The RATS Software Forum

Hi Tom, I am trying to get Impulse Response Functions following the code in your GARCH course. ** IRF @MVGARCHtoVECH(mv=bekk) eigen(cvalues=cv) %%vech_a+%%vech_b disp "Eigenvalues from BEKK-t" *.### cv * VIRF with historical incidents * Ref from Tom's replication * sstats(max) / %if(date==...

I went through quite lots of paper which apply the Bai and Perron (1998, 2003), mostly they just mention the confidence interval dates around the break date. Very few articles mention other statistics (all sets of F statistics). I spent quite lots of time in trying to understand the code presented h...

I do not understand the F(m) and F(m|m-1)....what do they exactly represent?? Breaks RSS BIC LWZ F(m) F(m|m-1) 0 1214.9219 2.51 2.55 1 644.9955 1.92 2.00 89.24 89.24 2 455.9502 1.62* 1.74* 83.23 41.46 3 445.1819 1.64 1.79 57.06 2.39 4 444.8797 1.69 1.88 42.41 0.07 5 449.6395 1.74 1.97 33.02 -1.03 is...

While replicating the results, I observed that the standard errors related to the coefficients are not same as mentioned by Bai Perron (2003)...plz see table 1 and section 3....., what could be the cause. Where as using the same data on R (structural break package)...surprisingly I am having the exa...