma(1)*(t - lambda(1)))))*(THETA(1) + THETA(2)*R_UK(-1) + THETA(3)*LDR_UK + THETA(4)*PI_GUK + THETA(5)*Y_GUK + THETA(6)*PI_UK + THETA(7)*CLI_UK)
I get an error saying "overflow of analytical derivatives" although I get estimates for my coefficients. What I don't get is a equation object.
Anyone knows what's happening here?
I'm new to eviews so I'm hoping its something stupid.
Thanks
Dave