The RATS Software Forum

I wondered whether someone has already set up a procedure to do the FGLS estimation for the deterministic parts and the resulting CI test as specified in Lütkepohl, Saikkonnen and Trenkler (2004) TESTING FOR THE COINTEGRATING RANK OF A VAR PROCESS WITH LEVEL SHIFT AT UNKNOWN TIME? The FGLS procedure...

And another question: I am wondering, why do you write this: Why not just "ut" as defined by the last linreg command?

Hey Tom, I think there is a minor mistake in that program, concerning the case of a break in the intercept only. As far as I can see, the program takes c=23 in that case, but it should actually be 13.5 as in Elliot et. al. if I understand Perron & Rodriguez correctly. They do not consider a brea...

Ok, thank you very much Tom. I am very much indebted to you. Thanks for your help!
Could you, however, probably loose one or two words on the long run residual variance?

Ok, thanks a lot, Tom. I am much indebted. To make thinks clear for me: Are you saying that for hypothesis-testing in such a framework, I should use the robusterrors version or are you saying the opposite that I should use the mcov version? Moreover, I also need to get "omega", i.e. the lo...

I did the following: linreg series start end res # constant trend s2 s3 s4 comp b = %beta(2) mcov(lwindows=quadratic) start end res # constant comp omega = 1.0/%nobs* %cmom(1,1) statistics trend start end comp tlr = b/sqrt(omega(1,1)/(%nobs*%variance)) linreg(robusterrors, lwindow=quadratic) series ...

Ok, thank you very much Tom! You are very helpful, thanks a lot. I just wondered: If I am trying to use the long run variance to conduct a simple hypothesis test, like a simple t-test, is there any difference between using the mcov function to get the long run variance and using the robustregression...

Hey Tom, I am trying to compute the quadratic spectral density estimator to get the long run variance of a certain process. In one of the procedures (I think it was KPSS), you used mcov for this. My problem is that my cognitive abilities are strongly limited so that I don't get what I have to do (an...

Hey Tom, sorry to bother you again with stupid questions. Your help is highly appreciated! I need to bootstrap some M-tests for unit roots using "wild bootstrapping" as it is done, for instance, in the paper "BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY"...

Ok, thanks for that. Really appreciated. However, even with that revised version, the optimal choice of the lag-truncation parameter k chosen by AIC is always at least as high as the MAIC value but most often higher, regardless of the specification for the deterministic components. I have run this o...

Hey Tom, I am a little bit confused after using ADFAutoselect (downloaded from the normal website, not from here, but seems to be the same version). For a series of time series, the ADFAutoselect reports optimal k for the MAIC that are often smaller than the values for the AIC. But this cannot be. H...

Hmm, I just realized that I use v.6 of RATS and not 7. So I will have to use a different way anyway since FILTER does not have a remove-option, at least it tells me that it doesn't. So, any comments are highly appreciated.

Ah, ok, thanks. Then I understand it now. However, how would I create a series within a procedure? I tried to do it by just saying seasonal sea4 set sea2 start end = sea4{-2} set sea3 start end = sea4{-1} and linreg(noprint) series startl endl res # constant trend sea2 sea3 sea4 instead of the versi...

Hey Tom, thanks a lot for your help. Anyway, I should make myself clearer. I don't want to filter seasonality out. I want to include simple seasonal dummies instead of a single constant in the regression. In Matlab I would just create dummies within the procedure and put them into my regressor-matri...

Hey Tom and all the other guys,

I would like to rewrite kpss.src and the typical unit root programs (uradf, ...) to automatically include deterministic seasonal dummies in their regressions. Any hint how I can do this in a fast and economical way?