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Panel data Coefficient Variance Decomposition Bug?
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Panel data Coefficient Variance Decomposition Bug?
I have one issue : as you can see from attached file eq02 on previous posts, the regression specification has coefficients (c(1) to c(5)) jointly multiplying the regressors. For example : (1-exp(c(1))@trend)*c(2)*(1-c(3))*LOG(Saving_rate*100)
Do you have any idea how are we to interpret the Variance Decomposition results within this setting ?
Thank you.
Do you have any idea how are we to interpret the Variance Decomposition results within this setting ?
Thank you.
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Average Cross-sectional Regression in Panel Data Structure
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how to do wilcoxon Test
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Average Cross-sectional Regression in Panel Data Structure
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Panel Least Squares estimation method Nonlinear optimization algorithm
As you have experienced, that specification can't really be estimated with these data. I've played around with it a bit and it looks as though there's an identification problem as the C(3) coefficient wants to go off to infinity.
Our older panel code only supports one type of nonlinear estimation technique (in contrast to the newer standard equation nonlinear estimation implementation) so I've converted your problem into a non-panel workfile (by generating a YLAG and TREND variable in the panel, then unstructuring), and then running a modified equation on an unstructured workfile. I can get convergence with BFGS, but the standard errors and gradients suggest that the model isn't estimated with any precision.
In short, I think the parameters of the model are not well identified (collinearity in a nonlinear setting).
One last comment. I can't really read your Word specification so I'm not certain that the EViews spec you are estimating matches what you have there. You should probably double check that just to be sure.
Our older panel code only supports one type of nonlinear estimation technique (in contrast to the newer standard equation nonlinear estimation implementation) so I've converted your problem into a non-panel workfile (by generating a YLAG and TREND variable in the panel, then unstructuring), and then running a modified equation on an unstructured workfile. I can get convergence with BFGS, but the standard errors and gradients suggest that the model isn't estimated with any precision.
In short, I think the parameters of the model are not well identified (collinearity in a nonlinear setting).
One last comment. I can't really read your Word specification so I'm not certain that the EViews spec you are estimating matches what you have there. You should probably double check that just to be sure.
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DCCGARCH11
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Average Cross-sectional Regression in Panel Data Structure
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Panel Least Squares estimation method Nonlinear optimization algorithm
Understood, my sincere thanks for your elaborate effort and explanations. At least we now know there exists collinearity.
About your last comment : 1) specification was uploaded in workfile in my previous post within nls equation object.
2) I ran a comprehensive simulation via program and for these starting values the algorithm converged c(1)-c(5) : 0.01, 1.8, 0.1, 0.7, 0.4
I'm attaching workfile having converged results in eqn object eq01. Not all coeff are significant but two are and additional one more is very close.
The reason I was checking for collinearity was that very few convergence existed and most of them are out of range for theory.
BR
acemi
About your last comment : 1) specification was uploaded in workfile in my previous post within nls equation object.
2) I ran a comprehensive simulation via program and for these starting values the algorithm converged c(1)-c(5) : 0.01, 1.8, 0.1, 0.7, 0.4
I'm attaching workfile having converged results in eqn object eq01. Not all coeff are significant but two are and additional one more is very close.
The reason I was checking for collinearity was that very few convergence existed and most of them are out of range for theory.
BR
acemi
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Average Cross-sectional Regression in Panel Data Structure
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http://www.eviews.com/help/helpintro.ht ... 23ww178713
EViews has had pie charts for over 20 years.
http://www.eviews.com/help/content/grap ... l#ww140464
EViews has had pie charts for over 20 years.
http://www.eviews.com/help/content/grap ... l#ww140464
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