作者u8810137 (sandy chen)
看板Statistics
标题[程式] Rats BHHH法
时间Sun May 6 21:18:24 2012
想请问在RATS下，带入初始值後得simplex output; 再将其代入BHHH法得统计结果
可是出现下列几种情况:
1.收敛,但是系数的P值多不显着
2.收敛,但是d值(分数差分系数)不在合理范围内(+-1)
3.收敛,但是标准差、T值、P值皆为0
请问该如何解决呢?
模型为4变数之FIEC-HYGARCH(落後期5)
SIMPLEX法下代入的初始值为f1-f12:0.1; df11-df34:0.3; g11-g34:0.5
rats code如下:
calendar(irregular)
allocate 1044
open data d:\data7.xls
data(format=xls,org=cols) / tes tef tfs tff
log tes / lntes
log tef / lntef
log tfs / lntfs
log tff / lntff
dif lntes / rtes
dif lntef / rtef
dif lntfs / rtfs
dif lntff / rtff
dec vect[frm1] resid(4)
dec vect[series] u(4)
set z = lntes+1.788935*lntef-1.048973*lntfs-0.898267*lntff-1.92508
dec vect[series] rrfilter(1)
set rrfilter(1) = 0.0
function %rrfilter11 d
type real d %rrfilter11
if d>1.0.or.d<0.0
set rrfilter(1) = %na
else
diff(fraction=d) z / dz
end
nonlin(parmset=meanparms) c1 a1 b111 b112 b113 b114 b115 $
b121 b122 b123 b124 b125 $
b131 b132 b133 b134 b135 $
b141 b142 b143 b144 b145 $
c2 a2 b211 b212 b213 b214 b215 $
b221 b222 b223 b224 b225 $
b231 b232 b233 b234 b235 $
b241 b242 b243 b244 b245 $
c3 a3 b311 b312 b313 b314 b315 $
b321 b322 b323 b324 b325 $
b331 b332 b333 b334 b335 $
b341 b342 b343 b344 b345 $
c4 a4 b411 b412 b413 b414 b415 $
b421 b422 b423 b424 b425 $
b431 b432 b433 b434 b435 $
b441 b442 b443 b444 b445 d
frm1 resid(1) = (rtes-c1-a1*z{1}-b111*rtes{1}-b112*rtes{2}-b113*rtes{3}-b114*rtes{4}-b115*rtes{5} $
-b121*rtef{1}-b122*rtef{2}-b123*rtef{3}-b124*rtef{4}-b125*rtef{5} $
-b131*rtfs{1}-b132*rtfs{2}-b133*rtfs{3}-b134*rtfs{4}-b135*rtfs{5} $
-b141*rtff{1}-b142*rtff{2}-b143*rtff{3}-b144*rtff{4}-b145*rtff{5})
frm1 resid(2) = (rtef-c2-a2*z{1}-b211*rtes{1}-b212*rtes{2}-b213*rtes{3}-b214*rtes{4}-b215*rtes{5} $
-b221*rtef{1}-b222*rtef{2}-b223*rtef{3}-b224*rtef{4}-b225*rtef{5} $
-b231*rtfs{1}-b232*rtfs{2}-b233*rtfs{3}-b234*rtfs{4}-b235*rtfs{5} $
-b241*rtff{1}-b242*rtff{2}-b243*rtff{3}-b244*rtff{4}-b245*rtff{5})
frm1 resid(3) = (rtfs-c3-a3*z{1}-b311*rtes{1}-b312*rtes{2}-b313*rtes{3}-b314*rtes{4}-b315*rtes{5} $
-b321*rtef{1}-b322*rtef{2}-b323*rtef{3}-b324*rtef{4}-b325*rtef{5} $
-b331*rtfs{1}-b332*rtfs{2}-b333*rtfs{3}-b334*rtfs{4}-b335*rtfs{5} $
-b341*rtff{1}-b342*rtff{2}-b343*rtff{3}-b344*rtff{4}-b345*rtff{5})
frm1 resid(4) = (rtff-c4-a4*z{1}-b411*rtes{1}-b412*rtes{2}-b413*rtes{3}-b414*rtes{4}-b415*rtes{5} $
-b421*rtef{1}-b422*rtef{2}-b423*rtef{3}-b424*rtef{4}-b425*rtef{5} $
-b431*rtfs{1}-b432*rtfs{2}-b433*rtfs{3}-b434*rtfs{4}-b435*rtfs{5} $
-b441*rtff{1}-b442*rtff{2}-b443*rtff{3}-b444*rtff{4}-b445*rtff{5})
linreg(noprint) rtes / U(1)
