The RATS Software Forum

Dear Tom, Using EEV_MCMC.RPF, I have been trying to calculate the structural residuals with @MSSysRegStdResids. More specifically, I add the following command after the model is estimated (having previously declared sresids as a vector of series): @MSSysRegStdResids gstart gend sresids However, the ...

Hi Tom again, Many thanks indeed for your prompt reply. Just to clarify. The BIC (like an LR test statistic) also requires knowledge about the likelihood value. Or should I use instead the determinant of the variance and covariance matrix of the estimated residuals? However, the latter can only be u...

Dear Tom, In an MS-VAR (eev_mcmc.rpf), i would like to test for the number of regimes. I was wondering whether I should use the option RESTRICT or instead calculate the LR test statistic (using the command %MSSysRegProb to compute the likelihood values?), after having estimated an MS-VAR with differ...

Dear Tom, I have been trying to estimate a three-regime MS-VAR (and regime-dependent impulse-response functions) with time-varying transition probabilities. The time-varying regime probabilities are a function of macroeconomic variables. I am wondering whether time-varying transition probabilities a...

Dear Tom Doan, For educational purposes, I have been trying to run the above code which refers to the source code msvarsetup.src. In general, it works fine; however, when I get down to the line set smoothp1 gstart gend = pstar=%MSVARMarginal(msvarptsm(t),0),pstar(1) I get the following message ## SX...