还需要改个地方,你把ipm=3,改成ipm=1。
ipm是估计概率转移矩阵的参数,=3是用作者自己编写的那一套代码去估计,后面程序里有说明;
=1是直接估计2*2矩阵中的p11和p22
另外,我用的是gauss7.0,改了之后运行无误
FINAL ESTIMATES
Value of log likelihood: -2845.4269
Coefficients:
0.33000284 0.26802494 23.460591 0.11939691 0.25590515 0.00015927405 10.503320 0.10594459 0.44324573 3.3957401 3.7547000
Constant term in regression 0.33000284
Autoregressive coefficients in regression 0.26802494
Initial variance not neeeded
Constant term in ARCH process 23.460591
Coefficients on lagged epsilon squared in ARCH process 0.11939691 0.25590515
(Transposed) matrix of transition probabilities
2.5368221e-008 0.0089831327
0.99999997 0.99101687
The state with no adjustment to ARCH process is state 1, with transition
probability 2.5368221e-008
Vector of variance factors for states 2 through 2.0000000 0.10594459
Coefficient on negative lagged change for asymmetric effect 0.44324573
degree of freedom for t distribution is 5.3957401
Gradient vector:
6.9179806e-005 0.0011302750 -7.8088182e-005 -0.0020425821 -0.0018203135 0.00015770401 -7.8054892e-005 -0.014099421 -0.00073166419 -0.00026004046 0.00000000
Hessian not positive definite; eigenvalues are
0.00000000 0.00017917889 0.024908049 1.1920800 70.196701 256.68116 352.48718 424.74669 1439.5269 1983.4422 17026.812
eigenvector associated with smallest eigenvalue is
0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1.0000000
Matrix of Markov transition probabilities:
2.5368221e-008 0.0089831327
0.99999997 0.99101687
Ergodic probs for full state vector:
0.00000000 2.2585755e-010 7.9978217e-005 0.0088231762 2.2585744e-010 0.0089031542 0.0088231762 0.97337051
Ergodic probs for primitive states:
0.0089031547 0.99109685
Log likelihood:
-2845.4269



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