Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Estimating a Log Periodic Power Law model with some constraints


From   Mehmet I Canayaz <mehmet@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Estimating a Log Periodic Power Law model with some constraints
Date   Mon, 22 Mar 2010 10:48:17 -0400

Hi, I am trying to estimate a Log Periodic Power Law model (a simple version can be found here:http://econophysics.econ.univpm.it/econpapers/abstract/Bree.pdf ) on some financial data and I am having some difficulties. 

The model reads:

P(t) = A +  B  *  (t_c - t) ^ z + C  *  (t_c - t)^z   *  cos ( w * ln(t_c - t) - r)

with the following constraints: B<0, 0<z<1.

My first idea was running a nonlinear least squares model on (price) P(t) and (time) t with the many coefficients such as A, B, t_c, C etc. to be estimated.[t_c is of extreme importance since it shows the time of a future burst in a financial bubble]. The problem is: I don't really know how to assert the mentioned constraints on nonlinear least squares in Stata. Stata doesn't allow me to create a constraint and call it like:  nl y x, cons(1)

If you have a better estimation method for this formula or have an idea on how to fulfill the constraints I would appreciate your help.

Best regards, 

Mehmet Canayaz
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index