The RATS Software Forum

Hi, I'm trying to estimate a state-space model in which the state vector of the transition equation is a mix of state and observables. The reason for us to have this setting-up is to allow for the interaction between the state variables and the relevant observables. Is there a way for the RATS progr...

Thanks a lot! It works.

Thanks for you reply, Tom. But what I ended up having is above 1 correlation along with non-convergence warning and some nonsensical parameters. Is there any way to constrain the correlation parameter within the (-1,1) band while allowing it to be freely estimated? Thanks.

Hi I am estimating a state-space model where there are two state variables. I allow two shocks in the transition equations to be correlated in the spirit to Morley, Nelson and Zivot (2003) and Sinclair (2009). My question is: how to restrict the correlation parameter in 'sw' to be less than 1 in its...

Thanks a lot.

Hi, I try to do bias correction of the coefficients in an estimated VAR model. We construct the VAR using 'system' command and then estimate it using 'estimate' command. My question is: we want to do some bias correction of the VAR coefficients. I already calculated the bias and know what values we ...