Dear Ignacio,
I'm trying to estimate the parameters of a HW method by means of MLE
command:
mle ll = -1/2*log(2*$pi*s2)-1/2*(e^2)/s2
loop i=1+s...$nobs
(HW method)
endloop
params alpha beta gamma
end mle
Unfortunately the loop command is not permitted by mle commnd!
Have you any idea/advice to
El 30/09/15 a las 17:55, Raul Gimeno escribió:
> Thank you Ignacio for your answer.
>
> Would it be possible to modify your program such that the initial values
> correspond either to a fixed value given manually or correspond to the OLS
> estimation of the parameters for the whole times series or
;
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> Ignacio D?az-Emparanza
> Departamento de Econom?a A
El 28/09/15 a las 22:40, Pedro Bação escribió:
> Some time ago I came across a similar problem when using this function
> for a class. At the time I made a note to myself saying that the
> problem was in the definition of lobs, which I changed to:
>scalar lobs=lastobs(y)
> I hope this helps
>
Some time ago I came across a similar problem when using this function
for a class. At the time I made a note to myself saying that the
problem was in the definition of lobs, which I changed to:
scalar lobs=lastobs(y)
I hope this helps
On 28 September 2015 at 15:56, Ignacio Diaz-Emparanza
I have not much time for testing today, but it seems that a correction I
included to avoid initial conditions very different from the first
observations of the series is not working well for your data. If you
change in the HoltWinters package the line
series yh1= (0.85*y<= $yhat && $yhat
Hello
I've been using the Holt-Winters package but I cannot replicate my
Excel-calculation results with this package.
The starting value from the package for the trend is 245 mine is 166.396. By
running a regression on the full sample I get completely different results
for these starting values,
