The RATS Software Forum

Dear Friends, I have tried to estimate the restricted model as done by Koutmos (1996) Table 2. It does not give same results. Is there any simple way to modify the full-model code to become the restricted model. I have tried to put A(1)(3)==A(2)(3)==A(3)(3)==0.0 immediately after " nonlin b a g...

Dear Tom, Thank you fro your reply. Sorry for not making myself clear. In fact I have 10 countries data series in 10 worksheet of excel. every data series with its own date and corresponding data. If I combine all the series into one sheet. the dates will not match each other. part of the series aft...

I want to estimate a multivariate garch model for a few countries. Removing the weekends is easy. But non-trading holidays are different for different countries . How can I deal with this problem for multivariate garch? I am thinking to drop the data point that is non-trading before computing return...

Hi, Tom,

Is it possible to include the structural break tests (SupF, Mean F and Lc) in the FM.SRC as additional feature of FM.src to match the Gauss code?

Or Does RATS have it already in other procedures? Please kindly advise.

Thanks.

Tom,

Thanks for your reply.

I have checked the literature, there are vast studies shows that there is cointegration among these variables. However, none of them performed these test I have done except the JJ test. Maybe it is something good for me write.

Dear Tom, I have checked all the variables and all are I(1). the JJ test test indicates one cointegration but Grogery and Hansen (1996) Test can not reject the null. Residual test from FMOLS, CCR and DOLS all doest reject the null of no cointegration. But Hansen(1992) of P-value of Lc is greater tha...

Dear Friends on the Forum, I having trying to study the long run money demand parameter stability for the past weeks. Unfortunately, I am stuck now. I used CATS2.0 to estimate the the our variables which long of nominal m2 (LM2) seasonally adjusted quarterly industrial index and CPI and 3 month TB r...

Dear Friends, When I using FM-OLS.SRC and FM.SRC , I found the results are different. Then I checked with GAUSS program, the results from FM.SRC and Gauss code are same. I am wondering is it because the FM.SRC and Gauss code use pre-whitening before do fully modified OLS, but FM-OLS does not. Is tha...

Thank you very much for your suggestion, Tom.

Dear Friends on the Forum,

I have monthly data of inflation rates from 1985M01 to 2008m12. I would like to convert it into quarterly inflation rate. Any help on coding it in RATS is very much appreciated.

Dear Friends on the forum, I am trying to run a regression as follows: ret=B0+B1*X1+B2*X2+B3*X3+B4*X4*+error where ret is return series and X's are dependent variables. I want run the equation get the coefficients and using the bootstrapping to generate the return series and to test whether the mean...

Thank you, Tom.

Dear All, For the past week, I am trying to apply the Phillips and Perron (1998) approach of auto-correlation correction in the test of Kapetanios et al (2003) nonlinear ESTAR unit root test. Kapetanios et al (2003) used the Dickey-Fuller augmentation, but I want to try to use the Phillips and Perro...

Thanks for Tom Doan for your information. I am wondering is there any fast way to come out with the similar results with multiple looping procedure. I have read the paper and text book of Hamilton I am still confused to comw up with some workable code. Anyone could help on this? Thank you in advance...

Dear All, I am trying to write RATS code to implement Secion 3 and Section 4 of Paper by Wouter Haan and Steven Sumner (2004), 'The comovement between real activity and Price in the G7', European Economic Review 48: 1333-1347. In which they measured the comovement between price and output using the ...