The RATS Software Forum

I notice that in bjautofit AIC=-2ln+2*(p+q) but I thought it would have intercept in some cases, then %nreg would be better?

Otherwise sometimes, the manual calculated AIC may not match those from bjautofit.

I know Display to show REAL or element of SERIES/RECT/VECT; and PRINT to show the whole SERIES. I read the data from lgdp.txt and data series occur in SERIES WINDow. Also display lgdp(1) shows the first element. But I also read data from another xls file and series occur in SERIES WINDow too. But di...

Thank you so much, Tom. I successfully got the IRF thanks to your advice. To get the confidence bands for the IRF using Bootstrapping, I am trying to use a baseline of ymmodel in simszhaecm1999. *Combine two equations and calculate IRF for dummy group bimodel yeqn dummyeqn impulse(noprint,model=bimo...

Hi, I am trying to obtain the impulse response with confidence bands for the univariate autoregression. My model is a simplified model from Cerra and Saxena(AER 2008) y_t=alpha*y_t-1 + beta_0*dummy_t +beta_1*dummy_t-1 + error_t I would like to get the impulse response of dummy variable( dummy takes ...

Hello Tom:

I read a paper by Gary Koop et al. (2008) ("Bayesian Inference in the Time Varying Cointegration Model") in which they show the method for estimating a VECM. I'm wondering if there is a prog. available or could you show me a bit how to do it.

Thank you very much.

Hello all:

Is there any proc available that allows me to estimate the time-varying VECM?

Thank you.

Hello, I understand that when using the @MSVARSetup procedure we have the option of having the mean or the intercept switch, along with the option of having the variances switch between regimes. However, is it possible to have the autoregressive coefficients switch between regimes? Thanks in advance...