#constant z{1} rtes{1 to 5} rtef{1 to 5} rtfs{1 to 5} rtff{1 to 5}
compute c1 = %beta(1)
compute a1 = %beta(2)
compute b111 = %beta(3)
compute b112 = %beta(4)
compute b113 = %beta(5)
compute b114 = %beta(6)
compute b115 = %beta(7)
compute b121 = %beta(8)
compute b122 = %beta(9)
compute b123 = %beta(10)
compute b124 = %beta(11)
compute b125 = %beta(12)
compute b131 = %beta(13)
compute b132 = %beta(14)
compute b133 = %beta(15)
compute b134 = %beta(16)
compute b135 = %beta(17)
compute b141 = %beta(18)
compute b142 = %beta(19)
compute b143 = %beta(20)
compute b144 = %beta(21)
compute b145 = %beta(22)
linreg(noprint) rtef / U(2)
#constant z{1} rtes{1 to 5} rtef{1 to 5} rtfs{1 to 5} rtff{1 to 5}
compute c2 = %beta(1)
compute a2 = %beta(2)
compute b211 = %beta(3)
compute b212 = %beta(4)
compute b213 = %beta(5)
compute b214 = %beta(6)
compute b215 = %beta(7)
compute b221 = %beta(8)
compute b222 = %beta(9)
compute b223 = %beta(10)
compute b224 = %beta(11)
compute b225 = %beta(12)
compute b231 = %beta(13)
compute b232 = %beta(14)
compute b233 = %beta(15)
compute b234 = %beta(16)
compute b235 = %beta(17)
compute b241 = %beta(18)
compute b242 = %beta(19)
compute b243 = %beta(20)
compute b244 = %beta(21)
compute b245 = %beta(22)
linreg(noprint) rtfs / U(3)
#constant z{1} rtes{1 to 5} rtef{1 to 5} rtfs{1 to 5} rtff{1 to 5}
compute c3 = %beta(1)
compute a3 = %beta(2)
compute b311 = %beta(3)
compute b312 = %beta(4)
compute b313 = %beta(5)
compute b314 = %beta(6)
compute b315 = %beta(7)
compute b321 = %beta(8)
compute b322 = %beta(9)
compute b323 = %beta(10)
compute b324 = %beta(11)
compute b325 = %beta(12)
compute b331 = %beta(13)
compute b332 = %beta(14)
compute b333 = %beta(15)
compute b334 = %beta(16)
compute b335 = %beta(17)
compute b341 = %beta(18)
compute b342 = %beta(19)
compute b343 = %beta(20)
compute b344 = %beta(21)
compute b345 = %beta(22)
linreg(noprint) rtff / U(4)
#constant z{1} rtes{1 to 5} rtef{1 to 5} rtfs{1 to 5} rtff{1 to 5}
compute c4 = %beta(1)
compute a4 = %beta(2)
compute b411 = %beta(3)
compute b412 = %beta(4)
compute b413 = %beta(5)
compute b414 = %beta(6)
compute b415 = %beta(7)
compute b421 = %beta(8)
compute b422 = %beta(9)
compute b423 = %beta(10)
compute b424 = %beta(11)
compute b425 = %beta(12)
compute b431 = %beta(13)
compute b432 = %beta(14)
compute b433 = %beta(15)
compute b434 = %beta(16)
compute b435 = %beta(17)
compute b441 = %beta(18)
compute b442 = %beta(19)
compute b443 = %beta(20)
compute b444 = %beta(21)
compute b445 = %beta(22)
VCV(matrix=rr)
#U
declare symm[series] h(4,4)
declare symm[series] uu(4,4)
declare symm hx(4,4) uux(4,4)
