[Scilab-users] About the function ms_var in GROCER
Eric Dubois
grocer.toolbox at gmail.com
Mon Apr 1 21:38:19 CEST 2013
Hello.
For me it works (see the file estim_5variables.txt attached). I am working
with Grocer 1.56 under Scialb 5.4.0 and Windows 7: is it the case for you.
Anywa, file MSVAR_Constraint.sci also attach may help correct the error you
have encountered (at least, ms_var should not lead to the error message you
had...); to use it, store it into a folder (say c:/newgrocer) and load it
into Scilab by running:
--> getd('c:/newgrocer')
Éric.
2013/4/1 lihnyaa <lihnyaa at gmail.com>
> The attachment is the data I use. canns1.dat
> <http://mailinglists.scilab.org/file/n4026417/canns1.dat>
>
>
>
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Initial statistical moments and parameters
=================Initial real and transformed parameters, para_m and param_init:==================
0.0699201 0.5174729
- 0.0944132 0.4764142
0.0286041 0.0286041
- 1.0042623 - 1.0042623
0.4399636 0.4399636
0.0260033 0.0260033
- 3.0080104 - 3.0080104
15.773354 15.773354
- 0.0039443 - 0.0039443
0.7206218 0.7206218
0.0419566 0.0419566
0.0037506 0.0037506
0.0202032 0.0202032
0.7607538 0.7607538
0.0058786 0.0058786
- 0.0093643 - 0.0093643
0.9983517 0.9983517
- 0.0003832 - 0.0003832
0.0250603 0.0250603
- 0.0518977 - 0.0518977
0.0541120 0.0541120
- 0.0008583 - 0.0008583
0.0486993 0.0486993
0.9676183 0.9676183
- 0.6099630 - 0.6099630
2.1059789 2.1059789
0.0072784 0.0072784
0.0512796 0.0512796
- 0.0043994 - 0.0043994
0.0007634 0.0007634
0.9912777 0.9912777
- 0.1764949 - 0.1764949
- 0.0869307 - 0.0869307
- 0.6468239 - 0.6468239
0.4508474 0.4508474
0.0176991 0.0176991
- 3.5536921 - 3.5536921
16.775545 16.775545
- 0.0055584 - 0.0055584
0.6485442 0.6485442
0.0516871 0.0516871
0.0042500 0.0042500
0.0289586 0.0289586
0.9622210 0.9622210
0.0087562 0.0087562
0.0273598 0.0273598
0.9929764 0.9929764
- 0.0006226 - 0.0006226
0.0362573 0.0362573
- 0.2209711 - 0.2209711
- 0.0298299 - 0.0298299
0.1168003 0.1168003
0.0699506 0.0699506
0.9803415 0.9803415
- 0.8335095 - 0.8335095
2.5817595 2.5817595
0.0071134 0.0071134
0.0597828 0.0597828
- 0.0065145 - 0.0065145
0.0001718 0.0001718
0.9944227 0.9944227
- 0.2021340 - 0.2021340
0.2618340 0.0685570
- 0.0034653 0.0000120
- 0.0006818 - 0.0000002
0.0034591 0.0000001
- 0.0018218 0.0000033
0.0191404 0.0003664
- 0.0003208 - 7.813D-08
0.0006510 1.892D-09
0.0000313 5.306D-11
0.0114459 0.0000002
- 0.0014611 0.0000021
- 0.0013173 0.0000017
0.4582502 0.0001673
0.0006496 2.127D-09
0.0122109 3.309D-08
0.3087312 0.0000054
- 0.0060214 - 1.309D-08
- 0.0014013 - 1.745D-09
- 0.0023365 0.0000054
- 0.0014845 0.0000022
0.0217090 0.0000021
0.0003700 9.220D-09
0.0003674 2.528D-10
0.0001060 1.459D-08
0.0123310 6.803D-09
- 0.0012294 - 1.164D-08
- 0.0008206 - 7.241D-10
0.4373909 0.0000044
0.0005932 0.0000004
0.0112946 0.0001276
rows(param)
92.
