The RATS Software Forum

Hi Tom Thank you very much for your confirmation. The SAS program uses Nonlinear GMM estimation procedure to estimate HAC errors. I guess that maybe the kernel based SAS optimization procedure is coded in such a way that is suited for nonlinear models. For my simple model with dummies, the program c...

Hi all, I have used the following simple regression with NW robust errors: Linreg(robust, lags=1,lwindow=newey) y # constant $ x{ 1} $ dummy1{ 0} $ dummy2{ 0} where dummy1 and dummy2 are time series dummies. It is 1 for a particular period and 0 for others. I can estimate the model with the robust N...

I would like to find the fitted values and the residuals of the model, and I do not know which functions to use. For example, for a garch model, one can save residuals to a predefined series by setting resids = name of the series. In addition, if I want to use the two-regime MS model to do forecasti...

Hi all, I try to estimate a single equation 2-regime MS linear model using MsrRegression procedure. Does anyone know how I can extract the fitted values, the residuals, the raw and smoothed probabilities? In addition, how can I produce forecasts if I have forecast inputs and know the forecast states...

Hi Tom, I have used the below code setting as suggested in your previous post, system(model=dLnVAR) variables dLnVariables det constant end(system) estimate(print) But the VAR only has a constant in each equation like the one below, is it correct? Variable Coeff Std Error T-Stat Signif *************...

Thank you very much for your feedback. This VAR setting will be used to produce the spillover tables and the spillover index based on Diebold and Yilmaz 2009. If I use lag 0, Does it make any conceptual sense ?

The series are first differenced and log transformed time series. In addition, there isn't any theoretical justification for any real cointegration relationships. If data shows some cointegrations, then it is most likely to be spurious. I was just wondering when 3 out of 4 criteria suggest 0 lag and...

Thank you very much for this feedback. I tried to use @varlagselect with AIC, SBC, BIC and GTOS to select lag length. For the first 3 criteria, I got lag 0 as the best selection and for GTOS, I got lag 4 as the chosen one. Could any one tell me how I could get lag 0 as the best option from 3 informa...

Thank you very much for the information. How do I normalise the three coefficients in three cointegration vectors using @johmle? Does it really matter to normalise the coefficients in cointegration vecotrs and what coefficient normalisation impacts on the variance decomposition results for the final...

Hi everyone,

If I use the @johmle procedure and find three cointegration relations. Hoe can I find the specifications of these three equations. It seems the default setting for @johmle is to only show the specification for the largest eigenvalue cointegration vector.

Many thanks,
Anozman

Hi Tom, My understanding is that multicollinearity is not just about whether the parameters can be estimated reliably, it may cause the good variables to be "wrongly" excluded from the final equation. This is my main concern especially when I do not know with priori knowledge and a theory ...

Thank you very much Tom. Is multicollinearity still a problem for normal linear time series models?

Regards,
Anozman

The set of explanatory variables are highly correlated with the correlation coefficients around about 0.6 to 0.7.

Regards,
Anozman

Hi Tom,

Are there any RATS examples to extract PCAs from nonstationary time series?

Many thanks,
Anozman

Hi Tom,

Do you know how to deal with multicollinearity problem in MS models?

Regards,
Anozman