declare vect ux(4)
do i=1,4
do j=1,i
set h(i,j) = rr(i,j)
set uu(i,j) = u(i)*u(j)
end do j
end do i
declare frml[symm] hf
FRML LOGL = $
U(1) = resid(1) , U(2) = resid(2) , U(3) = resid(3) , U(4) = resid(4) , $
HX = HF(T) , $
UX = %XT(U,T) , UUX = %OUTERXX(UX), $
%PT(H,T,HX),%PT(UU,T,%OUTERXX(UX)), $
%LOGDENSITY(HX,UX)
** Define frectional difference
dec symm[series] uufilter(4,4)
set uufilter(1,1) = 0.0
set uufilter(2,2) = 0.0
set uufilter(3,3) = 0.0
set uufilter(4,4) = 0.0
set uufilter(1,2) = 0.0
set uufilter(1,3) = 0.0
set uufilter(1,4) = 0.0
set uufilter(2,3) = 0.0
set uufilter(2,4) = 0.0
set uufilter(3,4) = 0.0
function %uufilter11 d
type real d %uufilter11
if d>1.0.or.d<0.0
set uufilter(1,1) = %na
else
diff(fraction=d) uu(1,1) / uufilter(1,1)
end
function %uufilter22 d
type real d %uufilter22
if d>1.0.or.d<0.0
set uufilter(2,2) = %na
else
diff(fraction=d) uu(2,2) / uufilter(2,2)
end
function %uufilter33 d
type real d %uufilter33
if d>1.0.or.d<0.0
set uufilter(3,3) = %na
else
diff(fraction=d) uu(3,3) / uufilter(3,3)
end
function %uufilter44 d
type real d %uufilter44
if d>1.0.or.d<0.0
set uufilter(4,4) = %na
else
diff(fraction=d) uu(4,4) / uufilter(4,4)
end
function %uufilter12 d
type real d %uufilter12
if d>1.0.or.d<0.0
set uufilter(1,2) = %na
else
diff(fraction=d) uu(1,2) / uufilter(1,2)
end
function %uufilter13 d
type real d %uufilter13
if d>1.0.or.d<0.0
set uufilter(1,3) = %na
else
diff(fraction=d) uu(1,3) / uufilter(1,3)
end
function %uufilter14 d
type real d %uufilter14
if d>1.0.or.d<0.0
set uufilter(1,4) = %na
else
diff(fraction=d) uu(1,4) / uufilter(1,4)
end
function %uufilter23 d
type real d %uufilter23
if d>1.0.or.d<0.0
set uufilter(2,3) = %na
else
diff(fraction=d) uu(2,3) / uufilter(2,3)
end
function %uufilter24 d
type real d %uufilter24
if d>1.0.or.d<0.0
set uufilter(2,4) = %na
else
diff(fraction=d) uu(2,4) / uufilter(2,4)
end
function %uufilter34 d
type real d %uufilter34
if d>1.0.or.d<0.0
set uufilter(3,4) = %na
else
diff(fraction=d) uu(3,4) / uufilter(3,4)
end
dec symm vc(4,4) vb(4,4) vf(4,4)
nonlin(parmset=garchparms) vc vb vf df11 df22 df33 df44 df12 df13 df14 df23 df24 df34 f1 f2 f3 f4 f5 f6 f7 f8 f9 f10 f11 f12 g11 g22 g33 g44 g12 g13 g14 g23 g24 g34
frml hf = ||vc(1,1)+vb(1,1)*h(1,1){1}-vb(1,1)*uu(1,1){1}-g11*uufilter(1,1)+g11*uu(1,1)+vf(1,1)*uu(1,1){1}+vf(1,1)*g11*uufilter(1,1){1}-g11*vf(1,1)*uu(1,1){1}+f1*h(2,2)+f2*h(3,3)+f3*h(4,4)|$
vc(1,2)+vb(1,2)*h(1,2){1}-vb(1,2)*uu(1,2){1}-g12*uufilter(1,2)+g12*uu(1,2)+vf(1,2)*uu(1,2){1}+vf(1,2)*g12*uufilter(1,2){1}-g12*vf(1,2)*uu(1,2){1},$
