The RATS Software Forum

There's really no good way to modify @THRESHTEST, since it uses LM calculations to keep the computing time down. It would be easier to modify @MULTIPLEBREAKS. That does calculations based upon calculations of the regressions across each regime. Instead of keeping track of the sum of squared residua...

Dear Tom, I need to implement the @THRESHTEST procedure allowing for heteroscedastic errors. I tried your advice to modify the @MULTIPLEBREAKS procedure and use the output with the @THRESHTEST but i am pretty sure i am doing something wrong because the results don't make sense. Bruce E. Hansen made ...

Dear Tom, I want to do a forecasting exercise on a threshold Fama model (where each branch is a GARCH specification, with dependant variable being the exchange rate return, and the regressor being the forward premium) to try and produce the same type of forecasting exercise as shown in Table 5 of &q...

Is that hinting at the use of a SETAR model instead, given the "step" transition?

Yes you are right, for some reason the STR fits better. I tried to add gamma.ge.0 so that i wouldn't get negative values but it just keeps on giving me the same negative value. And for those countries where i get a positive value, its a gigantic one! I guess maybe the model is simply picking up outl...

Thank you

So basically i have 9 countries. I get convergence and ok results for HUF and ZAR - even thought when i test them for serial correlation the p-value is 0.000, so im not too sure what i cant do with them. Unless that low p-val is caused by not running the model properly...

Many many thanks Tom! I adapted your code to grid search for c in my model, then i also grid searched for gamma, then i also grid searched for both...No success, i cannot reach conversion in none of the cases i tried. So i think im just gonna move on! In any case, you were of great help and i cannot...

Hi, i have simplified my LSTR model so that it looks like this now: set y=zarr set x=zarfp stats x set sd=sdzarfp nonlin a1 a2 a3 a4 a5 gamma gamma.ge.0 frml lstar y = a1 + a2*x + (a3 + a4*x)/(1 + exp(-(gamma*(x-a5)/sd))) com gamma=0.1, a2=-1, a4=1, a5=%mean nlls(frml=lstar) y / u Each time i run it...

Check this paper by them "Estimating and testing linear models with multiple structural changes" source Econometrica, vol.66, no. 1 (Jan, 1998), pp.47-78. They show tables of their estimated critical values for the tests. I did try and mach them with the results they present in their 2003 ...

I found something on the Programming Manual about doing a grid search for a TAR model. But it looks too different for me to try and do the same for a LSTR model, especially when they reach the "loop part", i would not know where to start!...

Hi Tom! Yes, my first thought was to do a grid search but i have no idea how to do it in RATS! Is there anything i could read to teach me how to implement it? I did this same model but with other countries 5 years ago for my masters and i used a code from GAUSS which got me very good results using a...

Thank you Tom so much for the prompt reply!! After the first NLLS, since phi2(2) was insignificant, i took it off when re-estimating the NLLS again. Terasvirta's code does this as well so i tried it. But now i put it back so the full model appears in all NLLS. What do you mean by "if the c and ...

Hi, I am trying to fit a nonlinear LSTR fama regression of the form: x = (phi10 + phi1*zarfp) + (phi20 + phi2*zarfp)*{ [1 + exp(-gamma(zarfp - c))]^(-1) - 0.5} + u x= exchange rate return of south african rand (ZARR) zarfp=the forward premium of zar calculated as the forward 1-month rate minus the s...