The RATS Software Forum

Excellent point! Thanks. Just ran several with different weightings and confirmed that.

Tom, do you think your code revisions are correct for the dummy variable test? If so, this implies that the dummy variable test (from Gauss) in the original CKLS JF paper is incorrect. Correct?

Getting closer.

For the unrestricted model, the second dummy BETAD in ckls is -0.0751 while RATS generates -0.751436998. Also, the papers ChiSQ is 2.2939 while RATS generates 2.8494.

Tom:

I tried to replicate CKLS structural break test using your code, but it is different (can't verify CKLS finds on page 1223, Table 5. Using your data and code.

Any suggestions?

Has anyone tried to estimate the Longstaff & Schwartz 2 factor model in RATS?

Longstaff and Schwartz, Journal of Finance, 1992. http://personal.anderson.ucla.edu/franc ... strate.pdf

It does! I am going blind running CDS models!

Mr Doan kindly recreated the Chan, Karolyi, Longstaff and Sanders (1992) nested model test for short-term interest rates.

I want to include a dummy variable test for monetary regime changes.

Any suggestions??????