The RATS Software Forum

Hi Tom, I am wondering if linreg(define=xeq) x / ux # constant x{1 to p} y{0 to p} compute sigmax=sqrt(%sigmasq) * linreg(define=yeq) y / uy # constant x{0 to p} y{1 to p} xplus{0 to p} works in terms of allowing the current value of y in the x equation. I think the resulted model won't be identifie...

Thank you for the reply. The actual constraint is longer than the example so that I could not fix that by rearranging it. I think I will try to simplify the constraint. Thank you very much.

Dear Tom, I just have a question about how to impose a long constraint in nonlin. For example, I want to impose the following constraint after declaring parameters nonlin(parmset=test) a b c d e f g (a^b^c^d^e^f^g+c+f*g $ * suppose this row has no more space - c^100)/c^5==(a^b^c^d^e^f^g+c+f*g) I wil...

Hi Tom I have a question about how the sample code constructs the path-independent error term and variance. The codes * Compute the values of uu (squared residual) and h (variance) to be * used for the period following * compute mu=mu1*pstar(1)+mu2*pstar(2) compute uu(t)=(drate(t)-mu)^2 compute h(t)...

Dear Tom, I have some questions about the part of time-varying transition probabilities (TVTP) in the sample codes. The first question is about the calculations of pt_t, pt_t1, and smoothed probabilities after estimating the TVTP model of Gray (1996). Based on my understanding, hamilton filter still...

Hi Tom, If I would like to detect the thresholds in a pooled panel estimation, is it correct to do so by modifying the panelthresh.rpf to be with preg(method=pooled)? Thank you. Regards A pooled panel regression is just plain old OLS. The point of the Hansen paper is to handle fixed effects and als...

Hi Tom,

If I would like to detect the thresholds in a pooled panel estimation, is it correct to do so by modifying the panelthresh.rpf to be with preg(method=pooled)? Thank you.

Regards

Dear Tom,

I am wondering if RATS has the command, like diff in TSP, that could differentiate an equation to obtain gradient or hessian of this equation. If not, is there a routine method to do so in RATS? Thank you.

Regards

Dear Tom, I have a small question about the generated smoothed probabilities from %mssmoothed. After estimating my MS model (converged), using %mssmoothed gives me some probabilities which are not in the interval [0,1]. Some of them are bigger than 1, like 1.0000765262 or even 20. On the other hand,...