The RATS Software Forum

Got it. Thanks so much.

Hi. Tom. Thanks for the response. I really appreciate it and it helped. Im trying to figure out how Anderson, Bollerslev, and Diebold and Vega (2007) estimate equation 4.1 (free link to the paper below). They said in the paper they implement the methodology in This is a very crude replication of Rob...

Hi. I recently purchased the GARCH ecourse (which is fantastic). In the section on SVAR-GARCH models, I understand that it is a two stage process. VAR in the first stage and univariate GARCH models for the structural residuals that are fit to the first stage residuals. Is it possible to use a multiv...

Is it possible to change the color of GRTEXT?

Baumeister, Christiane, and James D. Hamilton. "Structural interpretation of vector autoregressions with incomplete identification: Revisiting the role of oil supply and demand shocks." American Economic Review 109, no. 5 (2019): 1873-1910. Are there any similar replications to the above p...

hi. Is it possible to (1) make a regression line thicker in a scatter plot and (2) get rid of the vertical line at zero in a scatterplot?

Thanks,

Hi. Is it possible to get confidence intervals around the break points?

Thanks for the reply. Much appreciated.

Am I correct that in the @clarkforetest program that the critical values the program generates for the for the OOS-t and OOS-F are from "Asymptotics for Out of Sample Tests of Granger Causality" McCracken 2007? test test value asymptotic critical values (1-sided) 10% 5% 1% MSF-F -2.169 0.5...

Never mind. You're right. Brain lapse. I was trying to figure out if an independent variable had differing effects on the conditional variance during the business cycle. I got it figured out. Thanks

Does anyone know how to modify the GARCH instruction so as to only estimate the GARCH models during different phases of the business cycle (i.e. recessions)?

Hi. I was curious if anyone had an example of Gretler-Karadi's (2015), Stock and Watson's (2012) or Mertens and Ravn's (2013) "Proxy SVAR" where external instruments are used to identify the structural shocks. Thanks so much.

Thanks. Works perfectly now. Much appreciated.

Hi. I trying to figure out a bug in my code. I have 100 or so series and I am trying to clean up any missing values.I am trying to use the following code. If I use the dofor loop, I only get a column of 1s. If I use the code outside of the loop, the Na observation is fixed according to the %if state...

Thanks so much.