The RATS Software Forum

I added the following code to the original DECO model code provided in RATS to compute the conditional covariance(Ht). dec series[symm] Hcov compute tstart = %regstart() do t = tstart, %regend() dec vect std(n) do i=1,n compute std(i) = vol(i)(t) end do i * DECO H(t): variance-covariance compute Hco...

Dear, Tom I would like to calculate confidence interval/p-value on my AR/VAR model using "Sieve bootstrap", in the paper "Sieve bootstrap for time series". by Buhlmann, Bernoulli, 1997. I am wondering whether there is already some sample code available for AR (p) model? Thank you...

Note that the RATS output is blocked by shocks and the EViews output is blocked by target variable. Once you allow for that, there appears to just be a difference in scaling of the covariance matrix. You'll have to check the EViews documentation to see how they are doing that. Dear Tom. Thank you f...

Dear Sir

I am estimationg generalized impulse response function(Pesaran and Shin, 1998).

But I'm quite confused because the estimated results are differ from EViews.
I am attaching the code and data.
I would really apprecite your help.

Regards