==================Initial matrix of transition markovian probabilities, ptrans_init:==================
0.5174729 0.4764142
0.4825271 0.5235858
==================Initial switching regressors (or intercepts), Beta :==================
0.0286041 - 0.0869307
- 1.0042623 - 0.6468239
0.4399636 0.4508474
0.0260033 0.0176991
- 3.0080104 - 3.5536921
15.773354 16.775545
- 0.0039443 - 0.0055584
0.7206218 0.6485442
0.0419566 0.0516871
0.0037506 0.0042500
0.0202032 0.0289586
0.7607538 0.9622210
0.0058786 0.0087562
- 0.0093643 0.0273598
0.9983517 0.9929764
- 0.0003832 - 0.0006226
0.0250603 0.0362573
- 0.0518977 - 0.2209711
0.0541120 - 0.0298299
- 0.0008583 0.1168003
0.0486993 0.0699506
0.9676183 0.9803415
- 0.6099630 - 0.8335095
2.1059789 2.5817595
0.0072784 0.0071134
0.0512796 0.0597828
- 0.0043994 - 0.0065145
0.0007634 0.0001718
0.9912777 0.9944227
- 0.1764949 - 0.2021340
==================Initial ergodic state probabilities, prob_st_init:==================
0.4968127
0.5031873
==================Initial state covariance, var_init:=========================
0.0685848 - 0.0009713 - 0.0001879 0.0024884 - 0.0004962
- 0.0009713 0.0003789 - 0.0000084 0.0002993 0.0000081
- 0.0001879 - 0.0000084 0.0001354 - 0.0006897 - 0.0000309
0.0024884 0.0002993 - 0.0006897 0.2100082 0.0003012
- 0.0004962 0.0000081 - 0.0000309 0.0003012 0.0001546
0.0953608 - 0.0019912 - 0.0004480 - 0.0017446 - 0.0004760
- 0.0019912 0.0005078 0.0000205 0.0001823 0.0000124
- 0.0004480 0.0000205 0.0001563 - 0.0005500 - 0.0000180
- 0.0017446 0.0001823 - 0.0005500 0.1913182 0.0002707
- 0.0004760 0.0000124 - 0.0000180 0.0002707 0.0001308
=========================Det(inv(var_cov_init)):=========================
10^12 *
10.047621 6.1493922
==================Initial non switching regressors (or intercepts), Delta :==================
[]
Optimization step, be patient ...
Attention :
La matrice est presque singulière ou mal conditionnée. rcond = 1.3731D-13
ms var estimation results
estimation period: 1996m1-2011m12
number of observations: 191
number of variables: 92
Log likelihood: 1745.6078
Degree of freedom: 99
=================Matrix of markovian transition probabilities P[i,j]: ==================
================= [tstat - p-value] =================
0.8850141 0.5828863
[34.22 - 0] [6.24 - 1.083D-08]
0.1149859 0.4171137
[4.45 - 0.0000229] [4.47 - 0.0000212]
================= Ergodic probabilities :=================
0.8352335
0.1647665
================= Coefficients
============== Regime 1 =============
*** for endogenous: y ***
exogenous coeff t-statistic p value
y(-1) 0.4259886 9.7030569 4.441D-16
p(-1) -0.0862999 -0.2623427 0.7936024
m(-1) 0.1723649 3.2681508 0.0014889
s(-1) 0.0060076 1.0484459 0.2969861
x(-1) -1.7405879 -8.5693446 1.426D-13
const 7.7995412 6.3477638 6.632D-09
*** for endogenous: p ***
exogenous coeff t-statistic p value
y(-1) -0.0006893 -0.2261177 0.8215761
p(-1) 0.8783022 38.716149 0
m(-1) 0.0208230 5.752201 9.836D-08
s(-1) 0.0020264 5.1975735 0.0000011
x(-1) 0.0024309 0.1724934 0.8634018
const 0.3227738 3.779118 0.0002690
*** for endogenous: m ***
exogenous coeff t-statistic p value
y(-1) 0.0011878 0.3717205 0.7108953
p(-1) -0.0390978 -1.6468931 0.1027508
m(-1) 1.0044442 264.93873 0
s(-1) 0.0000893 0.2179641 0.8279057
x(-1) 0.0203670 1.3602781 0.1768313
const 0.0534526 0.5975317 0.5515167
*** for endogenous: s ***
exogenous coeff t-statistic p value
y(-1) -0.0494459 -0.2750411 0.7838578
p(-1) 0.6397680 0.4645632 0.6432644
