The RATS Software Forum

Do you mean just adding a negative sign into this codoe: compute delta=-scales(i)*sigmax ? Nothing else?
No need to change: frml xplusdef xplus = %max(0.0,x)? Then the shocks are still positive shocks, not the negative shocks that I want.

Thank you very much for your help.

How can I change the program codes to obtain the response of GDP to a NEGATIVE energy price shock (instead of positive shock)? I tried to change the code "set xplus = %max(0.0, x)" to "set xplus = %min(0.0, x)". But the results are wrong.

Thanks.

Tom, Can you post the program codes of component GARCH of Engle, R. F., and G. G. J. Lee (1999): “A Long-Run and Short-Run Component Model of Stock Return Volatility,” in Cointegration, Causality, and Forecasting, ed. by Engle, and White. Oxford University Press. I tried the following: frml hf = h1+...

Thanks, Tom.

How can I save the h series in a file?

Tom, Can you post the codes for univariate GARCH-mean using "maximize"? I know that I can use garch(p=1,q=1,reg,hseries=h) / r # constant r{1} %garchv{1} But I need the detailed codes with logl that I can modify. I tried the following, but it doesn't work: nonlin(parmset=meanparms) c0 c1 t...