The RATS Software Forum

A full example is provided by hasbrouck.rpf . This does the calculation with both an empirically chosen cointegrating vector and also the theoretical cointegrating space (which has a single common trend). Hi Tom, In the example with empirically determined cointegrating vector, is it possible to chan...

Hi Tom,

Could you please explain why betaperp is not needed in the example for bondprices with 5 variables?

Many thanks!

Hi Tom, Could you please tell me how to specify the optimal lag using @varlagselect function? OPEN DATA "C:\Users\lshenb\Documents\01-Work files\Research\A-study\Bitcoin\Price discovery\15min\S_BTC_XBT15.xlsx" DATA(FORMAT=xlsx,ORG=COLUMNS) 2 6882 Spot BTC XBT *note that the fisr entry of S...

Thank you very much Tom. I have changed my codes but I still want my y1 y2 and y3 to change in each iteration. There is an error message ## SX16. Missing Operand or Adjacent Operators >>>>ats(mean) (y1-y2)>><<<< when I try to run this code. Could you please offer me some help on this? OPEN DATA &quo...

Dear Tom I am trying to calculate information share for spot and futures prices for different periods, each containing 500 observations. So I need to divide the data sample into 2 subsamples, and I use dofor loop. Could you please check my dofor code to see if they are doing estimation for different...

Dear Tom, Thank you very much for sharing your RATS code for Hasbrouck(1995) Information Shares. I am learning your code and I have got a question. I wonder if you could kindly enlighten me on this. When you set y2 y3 y4 and y5, why do you divide them by 2, 3, 4, and 5, respectively? Thank you very ...