The RATS Software Forum

TomDoan wrote:As you have it written, there aren't any shocks. You need to take the IDENTITY tags off the four equations that define the four shock variables:

frml eqn9 = epsa
frml eqn10 = epse
frml eqn11 = epsz
frml eqn12 = epsmp

Dear
How can i generate the inflation data through this case?
Thank you

Some models have a unit root in the productivity process. If you have that, there isn't a single steady-state, but instead the real processes are cointegrated with a single common trend. The DSGE instruction is generally able to handle models like that, though you have to use the SOLVEBY=SVD option...

dear
may you give me example to calculate the welfare cost of central bank in the simple DSGE model
best wishes

TomDoan wrote:The covariance matrix has nothing to do with non-stationarity. You need to pick a set of lag coefficients which will do that. Write down a model in VECM form and solve it out for the original variables.

Dear
May you give me an example?
thank you

TomDoan wrote:The CV option on GROUP is the covariance matrix of the residuals. Make it what you want instead of the identity.

Dear
If i want y and x are all nonstationary , how can i set it?

thank you very much

dear sir

thank you very much
please tell me how can i set the" Contemporaneous Correlative coefficient " bewteen the u(it)?
thank you

Dear
I want do some simulations for panel unit root test
How can i simulate Contemporaneous Correlative Panel Data sets?
May you give me examples
thank you very much

all 120 set x = 0.0 set y = 0.0 frml xf x = .6*x{1}+.2*y{1} frml yf y = .0*x{1}+.8*y{1} group(cv=%identity(2)) twovar xf>>x yf>>y simulate(model=twovar,from=2,to=120) the code have no residual Contemporaneou-correlations if i want residuals are cross Contemporaneou correlated,and the correlation coe...

Here they are: MBDEMO.PRG GDPQ.RAT This does run well it dispaly" ## SR10. Missing Values And/Or SMPL Options Leave No Usable Data Points The Error Occurred At Location 1412 of MODES Line 55 of MODES" may you give me a exmple code of silverman's multimodality test ? thank you very much

why MBDEMO.PRG and GDPQ.RAT can not be download?

Used with MODES.SRC, this bootstraps series and tests against an alternative number of modes. Requires MBKERNEL.SRC (a stripped-down version of the KERNEL.SRC procedure).

DearTom
May you provide the code for stationary bootstrap(Politis, Dimitris, and Joseph Romano, 1994)

thank you

dear

how to deal with unbalanced data in SUR with unbalanced data ?
may you give me a example?
thank you very much

Both. The results in the paper use F statistics computed with HAC covariance matrices using a very specific procedure for estimating the long-run variance. Computing that requires a great deal of number-crunching that the dynamic programming algorithm is trying to avoid, but which is feasible here ...

The attached zip includes the two empirical examples from Bai & Perron(2003), "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, vol. 18, no. 1, pages 1-22. The U.S. real rates example is a regression on constant alone, while the UKPhilli...

TomDoan wrote:

iloverats wrote:Dear
Does bai perron test （Baiperron.src）report the critical value for supF test？

No. Bai and Perron have rather large tables for the critical values in their papers.

dear
may you tell me how to choose the minspan value in baiperron.src?
thanks