The RATS Software Forum

Many thanks Tom, Sorry for not being clear enough: What I would need to do is to estimate a fixed-effects FMOLS, where the slope coefficients are homogenous across cross-sections but intercepts are allowed to vary between cross-sections. If I understood correctly, @FM does not too that, since it doe...

Hi,
I wonder whether there is a procedure to implement POOLED FMOLS with RATS? It appears that the @panelfm always estimates mean-group FMOLS.
Cheers,
Y

Many thanks Tom.
(simple 50 pages ;-D)

Hi I wonder whether there is a readily available code for the group mean cross-sectionally augmented adf (CADF) panel unit root test proposed by Pesaran (2007)? I have not found such code anywhere from the Estima pages (inc. the Forum) of the manuals. Pesaran MH (2007) A simple panel unit root test ...

This works well - many thanks!

Yes, I did use PRINT(window='name') to get the erets and srets series already (so, I do get the efficient frontier points), but what I would need are the optimal portfolio weights for each asset for each expected return point - I apologize for being unclear in my first message.

Hi

It is easy enough to compute efficient frontiers given a set of return time series. However, I have not been able to find a way to store the optimal portfolio weights for the various points in the efficient frontier. How could this be implemented?

Cheers,

Earlier on, I was able to use the above presented codes as desired - thanks again for the help! I would need to estimate and capture to excel similar forecasts now, but using rolling coefficient estimates for the VAR model (starting from 2000:1, i.e. first using sample period 1975:1-1999:4 to get fo...

True (= works well), my mistake - apologies...

Unfortunately, I get "## SR8. Badly Formed TO triple" in the last stage (i.e. in the "copy" stage) :-/

This yields the following error message:

## SX11. Identifier %SROW is Not Recognizable. Incorrect Option Field or Parameter Order?
>>>>975:3 2049:4 %srow(<<<<

I wonder whether this is because I am using RATS 7.3 (9 should be coming soon)?

Many thanks Tom, once again! Just to make sure: I just need to download my own data, change the dates, variable names and the VAR model 'structure', and the created excel file provides the set of forecasts that I wish to have - that is, there is nothing else I need to alter in the code? This might b...

Hi all I would need to derive forecasts from ARMA-GARCH and VAR models in a manner that does not seem to be illustrated by any of the examples I have found the RATS manuals (RATS 7.3, version 9 to be ordered soon): 1. I have estimated a 3-variable VAR model, using data for the whole existing sample ...

Thank you Tom and sorry for the misinformation I had - indeed, panelfm provides the flexibility and information I was looking for.

Tom, I was a bit unclear with my initial message, apologies for that. The problem is that while the Pedroni method allows for cointegration testing in the presence of heterogenous cointegrating vectors, it does not allow for estimating those (heterogenous) vectors (as far as I have understood). I th...