The RATS Software Forum

The short answer is no. And if you look at the output, the estimation with OUTLIERS doesn't find any outliers. The difference between the estimators is that (non-empty) OUTLIERS option forces use of maximum likelihood while the other estimation is doing Gauss-Newton. The two aren't comparable (asid...

Hi Tom, Shouldn't GMAUTOFIT.SRC https://estima.com/webhelp/topics/gmautofitprocedure.html take into account outliers? Using AUTOBOX.RPF as an example I get very different residual autocorrelation structure and histogram, using no outliers in BOXJENK vs. OUTLIERS=STANDARD. *==========================...

Hi Tom, A general question regarding SCENARIO analysis in RATS. Given the recent market turmoil w.r.t. TRUMP's TARIFFS (in DONALD TRUMP's inaugural address, on 20th Jan 2025, he promises to: “tariff and tax foreign countries to enrich our citizens”), what methods/models (univariate and multivariate)...

I would generally recommend having quarterly series that are relatively close to having the same "timing". GDP as a flow variable, is already, in effect, an average of daily figures. It sounds like you would have FedFunds the same way, so doing the URATE as quarterly averages rather than ...

Hi Tom, I'd like to confirm the following w.r.t. updating a quarterly VAR-MACRO model. If I have data from FRED and - GDPC1 which is quarterly, with - other macro monthly series I would update at the end of the 1st quarter 2025 i.e. MARCH 2025 using the 'last' monthly data, having lagged 1 quarter f...

I'm lost, but from what I can tell, you are again confused about VaR analyzed for a short position. For a short position, the risk is in the right tail, not the left one. If the distribution of returns isn't symmetrical (and by assumption yours isn't since you're assuming the yen is weakening), tho...

The g10xrate file has all currencies quoted as USD value of a foreign currency unit whether that is the standard quotation or not. set x = -100.0*log(usxjpn/usxjpn{1}) would give you the return to a long position of $100 US. set x = +100.0*log(usxjpn/usxjpn{1}) would give you the return to a long p...

For Nelson and Plosser simulation I have all 700 seed 123 compute nsteps=200 compute nburn=200 compute nobs=500 set u 1 nburn+nobs = %ran(1.0) set trend 1 nburn+nobs+nsteps = t comp a = 10.0; * constant comp b = 0.05; * trend comp phi1 = +0.8; * |phi1|<1 set(first=0.0) stochtrend 1 nburn+nobs = b+1....

I have included a TRENDSQ term to the 4th, y4: quadratic trend process and removed the constant. Variable Coeff Std Error T-Stat Signif ************************************************************************************ 1. AR{1} 0.982196673 0.008053562 121.95805 0.00000000 2. TREND 10.036218055 0....

In enders4p186.rpf, to estimate Figure 4.2: Four Series With Trends I would (a) rw: boxjenk(ar=0,diffs=1,ma=0) (b) dr: boxjenk(constant,ar=0,diffs=1,ma=0) (c) ts: linreg ts # constant trend OR boxjenk(ar=0,diffs=0,ma=0,GLS) ts # constant trend Correct? How do I estimate (d) rwn ? Sorry typo, the ts...

In enders4p186.rpf, to estimate Figure 4.2: Four Series With Trends I would

(a) rw: boxjenk(ar=0,diffs=1,ma=0)

(b) dr: boxjenk(constant,ar=0,diffs=1,ma=0)

(c) ts:

linreg ts
# constant trend

OR

boxjenk(ar=0,diffs=0,ma=0,GLS) ts
# constant trend

Correct?

How do I estimate (d) rwn ?

Thanks Tom. To reiterate: Nelson and Plosser's result was that the typical trending economic series was best described as a difference stationary series when in logs . If you are trying to generate something like that, you would do the simulation and then exp up to get a simulated trending economic ...

My suggestion is that you go back to Nelson and Plosser and read the mathematical background. They go over the difference between trend stationary and difference stationary series (basically what you are simulating here) and how the wrong choice can cause problems (what you are discovering here). N...

I have included a TRENDSQ term to the 4th, y4: quadratic trend process and removed the constant. Variable Coeff Std Error T-Stat Signif ************************************************************************************ 1. AR{1} 0.982196673 0.008053562 121.95805 0.00000000 2. TREND 10.036218055 0....

If you first difference an equation that doesn't not need it, you induce a moving average term of the form (1-L)eps which will show high negative autocorrelation. (Just take the equation and difference it to see). It won't be as big a problem if the process had a AR root relatively near 1; it shoul...