The RATS Software Forum

Hello!
I am not sure if this is documented, but using {.} seems to work instead of using an end do statement, as in:

do i=1,3 {
dis "i = " i
}

Is this something we can rely upon?

thanks,
Randy

Hi all, I'm using some large matrices (42000 x 13), and trying to speed up my code using ewise rather than loops. (btw for optimization purposes, it would be helpful for %cputime() to output a real, rather than integer). Instead of a loop like do j = 1, 42000 * Shift lagged values first do lag = 13,...

I can't speak to the technical questions here. I just want to report that I have two "A" models (so I removed "B" references), and the code seems to run very well. Thanks for posting it.

For each i, there is a theta variable which refers to unobserved variance of the prior. For the system, the delta vector consists of: a) mean of signal b) upward bias of signal, for those who think it is upward biased c) variance of signal, for those who think it is upward biased d) downward bias of...

Hi all, I have a problem that involves nonlinear estimation, period-by-period. I have (say) 8 equations of the form f(delta,theta(i)) = epsilon(i) and (say) 28 equations of the form g(delta,theta(i)) = epsilon(i) - epsilon(j). I can successfully use FIND to estimate all the parameters (delta vector,...

This paper seems relevant: https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=IAAE2016&paper_id=555 I have not read it carefully, inasmuch as this type of thing is very tough slogging for my current skill set. I am not sure what to make of your reply, to be honest. Doesn't know...

Bummer. Well, I guess I have to code that up by hand, then. (I don't think that the indirect inference approach meshes at all with Gibbs sampling, but am prepared to be corrected.) There are some examples and matlab code (http://www.patrickminford.net/Indirect/) which I will attempt to follow. Evide...

Hi Tom (and everyone), As I understand it, DLM does simulations of DSGE models by drawing Normal shocks according to the solved variance-covariance matrix. However, if one wishes to estimate the model via indirect inference, one must simulate the DSGE via bootstrapping. DLM will provide the estimate...

Aha, got it.

Thanks very much!

Hi Tom, thanks for replying. I must be dense because I don't see how this gets information from the main program into the procedure. Ideally, I want a user to give two lists of variables, which are passed to a proc. How does " equation conteq * " accomplish that? Would I need to define *gl...

Hi everyone, I am developing a proc that implements "unusual observation detection" in conjunction with a paper I am revising (joint work with Christian Garciga). Use of this procedure will help you detect weird observations (e.g., if you are cleaning data), to determine if your results ar...

Tom Doan has come to the rescue.
https://estima.com/forum/viewtopic.php?f=8&t=2264

I'm wondering if anyone has worked on implementing the fast-MCD (or the newer det-MCD, in the 2010 working paper from Hubert, Rousseeuw, and Verdonck) algorithm for robust estimation of covariance matrices. (This would be an input, for example, into a solid multivariate outlier detection routine, or...

You are probably aware of this, but in case you aren't ... all filters like this have serious problems near the edges of the data. The standard procedure to help minimize this is to augment the data with a forecast. (For example, see Ashley and Verbrugge, Econometric Reviews 2009). In quarterly data...

Thanks very much!