The RATS Software Forum

Dear Mr. Doan. I am trying to estimate a Hamilton Switching Model by using the Hamilton.RPF example and procedures included in chapter 11 of the RATS User’s Guide (version 9.0). I’ve got some results for the probabilities of recession of my GDP series (quarterly Costa Rican, 1977Q1-2019Q1). In gener...

Hello. I have another question about this topic. Both equations (for X and Y) are estimated with up to “p” lags. If one were to select the best “p” of the model, and since the model is non linear, would it be appropriate to select "p" based on standard lineal criteria like AIC, BIC or adju...

That is correct Sir. My equation for z is an AR(1), estimated with: “boxjenk(define=z_eq, AR=1) z”, and my equation for y is an ARMA(2,1), and I am estimating it with: “boxjenk(define=y_eq,ar=2,ma=||1||,inputs=1) y # z 0 0 1” This allows me to get the response of y (and z) to a unit shock on z with:...

Hi, I am trying to fit a transfer function model to estimate the impact of a shock on an exogenous variable (z) on the “endogenous” variable (y). The model has the general form described in Enders book (3er ed) pg 285: y_t = A(L)y_t-1+C(L)z_t+B(L)e_t. I used the “boxjenk” instruction to fit the z’s ...

The fourth equation is an identity, and so has no shocks. The second actually is also a true identity, but because it defines XPLUS whose current value is used in the Y equation, placing it second allows the model to be solved by direct substitution rather than by simultaneous methods. That's why t...

Dear Mr. Doan, I’ve been working to test whether there are asymmetries in the pass through from commodities to domestic prices. I’m using what is proposed in Kilian & Vigfusson(2011) Are the responses of the U.S. economy asymmetric in energy price increases and decreases ? Quantitative Economics...