The RATS Software Forum

In the event this helps: 1. In macro forecasting, Bayesian vector autoregressions with stochastic volatility are used commonly and work well. The replication package for a recent paper of mine published in JMCB has RATS code for a BVAR-SV (procedure file is BVAR.SV.src). This is more than you want f...

Terrific, thanks very much for adding that!

Thanks for adding the Lasso capability with the PLS command. As I understand the documentation, the output from PLS does not seem to yield a list of the regressors selected as belonging in the regression (and having non-zero coefficients)? So one needs to check the %beta obtained from PLS to directl...

Fantastic -- thanks very much!

Following other work in a literature, I would like to read in data that are daily at a limited number of dates (these come from an event study approach to constructing monetary policy shocks) to create monthly series that sum the available observations within a month and contains zeros for months wi...

Sometimes the authors in question are busy and need time to reply. You might also try checking journal websites, especially with journals that encourage or require code and data. In the case of the Knotek and Zaman work, the JMCB data archive has a replication package with their code (in Matlab) and...

Great -- thanks very much. I actually did not know/remember that, and it will be very handy for the problem at hand.

Ok, Tom, you are right: the multivariate gamma piece is irrelevant (cancels out), and everything else is straightforward matrix computation with existing commands and functions. Sorry, I should have realized this before posting.

Thanks, Tom -- fair point, I will need to work through what exactly suffices in this case. What I am trying to do is make use of a Metropolis step (within a Gibbs sampler) to make the prior governing time variation in some parameters something to be estimated, as in a JBES paper by Amir-Ahmadi, Matt...

RATS has functions covering the pdfs of many common distributions, but this does not seem to cover the Inverse Wishart (the pdf is given in sources such as https://en.wikipedia.org/wiki/Inverse-Wishart_distribution). Has anyone in the RATS community by chance already coded this up? The calculations ...

Karlsson has a fairly exhaustive survey in the Handbook of Economic Forecasting published several years ago: Sune Karlsson, Chapter 15 - Forecasting with Bayesian Vector Autoregression, Editor(s): Graham Elliott, Allan Timmermann, Handbook of Economic Forecasting, Elsevier, Volume 2, Part B, 2013, P...

Perfect -- thanks very much. I searched various places for "combination" and related terms but didn't hit on that solution.

With a total of n regressors, I would like to consider models (quantile regressions, actually) estimated separately for each unique combination of 1 to k variables, where k < n. For the k=2, it is trivial to use a pair of do loops for this. But in the more general case with k > 2, something more ele...

I have a problem that is going to involve recursively looping over time to form estimates from a set of series with data available. Over time, the number of series with data will change. So I want to read in all of the series and then, for each time loop, pull the subset of variables with complete d...

This attached procedure estimates the quantile factor model of Liang Chen, Juan J. Dolado, Jesús Gonzalo (2021), "Quantile Factor Models," Econometrica, p.875-910 (https://doi.org/10.3982/ECTA15746). The computations follow the Matlab function IQR.m of Chen, et al. I have verified that a f...