The RATS Software Forum

Hi Tom Assuming we are calculating base (not conditional) forecasts, can we not modify the expectations as below: E(y(t+1)) = v(t+1) + A(1)y(t) + ... + A(p)y(t-p+1) E(y(t+2)) = v(t+2) + A(1)y(t+1) + ... + A(p)y(t-p+2) ... For a VAR(1) process, instead of getting the below forecast: E(y(t+h)) = [I(k)...

Hi Tom

I am not looking to fix the values in advance, so I still want to keep the volatility around the mean.
Is it possible to only fix the mean ?

Hi

Is it possible to calibrate the forecast means to observed future quotes in a VAR model ?
I'm thinking that since E(y(t)) = mean, we could instead have a term structure of mean(t)
calibrated from futures on y(t) where available, such as S&P futures. Can we do that in RATS ?

thanks
Apollon

Hi all

In a Bayesian framework, we know it's possible to optimize decay and tight for a univariate autoregression.
Can we do the same for a VAR system - when using the Minnesota prior ?

thx
Apollon

After doing some more research, I'm kind of answering some of my questions while still hoping for a feedback from the experts! 1. Yes we can, at least as also indicated in page 400 of this reference: http://faculty.washington.edu/ezivot/econ584/notes/varModels.pdf There are two issues I see here. Fi...

Hi I'm looking for some guidance on incorporating uncertainty in VAR forecasts - on a system that contains both economic (inflation) and financial (S&P 500) variables. Let's assume my VAR system uses 1 lag, 3 variables y,x,z and I am producing (monthly) forecasts 1,2,3 periods later based on a m...

Hi Tom I didn't post the original topic of this thread but I followed up on it since it relates to my query. Now, Tom's reply was "If you want to continue the rolling regression out of sample (using previous forecasts as "actual" values for the out-of-sample periods), you can do that ...

True. Can you pls give an example of how can I do that (I assume it has to be inside the loop) or is such an example mentioned in the user guide ?

Hi Tom I kept 13 points as a proof of concept that the program can run, once I manage to get it working I'll change this to have more points. I think the answer to my confusion is the way I interpreted rolling regressions. I thought I could use rolling regressions in RATS with forecasted values but ...

Related to this topic, I have a VAR system which has monthly data say from 1997 to 2000 and I want out of sample one period forecasts between 2000 and 2005 based on a rolling regression with a moving window of 12 months. My below (I'm sure badly written) code produces in sample forecasts fine but NA...

So if my understanding is correct, his Wald test is valid and similar to Rats LR test. To be more specific, varcause (which is the same program I was referring above) is doing this: system(model=unrestricted) variables loggdp unemp logi lags 1 to 4 det constant logp{1 to 4} logm2{1 to 4} end(system)...

Lutkepohl actually goes on to define the Wald statistic and provides an example (3.6.2) of multivariate Granger causality.
Are we saying this statistic flawed ? If not, does this statistic exist or can it be easily creted in RATS ?

It still doesn't produce any output. Below is my modified var_1_2.prg: function %ModelLargestRoot model type model model * local vect[complex] cv eigen(cvalues=cv) %modelcompanion(model) compute %ModelLargestRoot=%cabs(cv(1)) end open data e1.dat calendar(q) 1960 data(format=prn,org=columns,skips=6)...

I got this now. Can you pls advise how to incorporate the two pieces of code you wrote into KPSW1.PRG ? I tried by copying and pasting the first by changing model to v3 and I didn't see any output. The second was giving me the error that "CV is not a PROCEDURE/FUNCTION Parameter". I then t...

Thanks so much for your promt reply. That would seem to be what I'm looking for.
I couldn't find kpsw1.prg anywhere though, can you pls advise ?