The RATS Software Forum

Thank you very much, Tom!

Best regards,

Onem

Dear Tom, I need to estimate a VAR model with asymmetric error correction, similar to Equation (6) in Enders and Granger (1998), and to Equation (9) in Enders and Siklos (2001). I know that @EndersGranger and @EndersSiklos procedures do the estimations for these models. However, different from these...

Dear Tom,

Thank you very much! Everything makes sense to me now.

Best regards,

Onem

Hi Tom, Thank you for your response. I am trying to estimate the model of Evans and Lyons (2008), "How is macro news transmitted to exchange rates" , Journal of Financial Economics, 88 26-50. In the model, there are two instruments, three moment conditions, and - to my understanding- only ...

Dear Tom, I have nine moment conditions and two instruments. I want to have the Kroneker product of conditions x instruments for the first six conditions only, and the last three conditions will not use the instruments. I am inclined to do the following: instruments constant su1 dec rect mask(2,9) c...

Dear Tom,
Increasing the virtual memory worked.
Thank you very much!
Onem

I am using RATS 9.2 64 Beta version. Is there a way to limit the memory RATS is using? I have 24 GB RAM and RATS is using all of it and then stopping with an error message of not having enough memory. My data is in RATS data format with about 4 million observations and 12 variables.

Thank you,

Onem

Thank you Tom.

Hi Tom, It would be great if I can get your feedback about my program. I just want to make sure that it does not have errors before I begin estimations and writing a paper. Since the number of orthogonality conditions ( corr, cons, ols1, ols2 in nlsystem) is equal to the number of coefficients (4) t...

Tom, I understand that when a model is just identified, for a given set of instruments, the point estimates don't depend upon the weight matrices. Keeping the model just identified, when I choose different set of instruments, I get different results. This leads to subjectivity. I am trying to avoid ...

Dear Tom, Thank you very much for your replies. I really appreciate it. To avoid different results when different instruments are chosen, what happens if I do not use instrumental variables and instead use four moment conditions? The model is still just identified. I tried it and got results but it ...

Hi Tom, CKLS paper has four parameters and four moment conditions (equation 4, page 1214) but in the RATS program they use only two conditions: nonlin(parmset=baseparms) alpha beta sigmasq gamma * frml eps = dr{-1}-(beta*r+alpha)/12.0 frml variance = eps(t)^2-(sigmasq/12.0)*r^(2*gamma) * * Just iden...

Thank you, Tom!

Hi Tom,

Why is it that CKLS paper results have many zero coefficients and standard errors? Are the coefficients in that example not identified either?

Thank you,

Onem

Thank you for the link. MRR has five moment conditions and one of the moment conditions is E[A*L1A - A*A*RV]=0.