The RATS Software Forum

Hi Tom:

Just a quick follow up question, when simplex method is used in pmethod, what's the default stopping criteria (such as tolerance values on the objective function and X0)?
Thanks in advance!

Cheers

Ben

Thanks alot!
Ben

Dear all: I'm estimating a state-space model with both Matlab and Rats. In Rats I choose simplex methods to refine the starting values then use BFGS to estimate the model. I did the same in Matlab, started with fminsearch then proceeded by fmincon. One interesting finding is that for the exactly the...

Thanks alot Tom!
Best,
Ben

So can I generalise it by saying in cases when the number of observable data series coincide with the number of structural shocks, (no measurement error) all filterred states will have a 0 variance?
Sorry to bombard you with questions...Thanks in advance for your reply.
Cheers

Ben

Dear Tom: Yes the filtered state is E(X(t)|t) and I have two series of data and 3 state variables. Since I do not allow any measurement error in the measurement equation, the state series for y and pi should be exactly the same as the data series, with a zero variance, of course. However, the third ...

Dear Tom: Thanks for helping me out here, I do appreciate your time and effort. I now try to estimate this model using two series of data on inflation and output gap, without measurement error. The program and data file are attached. I found the filtered state variable, which in my case is the state...

Hi Tom: Thanks for your reply. I want to clarify a few points that confuse me: 1. You mentioned the number of states is 6 in the Cagan model. Does is mean the states vector includes (as in order) 1. variables claimed in 'data' and 'declare series' command 2. expectation errors But since you know you...

Dear all: Im currently working on the methodology chapter of my PhD thesis. The aim is to demonstrate how to build, solve, estimate a small new Keynesian DSGE model analytically. I have a question about casting solved DSGE model into state space form. Here is my code for a three equation model: cale...