vc(2,2)+vb(2,2)*h(2,2){1}-vb(2,2)*uu(2,2){1}-g22*uufilter(2,2)+g22*uu(2,2)+vf(2,2)*uu(2,2){1}+vf(2,2)*g22*uufilter(2,2){1}-g22*vf(2,2)*uu(2,2){1}+f4*h(1,1)+f5*h(3,3)+f6*h(4,4)|$
vc(1,3)+vb(1,3)*h(1,3){1}-vb(1,3)*uu(1,3){1}-g13*uufilter(1,3)+g13*uu(1,3)+vf(1,3)*uu(1,3){1}+vf(1,3)*g13*uufilter(1,3){1}-g13*vf(1,3)*uu(1,3){1},$
vc(2,3)+vb(2,3)*h(2,3){1}-vb(2,3)*uu(2,3){1}-g23*uufilter(2,3)+g23*uu(2,3)+vf(2,3)*uu(2,3){1}+vf(2,3)*g23*uufilter(2,3){1}-g23*vf(2,3)*uu(2,3){1},$
vc(3,3)+vb(3,3)*h(3,3){1}-vb(3,3)*uu(3,3){1}-g33*uufilter(3,3)+g33*uu(3,3)+vf(3,3)*uu(3,3){1}+vf(3,3)*g33*uufilter(3,3){1}-g33*vf(3,3)*uu(3,3){1}+f7*h(1,1)+f8*h(2,2)+f9*h(4,4)|$
vc(1,4)+vb(1,4)*h(1,4){1}-vb(1,4)*uu(1,4){1}-g14*uufilter(1,4)+g14*uu(1,4)+vf(1,4)*uu(1,4){1}+vf(1,4)*g14*uufilter(1,4){1}-g14*vf(1,4)*uu(1,4){1},$
vc(2,4)+vb(2,4)*h(2,4){1}-vb(2,4)*uu(2,4){1}-g24*uufilter(2,4)+g24*uu(2,4)+vf(2,4)*uu(2,4){1}+vf(2,4)*g24*uufilter(2,4){1}-g24*vf(2,4)*uu(2,4){1},$
vc(3,4)+vb(3,4)*h(3,4){1}-vb(3,4)*uu(3,4){1}-g34*uufilter(3,4)+g34*uu(3,4)+vf(3,4)*uu(3,4){1}+vf(3,4)*g34*uufilter(3,4){1}-g34*vf(3,4)*uu(3,4){1},$
vc(4,4)+vb(4,4)*h(4,4){1}-vb(4,4)*uu(4,4){1}-g44*uufilter(4,4)+g44*uu(4,4)+vf(4,4)*uu(4,4){1}+vf(4,4)*g44*uufilter(4,4){1}-g44*vf(4,4)*uu(4,4){1}+f10*h(1,1)+f11*h(2,2)+f12*h(3,3)||
compute C1 = -7.70E-04
compute A1 = -5.02E-03
compute B111 = 0.0431
compute B112 = 1.13E-03
compute B113 = 8.51E-03
compute B114 = 7.28E-03
compute B115 = -0.0497
compute B121 = 0.0674
compute B122 = -0.0861
compute B123 = -1.77E-03
compute B124 = 0.0554
compute B125 = -6.04E-03
compute B131 = -9.68E-03
compute B132 = 3.83E-03
compute B133 = -0.0263
compute B134 = -0.0278
compute B135 = 0.0137
compute B141 = -0.1264
compute B142 = -0.0585
compute B143 = -0.0739
compute B144 = 0.08
compute B145 = 0.056
compute C2 = 4.32E-04
compute A2 = -9.42E-04
compute B211 = 0.0395
compute B212 = -0.0485
compute B213 = 0.0184
compute B214 = 0.0237
compute B215 = 0.0341
compute B221 = -0.113
compute B222 = -0.0267
compute B223 = 0.0218
compute B224 = 0.0162
compute B225 = -0.0808
compute B231 = -4.31E-03
compute B232 = 0.0102
compute B233 = -0.0114
compute B234 = -0.0212
compute B235 = 0.0388
compute B241 = -6.53E-03
compute B242 = -0.0137
compute B243 = -4.79E-03
compute B244 = 0.0964
compute B245 = -0.0724
compute C3 = 5.36E-04
compute A3 = -0.0105
compute B311 = -0.0273
compute B312 = -0.0119
compute B313 = -0.0343
compute B314 = -0.0308
compute B315 = -5.87E-03
compute B321 = 0.0155
compute B322 = 1.80E-03
compute B323 = 0.0271
compute B324 = 0.0541
compute B325 = -0.0431
compute B331 = 1.07E-03
