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Dueker (1997) output with fixed mean
Posted:
Thu Apr 04, 2013 1:49 amby zy761
Dear Tom,
I estimate the Dueker (1997)'s paper using my RATs 8.2. It works fine, but when it comes to the last part of the program to estimate the model with fixed means, I cannot get the value of p1 and p2. In fact, p1 and p2 are both zero. Could you help me with this? Thanks a lot for your help in advance!
Re: Dueker (1997) output with fixed mean
Posted:
Thu Apr 04, 2013 8:14 amby TomDoan
Which of the five programs are you talking about?
Re: Dueker (1997) output with fixed mean
Posted:
Thu Apr 04, 2013 9:00 amby zy761
Dear Tom,
Sorry, the file I am using is SWGARCH_NF.rpf
Re: Dueker (1997) output with fixed mean
Posted:
Tue Apr 09, 2013 3:42 pmby TomDoan
That one (of the twenty or so combinations in the paper) apparently isn't converging given the guess values. That looks like it's the only model that uses a fixed mean and switches the variance only and I can't seem to find any way to make that have anything other than a corner solution where the lower variance state has 0 retention probability. You can see what happens to that as you reduce the .1 in the below to .01 and .001.
nonlin(parmset=nomeans) mu(2)=mu(1) p(1,1)=.1
So basically, it collapses to a one-regime model.
Re: Dueker (1997) output with fixed mean
Posted:
Thu Apr 18, 2013 7:37 amby zy761
Dear Tom,
Thanks for your reply. But I have another question when reading the output: How to intepret the P(1,1) and P(1,2)? Does P(i,j) suggest the probability of switching from j to i? Then how to calculate the value of P(2,1) and P(2,2)?
Re: Dueker (1997) output with fixed mean
Posted:
Thu Apr 18, 2013 9:18 amby TomDoan
zy761 wrote:Dear Tom,
Thanks for your reply. But I have another question when reading the output: How to intepret the P(1,1) and P(1,2)? Does P(i,j) suggest the probability of switching from j to i? Then how to calculate the value of P(2,1) and P(2,2)?
Subtract from 1