The RATS Software Forum

Dear Tom, I have a question, has anyone tried to replicate this work of Todd Clark?. This seems to be done in RATS, so far at least I have not found anything in the forum like this that use Bayesian methods with mixed frequency models and stochastic volatility. Best regards, and thanks in advance Ca...

Tom, thank you very much for the answer, I think it happens only under some circumstances that GW seems DM, but the main point of the test is that it only works with a fixed window, that make it not useful . In my case I have recursive pseudo real-time forecasts in a VAR's compared against some ARIM...

Tom, there is some version of the Giacomini-White test in RATS?.

Best regards.

W

Tom, sorry but I have a new question, when I change the numbers of lags in the VAR I have this error in this part of the code, maximize(trace,start=%%garchinit(),pmethod=simplex,piters=5,iters=500) garchmlogl gstart gend ## MAT13. Store into Out-of-Range Matrix or Series Element How I can fix this p...

Tom, for the Granger-Newbold forecast comparison test, for compare forecast 12 steps ahead, the syntax is the same?.

@GNewbold(lags=11) GDP naive12 M1P12


Regards

W

Tom, thanks very much for the quick reply. Another more basic question. When I compare forecast for 12 steps ahead. The correct is to put lags, like this

@dmariano(lags=11) GDP naive12 M1P12

Or this is not necessary?

Tom, I have a question about how to interpret the results of Diebold and Mariano test. Diebold-Mariano Forecast Comparison Test Forecasts of X1 over 2006:01 to 2010:12 Forecast MSE Test Stat P(DM>x) NAIVE1 5.66636695 1.0928 0.13724 M1P1 3.94101250 -1.0928 0.86276 Here in the first line H0) NAIVE1 = ...

Tom, one question. If I use factor=%identity(nvar) inside a bootstrap o MH, I have the impression that the impulse response I get from the Cholesky, not the one that come from cvmodel, is it?. Is there other way to standardize all shocks to unit?.