The RATS Software Forum

Hi Tom,


Could we use it to do a one-sample Wilcoxon signed-rank test?
I want to test if one sample set median is zero or not.


Frank

Hi Tom, I'd like to do a regression model based on two variables, so I need to partition the data into four subgroups by using two variables. For example: linreg(smpl=mbratio>%mean, smpl=FCF>median) but it doesn't work. Or, I need to use SAMPLE to partition the data in the first step? Frank

wondering how to use %prjfit, is the following code correct? but it didn't work.
set a = %prjfit(xvector)

is there any example about %PRJCDF and %PRJDENSITY?

TomDoan wrote:prj fitted_value
print 1 10 fitted_value

will work. You can't have a space inside a variable name (_ is OK).

If one would like to fit the value in sample, For example, if I want to check the fitted value of the regression model, and I want to use the fitted value series to do other procedures. the PRJ needs to be used here, is it correct? linreg hours # constant lwage educ age kidslt6 kidsge6 nwifeinc prj ...

Hi, Tom You meant "generally speaking, RATS can't produce a fitted value for Y(t) if the necessary right-hand-side values aren't available", whatif I've got a linreg model, and I want to check the fitted value of Y(t). What should I do to store the fitted value as a series. Since I want to...

Thank you for your help. I still have some questions as the code: * INSTRUMENT.RPF * Example of estimation using two-stage least squares. * RATS User's Guide, example from Section 2.5. * Based on example 9.5 from Wooldridge(2010), "Econometrics of Cross * Section and Panel Data", 2nd ed. *...

so, in the codes: instruments constant ind ed union fem linreg(inst) wks # constant lwage ed union fem lwage is not in the list of instruments, thus it's an endogenous variable, right ? I thought that the first step is doing : lwang= b0 + b1 ind + b2 ed + b3 union + b4 fem and the second step is wks...

Hi Tom, I check the code from 10.0 version as follow I'm confused about the 2 step Least Squares in the codes: instruments constant ind ed union fem linreg(inst) wks # constant lwage ed union fem would you please show me the first and the second regression equations? And I'm confused about which one...

No, I meant eigen(dmatrix=identity) %sigma * f EIGEN is an instruction, not a function (it has quite a few options to allow it to deal with real or complex matrices). Tom, I know eigen is an instruction, but if compute f=%decomp(%sigma) is replaced by eigen(dmatrix=identity) %sigma * f how about th...

Isn't that the same thing but with: * * Compute Cholesky factorization of sigma * compute f=%decomp(%sigma) replaced with an eigenvalue-based factorization eigen(dmatrix=identity) %sigma * f Sorry, didn't get it. Did you mean: ....... * Compute Cholesky factorization of sigma compute f=eigen(dmatri...

Hi Tom

I'm using 8.3 version.
is there any src or other example in the textbook talking about the method of PWM?



Frank

hi, Tom

is there any sample code to Bauwens and Laurent (2005) on JBES.
In this paper, DCC based on skewed multivariate t distribution is adopted.
is there similar code to this ?
Please, thank you.


Frank

In Tsay, (7.26) and (7.28) are the same formulas---it's just that (7.28) is using a specific value for p*. Part I is showing how to invert the GEV, while Part II figures out what probability needs to be input to the GEV inverse to get the desired value. (7.28) is what's being calculated for a VaR. ...

Hi, Tom I use WinRats 6.35. As I refer the sample codes in the textbook of Tasy's Analysis of F.T. series. in the sample code of p.313, it is calculating value at risk (VaR) based on extreme value theory. And it uses the code as : compute var01=%invgev((1-.01)**n,k,-beta,alpha) From Tasy's book p.31...

as the title, parameters estimated by MLE is assumed the distribution follows normal distribution. however, if we set the distribution follow non-normal one, then, we have to apply quasi-MLE. But, I couldn't find the function of QMLE in WinRats. does it have this function? or we don't have to accoun...