The RATS Software Forum

In a fixed-effects model. A very simple one with panel data: one variable depending on other two. We suspect there are changes in certains moments in time because they make sense and we would like to REFLECT this fact in the model. We do not date or assume them before, we want the model to tell us. ...

Yes, in the model. The behaviour of the involved variables do not seem to be the same before and after some moments in time.
Thank you beforehand.

Dear all
I would like to know if there is any procedure to test for structural breaks in case of having panel data. Thank you very much.

Good evening
I tried to run the GIRF procedure stated in:

See viewtopic.php?f=30&t=2650&p=12277

But I am afraid it only works with STAR models, not with STR ones, is it correct? Otherwise, I am not able to see where the error is.

Thank you beforehand.

Good morning I have written my own code for the KSS (Kapetanios, Shinb and Snell, 2003) test and seems to work well. Nevertheless, for my time series under study the values for the t-statistic are usually positive (like 80% of the cases). This is technically correct according to the t-Student distri...

This is the reference:

Sollis, R. (2009), "A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries", Economic Modelling, 26, 118-125.

Thank you.

Good morning

I would like to know if there is any RATs code for testing unit roots in an ST framework. I see RATS provide the KSS one, but I would like to know if more recent ones, as Sollis (2009) test is also available.

Thank you beforehand.

So I do only have to care for Y (dependent variable) regarding outliers? I can do the REGTEST for different thresholds afterwards.

Thank you!

Good evening

The program works well with STR models! But I have a question, as the original program was for STAR models, the outliers were only present in variable Y. If I do the application to STR, do I have to define the outliers for each variable considered?

Thank you beforehand.

Good evening When working with the outlier-adjusted nonlinear tests for STR models, I have a doubt regarding the REGSTRTEST procedure. If I understand well, by default (if I do not say anything in the command) it takes one lag of the threshold I consider. But that threshold, as it is an STR model an...

Good afternoon

I have the RATS code for doing linearity tests vs STAR models in presence of outliers ("RobustPoly" procedure). Nevertheless, I would like to apply it to a STR model. I do not find an easy way to do it. Is there already any command for it?

Thank you beforehand,

Estefanía

Good evening

I would like to know if there is a RATS code for doing impulse-response functions with Smooth Transition (nonlinear) models? I found a close answer in a post from 2009 but I would like to know if there has been anything new from that moment on.

Thank you beforehand.

Good evening I am using the GTVD code for estimating PSTR models with RATS but I have a question. Is it possible to impose a condition for certain parameters? Following the GTVD procedure I can exclude the variables I think are not affected by nonlinearities, for instance, but in case I would like t...