The RATS Software Forum

I do not have a reference. I have an unbalance panel. I want to check the finite sample properties of random effects (RE), fixed effects (FE) and pooled OLS for my data (N=25, avg. T=10). I applied the Hausman test and found that RE is chosen over FE. Between RE and pooled OLS models, the Breusch-Pa...

I guess I framed the question incorrectly. Using a Monte Carlo simulation can I decide whether a pooled OLS or a random effects model is appropriate for my data? Is it still an inappropriate question?

I want to conduct a Monte Carlo simulation to decide whether a pooled OLS or a random effects model is ideal for my (unbalanced) panel data. Any help is highly appreciated.

Hello, I would like to request a Rats code for the paper: Croux, C., Forni, M., and Reichlin, L. (2001) ”A measure of comovement for economic indicators: theory and empirics”, Review of Economics and Statistics 83, 232—-241. Some Matlab routines to implement this method are available at Mario Forni'...

Thank you. I saved the data in Excel and it is working well. Both the 'fmols' and 'dols' estimators report individual+panel coefficients and their respective t-statistics. Could you kindly suggest the syntax that need to be inserted in the code to obtain the respective standard errors (for both fmol...

Hello, I am facing problems (i.e., error messages) running Pedroni's FMOLS estimator. Here is the simple code I am using: *** open data C:\Research\data_rats.txt calendar(panelobs=30,a) 1980:1 data(format=free,org=columns) 1//1980:01 6//2009:01 country year lrm2 lrnogdp ltbill * dec vect[strings] la...

Hi, I am still unable to obtain FHISTORY using "print / fhistory". I guess I need to know how to print the output options (e.g. COHISTORY, SEHISTORY, FIHISTORY) associated with this specific routine. Thank you.

Hi Tom, I am using your revised rollreg procedure for a regression of "y" on "x". As I also want to perform a hypothesis test on the slope of "x" (i.e. b=1), I replaced if %defined(fhistory) ; compute fhistory(cut)=%fstat with test(noprint) # 2 # 1 if %defined(fhistory)...

Hello Tom, thank you for your generous help. Like the supply speed, the demand speed is also is also summarized by the response after two years as a share of the long-run effect . Since impblk(1,2)(t)/=0 by construction, I guess it makes sense to obtain the persistence of price response to "sup...

Hello Tom, I am unable to attach the Bayoumi and Eichengreen (1994) paper, because I have reached the "board attachment quota." Here is the link to their paper: http://www.princeton.edu/~ies/IES_Studies/S76.pdf Their SVAR model is shown by equation (5) on page 12. The "size" and ...

Thank you Tom. I am still facing problems in computing the "size" and "persistence" measures discussed above. So I am providing the BQ-procedure I am using for my empirical analysis: *********************************************************************************** cal 1970 open...

Hello, I am using RATS' BQ procedure to estimate a SVAR similar to Bayoumi and Eichengreen. In addition to obtaining the structural shocks, I want to calculate the "size" as well as the "persistence" of the demand and supply shocks. In Bayoumi and Eichengreen, the size (or magnit...

Thank you Tom. I moved the two compute instructions inside the loop: *--------------- begin -------------- seed 2011 all 100 dec vect[series] y(10) do i = 1,10 com alpha = %uniform(.48,.83) com sd = %uniform(.005,.014) set et = %ran(sd) set(first=0.0) y(i) 1 100 = alpha*y(i){1}+et end do i *--------...

Hello, I am trying to replicate a paper results, where I want to generate multiple (say, 10) AR(1) processes with AR(1) parameters randomly drawn from the [0.48,0.83] interval, and disturbances drawn from a zero-mean normal distribution where the standard deviation was randomly selected from the [0....