The RATS Software Forum

Hi Tom,
until the new version of RATS, I applied the paper GARY 1996, I found the results with the database of gray, but with my database I found difficult.
I send you my database and the program GRAY .
THANK YOU VERY MUCH

Here is the program and I thank you in advance.

You posted the program for the original data set; not yours. That won't help us.

However, it's not surprising that you're having problems with the Gray model. It does not have a very well-behaved "likelihood function" as you can tell from the comments in our post. There are likely multiple modes with similar likelihood values but very different sets of parameters. I put likelihood function in quotes since it isn't the true likelihood. In order to avoid problems with path-dependence, it simplifies the lagged variance at each step. I don't know whether the source of the messy likelihood surface is that simplification, or whether it's the general problem of multiple modes shared by many switching models.

I thank you for the information and here is my base.
thank you very much.

That's your data set again. You said that you weren't able to get it to work with your data set. We need to see the program that didn't work correctly.

Hi TOM,
Here is my program, the problem is that I can not leave the graph probabilities.
Best regards

It looks as if one state is probably fine which would explain the difficulty in getting a two state model to fit.