The RATS Software Forum

Dear Tom and RATS users, I am wondering how to exploit properties of Markov switching models to identify structural shocks in SVAR models as proposed in Lanne, Lutkepohl and Maciejowska 2010, Journal of Economic Dynamics & Control, "Structural vector autoregressions with Markov switching&qu...

Thank you very much for your reply and your explanation. I try to save residuals to implement a test for equality of integration orders (e.g. Hualde 2012, A simple test for equality of integration orders, working paper). Is there a similar test, among RATS procedures, which have escaped my attention...

Dear Tom, I estimate a bivariate VARFIMA using the gaussian semi-parametric estimator of Shimotsu (2007, Journal of Econometrics). The source code I use is reported below. Is there a convenient method to save the vector of residuals from a multivariate estimation that use the maximize instruction (a...

Dear Tom, I am trying to extend the MS-GARCH-NF Dueker (1997) to allow time varying transition probabilities. Unfortunately, I failed to modify correctly the following function: ************************************************************************** * * This does a single step of the Dueker (appr...

Dear Tom, I'm interested in the simulation of type I and type II fractional processes (in the terminology of Marinucci & Robinson 1999, Journal of Statistical Planning and Inference) and I look for some details about the instruction "DIFFERENCE" and the option "FRACTION" when...

Dear all, I'm interested in the use of the new Matlab package for estimation and testing in the fractionally cointegrated VAR model. This software was proposed by Johansen and Nielsen (2012, Econometrica, forthcoming) and Nielsen and Morin (2012, http://www.econ.queensu.ca/faculty/mon/software/ ). I...

Yes it is. Thank you very much for your help!

Best regards.

Thanks for your reply.
Unfortunately I think I cannot use the complex log density of Normal because I perform a Whittle approximation of the Maximum Likelihood.
My problem is like trying to modify the FRACTINT.RPF file in order to estimate a bivariate VARFIMA(1,d,0).

Apologize if I was not clear. I call the %logdensitycv function in a multivariate case. Since my estimator operates in frequency domain, I try to transform my transfer function (that is a complex matrix) into a real matrix: frml logl = %logdensitycv(transfer,periodogram,(float(n)/m)) where "tra...

Dear Tom,

I am seeking the most convenient way to transform a complex matrix into a real matrix in a formula (frml)?
Can I use something like ewise instruction?

Best regards.

Many thanks for replying me so quickly and for your comments.

Dear Tom, I am currently trying to replicate the paper of Haldrup and Nielsen (2006), Journal of Econometrics 135. It deals with estimation of Markov Switching process with long memory. Authors use a concentrated likelihood function and I have some difficulties with the implementation of the %logcon...