Missing values

Discussion of models with structural breaks or endogenous switching.

Missing values

Unread postby vtsa » Thu Oct 28, 2021 1:10 pm

Dear Tom,

When I run the program attached below, error occurs. I couldn't fix the error. Could you help me to fix the error in the program.
I will appreciate your response,
Kind regards!
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Re: Missing values

Unread postby TomDoan » Thu Oct 28, 2021 2:05 pm

It's hard to tell without the data, but you're using a standard deviation to scale what's basically a square in the threshold, so there could be a serious issue with scale in the exponent. Before you try putting that into a triple loop, you should try estimating the model with just a single reasonable value for C1, C2 and GAMMA. (And note that GAMMA should be on the order of the variance, not the standard deviation).
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