The RATS Software Forum

Does anyone have code for the Driscoll and Kraay (1998) standard errors?

Driscoll, J. C. and A. C. Kraay (1998). “Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data”. Review of Economics and Statistics 80.4, pp. 549–560.

Would it be possible to have example code for the counterfactual analyses using historical decompositions provided in Figures 4.4 and 4.7 of Chapter 4 of Kilian and Lütkepohl (2017)?

Thank you Tom. Can I be a tad (maybe more than a tad) annoying and ask for nudging up the codes for "Chapter 13: Identification by Sign Restrictions". I am working on sign restrictions and it would be of tremendous help to have these codes.

Did anyone try coding up Ang and Piazzesi (2013) "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables." Journal of Monetary Economics , 50(4), 745-787. Alternatively, Hamilton and Wu (2014) "Risk Premia in Crude Oil Futures Prices&qu...

For a random walk without a drift (i.e. without a constant), there are no parameters to estimate so you need not estimate any model. You simply generate the forecast in RATS with a something like: set s = s{1} For a random walk with drift (i.e. with a constant), you need to estimate a model with onl...

Is there RATS code for Waggoner and Zha (1999) "“Conditional forecasts in dynamic multivariate models.” The Review of Economics and Statistics 81: 639–651? The authors' MATLAB code and data can be found here: http://www.tzha.net/code

Does anybody have RATS code for computing the Pesaran and Timmermann (1992) statistic from their article "A simple nonparametric test of predictive performance‟, Journal of Business and Economic Statistics. Vol. 10, pp. 461-465?

Thanks.

There is a sizeable literature on this and many different methods of selecting lag length. See https://estima.com/forum/viewtopic.php? ... west#p9575

You can also run a search on the forum.

I thought of nudging this thread up a little (there is at least one more request for demonstrating how to obtain density forecasts on the forum). It would be great if we can have any RATS code demonstrating how to produce density forecasts and evaluate them. A very good, useful and comprehensive pap...

The Clark and McCracken (2001, 2012) ENC-t, ENC-F, ENC-REG (and MSF tests) can be used for comparing the predictive ability of any two nested models. So yes, I believe you can use these tests to compare two VAR models. There is a RATS procedure that performs these tests (written by Dr. Clark) himsel...

My understanding is that the Shanken (1992) "On the estimation of beta pricing models", Review of Financial Studies 5, 1-34 correction amounts to multiplying the estimated variance of the OLS intercept (the variance of the alpha in the asset pricing model) by an adjustment factor of 1+(E(R...

I am trying to implement the Gibbons, Ross and Shanken (1989) test "A Test of Efficiency of a Given Portfolio", Econometrica vol.57, pp.1121-1152 (the paper can be found here: http://home.business.utah.edu/finmll/fin787/papers/gibbonsrossshanken1989.pdf). This test is widely used for linea...

For the Hasbrouck information shares approach see: http://www.estima.com/forum/viewtopic.php?f=4&t=1924&p=7626&hilit=hasbrouck#p7626 I haven't read the Gonzalo-Granger paper but my understanding is that it can be done by estimating a cointegrated VAR (VECM). If so, that's easily doable i...

Dear fellow RATS users, Has anyone tried to code up the forecast compairson test of Giacomini and Rossi (2010)? The test is essentially a fluctuations test for forecast comparisons in unstable ennvironments. The complete reference to the paper is: Raffaella Giacomini and Barbara Rossi, "Forecas...

To follow up on the first entry in this thread, I am posting below my coding attempt at replicating Anzuini, Lombardi and Pagano (2013). Sepcifically, the code below modifies MONTEVAR.RPF (After reading a number of Tom's responses on the forum) to obtain the responses to a negative 100 basis point d...