The RATS Software Forum

Dear Tom, Which test is better Enders-Granger or Caner-Hansen? Is it possible to also implement Caner and Hansen (2001) Threshold unit root test with RATS? I have not found in the workbook "RATS Handbook for Switching Models and Structural Breaks" that I recently bought with applications. ...

Yes you are right. I would like to compute set of responses for important dates, i.e. first case, highest number of cases. Does it make sense?
Regards

I know it is exogenous but can we treat covid similar to financial crisis which is also exogenous if we do not explicitly introduce any proxy variable?

Dear Tom,
I have an idea to investigate the impact of COVID-19 on the variables such as exchange rates, stock returns and interest rates available at five-working day frequency. Does it make sense to use VIRFs for this research? Do you have any suggestion?
Best

Dear Tom, Instead of selecting important dates is it possible to draw responses over the whole estimation sample? Can you show me how to modify it? I would like used it to show the impact of oil price on daily stock returns. I previously used this code to get responses at each point of time by input...

Dear Tom, The attached figure is obtained from a time-varying parameter state-space model based on daily data. in the last panel I plot the same parameter using the parameters of the last year, however months are not available on the time series axis. I can sometimes see the months when I change siz...

Dear Tom, I am looking for the code of the following paper. They extended Caner and Hansen (2001) threshold unit root test to the Panel version. We e-mailed to Authors but they do not respond. Is it possible to do with RATS? I know both panel threshold and panel smooth transition codes are available...

Dear Tom
Thank you for your prompt reply. I would like to also see the date for max and min. Is it possible?

Dear All,
I have a daily data on stock returns and would like to plot the series together with their min and max values attached to their places on the line. Could you please suggest me any example?
Best

Thank you for your quick reply. I will give RATS tutorial between July 8 and July 12 with a special focus on nonlinear time series models. You will probably have new RATS users .

Dear Tom I am tried to modify history.rpf. It seems that there is a problem with the stacked bar even if I changed depvar(1) to depvar(4) to get decomposition result for ip variable, it still gives me the decomposition for int variable . Regards open data 2019_rats_data_eys.xlsx cal(m) 1986:01 data(...

Dear Tom, I am looking for the code of the following paper to implement smoorh transition cointegration. Is there any written available code for this? I looked at regime switching course but just find univariate example for LSTAR model. Regards, Kapetanios, George, Yongcheol Shin, and Andy Snell. &q...

Dear Tom, Can you refer me any paper for this expression used in the introduction of VAR e-course? "Strongly informative priors (such as the so-called Minnesota prior) are widely used for building forecasting models, but they tend to improve forecasts by shutting down much of the cross-variable...

Dear Tom
One of the reviewer is asked me to estimate TVP-VAR model using Minnesota prior as a robustness check. Is it possible to modify the code for this? Or if not can you refer me any paper to answer this response?
Thanks

Dear Tom, Thank you for your prompt reply. I know it is not easy to handle a time-varying structure in cointegrated models and also know there are some residual based tests like Gregory and Hansen (1995) or Maki (2012) allowing for endogenous breaks in the cointegrated system. Do you have better sug...