The RATS Software Forum

Hi Tom,
I do understand, i am better use the GAUSS code available!?
Best regards

Danon

Hi dear Mr Tom, I am working on Markov-switching Dynamic factor model.
I would like to know if you have a detailed examples for REAL TIME marov switching like in the attached paper (Codes are available but in GAUSS).
Need to buy that one if it exists.
Best regards

Danon

This is too technical dear Tom.
Is there a process to follow for this ?

Best

If I do understand well, I should detrend as much as possible in first place until i get smoothed series.
Am I correct ?

Do you mean that using monthly data is worse !?
Camacho (2006, attached) used monthly IP with Hamilton 1989 as well but using GAUSS.

Please, having looked at my data, what would you suggest ?

Danon

I did convert monthly data to quarterly series because the codes was not working on monthly data.
With qarterly data i could get those amazingly non reasonable estimates.
attached is the original data ...
may be you can help !?

Best

Dear Tom Thanks a lot yes it was a typo as it is 2016. I wanted to remind you that I m using my own data (Idustrial production monthly series from a country in africa from 1999 to 2016) and not US GDP. Should I consider that it makes sense that the hamilton algoritm gives such results as if it was U...

Dear Mr Tom, Thanks for your help so far. I am nearly done ! Indeed I have two questions. One on the result of the BB algorithm on the growth rate of monthly i ndustrial production series and One on the results of Hamilton 1989 on the the growth rate of Quarterly industrial production series. For th...

Thanks Dear Tom
I will do 1 to 4 lags only
Best

Dear Sir, I would like to obtain the best lag order for my Industrial Production (IP) time series instead if guessing it using hamilton's MS-AR. I saw that in the original hamilton's 1989 code, we have the output of the linear regression in the final result as below. Could it be possible to obtain s...

Thanks again Dear Tom I did change the quaterly to monthly in your hamilton's program. I got the IP growth graph only. Unfortunately I got an error message because of recession's dummy variable to be create. but I do not know how? ************************** The changes: cal( m) 1999:1 open data ipci...

Dear Tom,
Is there any possibility to:
1- get the outputs for the BB algorithm in graph as well ? we only get numbers .
2- get Hamilton's MS-AR graph in color rather than in Back and white only?

Please have a look on images attached

Best regards

D

Hi Dear Tom, I am looking to replicate some works on business cycle turning points and business cycle synchronization. There exist some papers and codes (GAUS and MATLAB) Please see attached papers. The codes are available as well. 1- business cycle turning points * Extracting nonlinear signals from...

Indeed i was trying to establish the determinants of stock price relative to long-term interest rates and industrial production index. the panel contain 20 countries belonging to different continents. In level, the log of stock prices index is I(0) , the log of industrial production is I(0) and long...

Hi sir, I have 3 first differenced series. They do not contain unit root. they are I(0). can I use them to run an ECM for panel data and say this is a short-run analysis? Note: the series at level were I(0) for two of them and one is I(1). so no way dor cointegration here. the above question is diff...