The RATS Software Forum

Hi Tom,

I need to test using any information criteria for the number of lags of sqrthoil I need to add to the model. I added five lags but I need to test it.

Can you please help me doing it using RATS?

I can't thank you enough for all your help.

I mean that I need to multiply by (1-garchp(i)(6)-garchp(i)(7)) for the day-of-the-week effect to be parameterized in terms of unconditional variances rather than variance intercepts as discussed in the Baillie-Bollerslev article.

Correct?

I think I had an error in the previous code I sent. compute %%garchh=%zeros(%nvar,%nvar) do i=1,%nvar compute %%garchh(i,i)=(garchp(i)(1)+garchp(i)(2)*M(time)+garchp(i)(3)*Tu(time)+garchp(i)(4)*W(time)+garchp(i)(5)*TH(time))+$ garchp(i)(6)*uu(time-1)(i,i)+garchp(i)(7)*hh(time-1)(i,i) end do i end In...

That's what I got. So, in this case the coefficients of interest psi1 and psi2 would be at the rows of BVEC(2)(9) and BVEC(2)(10) in the table below. Am I correct? MAXIMIZE - Estimation by BFGS Convergence in 84 Iterations. Final criterion was 0.0000017 <= 0.0000100 Daily(5) Data From 1986:01:09 To ...

Correct, but I am not sure how to add the lag of sqrthoil to the model.

Can you please help me?

Thanks a lot

Hi,

I am trying to check for the effect of uncertainty in oil price on stock returns for periods t and (t-1), and I need to get psi1 and psi2 of equation one in the attached below model.

Can you please help me adjust the model accordingly?



Your help is highly appreciated in this regard.

Perfect. Thank you so much. You are very helpful.

Perfect. Thanks a lot, I truly appreciate it.

But in this case, I am doing Newey-West with 13 lags on the first regression which has serially uncorrelated errors. So should I change it?

Hi Tom,


What should I put for: whatever_the_pvalue_is_for_h?

I really appreciate your help

Is there a way I can get the p-values results for 50 sectors across 12-horizons in one table?

It is a pain to copy each one of them into excel.

Thanks a lot.

One more question, When I run the code for 50 different sectors, open data "dataset.txt" calendar(m) 1973:1 data(format=prn,nolabels,org=columns) 1973:01 2009:12 date oil o1 o2 o3 aggregate agriculture Food Soda Beer Smoke Toys Fun Books Hshld Clths Hlth MedEq Drugs Chems Rubbr Txtls BldMt...

Yes you are absolutely correct. For h>1, the errors are serially correlated.

Hi, I need to do a dofor loop for different series: aggregate, Agric, Food and Soda. i.e. I need to repeat the linear regression below for Agric, Food and Soda, open data "aggregate.txt" calendar(m) 1973:1 data(format=prn,nolabels,org=columns) 1973:01 2009:12 date oil o1 o2 o3 aggregate Ag...

Hi Tom,

I am running the IRFs for the GARCH(2,1) model with 7lags and I just want to make sure the line below is correct:

compute hirf(i+1)=garchp(1)(4)*hirf(i)+garchp(1)(3)*hirf(i)+garchp(1)(2)*%if(i==1,eps0(1)^2,hirf(i))

This is the code:


Thanks a lot

Hi Tom, Using quarterly or monthly data, we usually include a full year of lags given that the primary effect of oil prices occurs at one year (based on the arguments by Hamilton and Herrera (2004)). Now, for daily data, since I have a large sample size (over 6000), the AIC/BIC criterion will do for...