The RATS Software Forum

Hi，Tom how can I get starting values of nonlin parameter below and starting values of x 0|0 and P 0|0 in mixture model for my application? the code please! many thanks! nonlin sn se sg so ph1 ph2 alpha1 alpha2 compute sn=.0004,se=||.2583,1.2816||,sg=||.0001,.0634||,so=.2497,ph1=1.3800,ph2=-.4719,alp...

You set up the A matrix like this: dec rect ar4(3,3) dec rect ar2(2,2) ewise ar4(i,j)=(i==j+1) ewise ar2(i,j)=(i==j+1) compute a=ar4~\ar2~\ar2~\ar2 which means that the common block takes states 1-3, so the others start at 4, 6 and 8. would you please explain the meaning of the code in every line a...

TomDoan wrote:With the rest of your set up, you need:

compute spos=||3,5,7|

to be 4,6,8. That looks like the only problem, but you might want to check out the A, C and F matrices that get generated to make sure they make sense.

why 4,6,8? according to gamma(3)=%fill(2,1,0.4) ,spos should be 3,5,7,thanks!

That looks like the PSI's never enter the model so you must have set it up wrong. You'll have to post the program, not the output. * * KIMNP126.RPF * Application 3 from pp 126-133 of Kim and Nelson, "State-space Models * with Regime Switching". * * Dynamic factor model with Markov switchi...

acc indicator.RGF acc indicator.RGF Dear Tom: I hav known the method of forecast with state space, however, I had not know and found method and example with Markov swithing from user guide and E_course. Could you tell me a example or procedure? I guess you've noticed that the literature on forecast...

You have to define STEPS as the number of steps of IRF's that you want. Thanks! (1) What do "k","i","j" in IMPULSES"k"(i,j) mean? (2) I can get the IMPULSES"k"(i,j),but how can I get the IRF(i,j),LOWER(i,j),UPPER(i,j) in EM algorithm? (3) There is o...

Just add this after the estimation is finished. This will do the responses to shocks normalized to unit impacts, as they do in the paper. @MSSysRegSetModel(regime=1) compute factor=%decomp(sigmav(1)),factor=factor*inv(%diag(%xdiag(factor))) impulse(noprint,model=MSSysRegModel,results=impulses1,step...

Hi, tom

Could you please explain to us what does IMPULSESk(i,j) mean?(k=1,2) what is the difference between IMPULSESk(i,j) and IRF(i,j)? Thanks.

Best wishes

Hi, tom I am confused about "Draw 'xxxx' Redrawing regimes with regime of size 'x.xx' " in running "Draw the regimes" of the code(x means a integer),and it was still redrawing after 12 hours, i had to abort it.my model contain 3 variables, sample period:2002M02-2013M03,lag order ...