The RATS Software Forum

Thanks, again!

I am trying to estimate a 3-variable VAR-GARCH-M with restrictions imposed on the conditional covariances using HADJUST. The problem is that I need to impose two different linear restrictions, varr=(hhs(1,1)+hhs(2,2)-2*hhs(2,1)) and covr=(hhs(3,2)-hhs(3,1)), and I cannot figure out the proper syntax...

Thanks, Tom. That worked great. set covr = 0.0 dec symm[series] hhs(2,2) clear(zeros) hhs equation(REGRESSORS) infeq dpi 13 # d3{1 to 13} realr3{1} hhs(1,1) covr equation(REGRESSORS) nomeq d3 13 # dpi{1 to 13} realr3{1} hhs(1,1) covr group garchm infeq nomeq nlpar(exactline,derive=fourth,mutate=best...

Hi Tom, I am attempting to estimate the impact of the risk premium on nominal interest rates in a bivariate VECM-GARCH-M (code and data attached).The empirical model as set up relates the two endogenous variables to the covariance of nominal rates and inflation (HHS(1,2)) but the theory says that th...

Thank you, Tom.

I am trying to estimate a bivariate GARCH-M but cannot get convergence for my model. I would like to try using the genetic algorithm (or similar) to get initial parameter estimates and then use BFGS to obtain final estimates. How do I save the estimated parameters from step one and how do I put thos...