The RATS Software Forum

Yes! Thanks very much. I nearly forget this equition! I could caculate it by myself!

Best Regard!

Dear Tom,
I also could not find which parameters indicate the time duration of regime 1 and regime 2. The time duration means how long will regime 1 or regime 2 will be persistent.

Best Regards!

Dear Tom, I am so sorry to bother you again. Because the referee ask me to resubmit our paper in this month. I have no time to learn RATS carefully. Please forgive me. I have following question: 1. I would like to adopt MS(1)-VAR(1) to two endogenous variables. I could not know how to modify the com...

Dear Tom, Thanks very much! I successful estimate the code: # dlsp{1} dloil{1} constant ect{1}. However, when I estimate below code: # dlsp{2} dloil{2} constant ect{2} and # dlsp{3} dloil{3} constant ect{3}, the RATS report as: ## NL6. NONLIN Parameter SIGMAV(1)(1,1) Has Not Been Initialized. Trying...

Dear Tom, Thanks very for your quick reply. Mayebe I could not explain clearly last time. I would like to estimate two MS-VECM model Model 1: MS(2)-VECM(1): Yt=μ(st )+Π(i(st)) ΔY(t-1)+Γ(i(st)) Y(t-1)+εt, st=2 states, Yt represents a vector sf observed time series variable Model 2: MS(2)-VECM(3): Yt=...

Dear Tom,
I would like to use this code to estimate MSVECM mode with 1 and 3 lags (in VECM). Whether this code could achieve this, and how could I modify the code to estimate 1 and 3 lags model. Thanks very much for your kind help.