m(-1) -0.0331701 -0.1499724 0.8810915
s(-1) 0.9624616 40.858762 0
x(-1) -1.1310326 -1.3621402 0.1762449
const 2.6579793 0.5197905 0.6043699
*** for endogenous: x ***
exogenous coeff t-statistic p value
y(-1) 0.0067011 1.5354534 0.1278623
p(-1) 0.0706486 2.169487 0.0324391
m(-1) -0.0081159 -1.5613814 0.1216249
s(-1) 0.0003583 0.6381920 0.5248222
x(-1) 0.9722267 47.717459 0
const -0.1367219 -1.1144593 0.2677804
Variance-covariance matrix of residuals
[tstat - p-value]
0.0130137 0.0000014 -0.0001080 0.0052821 -0.0000423
[8.31 - 5.231D-13] [0.02 - 0.9849474] [-1.39 - 0.1662637] [1.23 - 0.2229484] [-0.4 - 0.6927786]
0.0000014 0.0000635 0.0000020 -0.0004324 0.0000064
[0.02 - 0.9849474] [8.76 - 5.485D-14] [0.36 - 0.7159522] [-1.44 - 0.1528690] [0.85 - 0.3993947]
-0.0001080 0.0000020 0.0000710 -0.0003452 -0.0000250
[-1.39 - 0.1662637] [0.36 - 0.7159522] [8.78 - 5.040D-14] [-1.09 - 0.2771219] [-3.12 - 0.0023864]
0.0052821 -0.0004324 -0.0003452 0.2222113 0.0004822
[1.23 - 0.2229484] [-1.44 - 0.1528690] [-1.09 - 0.2771219] [8.9 - 2.665D-14] [1.12 - 0.2670821]
-0.0000423 0.0000064 -0.0000250 0.0004822 0.0001327
[-0.4 - 0.6927786] [0.85 - 0.3993947] [-3.12 - 0.0023864] [1.12 - 0.2670821] [8.82 - 4.019D-14]
============== Regime 2 =============
*** for endogenous: y ***
exogenous coeff t-statistic p value
y(-1) -0.6284665 -3.2782405 0.0014417
p(-1) -2.8270092 -1.0225531 0.3090114
m(-1) 1.0255908 2.4537316 0.0158854
s(-1) 0.0471293 0.9749657 0.3319536
x(-1) -5.9979064 -3.7574867 0.0002902
const 32.721751 3.3388438 0.0011867
*** for endogenous: p ***
exogenous coeff t-statistic p value
y(-1) 0.0053682 0.6374273 0.5253180
p(-1) 0.0885046 0.7264954 0.4692494
m(-1) 0.1163909 6.3964024 5.296D-09
s(-1) 0.0080118 3.7699902 0.0002778
x(-1) 0.1036018 1.4680584 0.1452584
const 2.551532 5.7857959 8.473D-08
*** for endogenous: m ***
exogenous coeff t-statistic p value
y(-1) 0.0162938 1.9964383 0.0486322
p(-1) 0.1868473 1.5958097 0.1137187
m(-1) 0.9677206 55.057042 0
s(-1) -0.0021177 -1.0472065 0.2975543
x(-1) 0.0333297 0.4871025 0.6272625
const -0.6948063 -1.6475915 0.1026070
*** for endogenous: s ***
exogenous coeff t-statistic p value
y(-1) 0.1170734 1.1006359 0.2737241
p(-1) -1.0205658 -0.6603495 0.5105631
m(-1) 0.3780227 1.6506351 0.1019822
s(-1) 1.0224736 38.62373 0
x(-1) 0.4187998 0.4645292 0.6432886
const -1.6512566 -0.2911047 0.7715803
*** for endogenous: x ***
exogenous coeff t-statistic p value
y(-1) 0.0102071 2.2846588 0.0244672
p(-1) 0.0222877 0.3372551 0.7366386
m(-1) 0.0048544 0.4928111 0.6232373
s(-1) 0.0010889 0.9672497 0.3357762
x(-1) 1.0638813 28.468163 0
const -0.4765506 -2.0239911 0.0456653
Variance-covariance matrix of residuals
[tstat - p-value]
0.2557901 -0.0005170 0.0010487 0.0133780 -0.0017716
[3.87 - 0.0001939] [-0.25 - 0.8057946] [0.52 - 0.6021054] [0.52 - 0.6066218] [-1.55 - 0.1235256]
-0.0005170 0.0004940 0.0001296 0.0009151 -0.0000588
[-0.25 - 0.8057946] [3.82 - 0.0002329] [1.42 - 0.1587068] [0.76 - 0.4497430] [-1.16 - 0.2472009]
0.0010487 0.0001296 0.0004740 -0.0015826 -0.0000002
[0.52 - 0.6021054] [1.42 - 0.1587068] [3.9 - 0.0001741] [-1.37 - 0.1741074] [0 - 0.9960294]
0.0133780 0.0009151 -0.0015826 0.0786236 -0.0014329
[0.52 - 0.6066218] [0.76 - 0.4497430] [-1.37 - 0.1741074] [3.8 - 0.0002490] [-2.15 - 0.0336583]
-0.0017716 -0.0000588 -0.0000002 -0.0014329 0.0001407
[-1.55 - 0.1235256] [-1.16 - 0.2472009] [0 - 0.9960294] [-2.15 - 0.0336583] [3.88 - 0.0001879]
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