compute B332 = -9.21E-03
compute B333 = -0.0735
compute B334 = -0.0793
compute B335 = 5.64E-03
compute B341 = 0.0663
compute B342 = -0.0737
compute B343 = 0.0348
compute B344 = -0.0116
compute B345 = -0.0746
compute C4 = 2.38E-04
compute A4 = -4.46E-03
compute B411 = -0.026
compute B412 = -0.0643
compute B413 = 1.56E-03
compute B414 = -0.0127
compute B415 = 0.0181
compute B421 = 0.0191
compute B422 = 0.0134
compute B423 = 0.0399
compute B424 = 0.0297
compute B425 = -0.0404
compute B431 = 0.0594
compute B432 = 1.10E-03
compute B433 = -0.0166
compute B434 = -0.0198
compute B435 = 0.0332
compute B441 = 0.1332
compute B442 = 0.0102
compute B443 = -7.49E-03
compute B444 = 0.0333
compute B445 = -0.027
compute D = 0.2415
compute VC(1,1) = 4.71E-05
compute VC(2,1) = 1.02E-04
compute VC(2,2) = 1.57E-04
compute VC(3,1) = 1.59E-04
compute VC(3,2) = 6.17E-05
compute VC(3,3) = 4.59E-04
compute VC(4,1) = 8.81E-05
compute VC(4,2) = 1.57E-04
compute VC(4,3) = 1.22E-04
compute VC(4,4) = 1.86E-05
compute VB(1,1) = 0.0508
compute VB(2,1) = -9.96E-04
compute VB(2,2) = 0.0492
compute VB(3,1) = 1.09E-03
compute VB(3,2) = -1.11E-03
compute VB(3,3) = 0.0483
compute VB(4,1) = 8.29E-06
compute VB(4,2) = 9.13E-04
compute VB(4,3) = -9.14E-04
compute VB(4,4) = 0.0497
compute VF(1,1) = 0.0502
compute VF(2,1) = 1.32E-03
compute VF(2,2) = 0.0502
compute VF(3,1) = -3.11E-03
compute VF(3,2) = -3.94E-04
compute VF(3,3) = 0.05
compute VF(4,1) = 3.08E-04
compute VF(4,2) = -1.86E-03
compute VF(4,3) = 7.01E-04
compute VF(4,4) = 0.0494
compute DF11 = 0.3817
compute DF22 = 0.3908
compute DF33 = 0.3022
compute DF44 = 0.3021
compute DF12 = 0.3044
compute DF13 = 0.3007
compute DF14 = 0.2964
compute DF23 = 0.2991
compute DF24 = 0.3004
compute DF34 = 0.3041
compute F1 = 0.1012
compute F2 = 0.0973
compute F3 = 0.0994
compute F4 = 0.0997
compute F5 = 0.1004
compute F6 = 0.0999
compute F7 = 0.1006
compute F8 = 0.0971
compute F9 = 0.0997
compute F10 = 0.0963
compute F11 = 0.098
compute F12 = 0.0959
compute G11 = 0.5004
compute G22 = 0.4931
compute G33 = 0.6999
compute G44 = 0.4868
compute G12 = 0.5037
compute G13 = 0.4903
compute G14 = 0.5019
compute G23 = 0.4995
compute G24 = 0.5016
compute G34 = 0.2225
MAXIMIZE(startup=%rrfilter11(d)+%uufilter11(df11)+%uufilter22(df22)+%uufilter33(df33)+%uufilter44(df44)+%uufilter12(df12)+%uufilter13(df13)+%uufilter14(df14)+%uufilter23(df23)+%uufilter24(df24)+%uufilter34(df34), $
parmset=meanparms+garchparms, METHOD=bhhh, iters=100, subiters=10000, cvcrit=0.0001, robust) LOGL 28 1044
[软体熟悉度]:
低(1~3个月)
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