The RATS Software Forum

Dear Tom, I am not that familiar with MATLAB and seem to run in to trouble running the following codes which are available from Prof Barbara Rossi's website. I was wondering if these codes could be replicated in RATS? That would be most helpful! The references and links to the files are as follows: ...

Thanks Tom! Much appreciated.

Thanks Tom. I am finding the estimation difficult and was hoping if you/someone could help in the calculation of the series 'sigma(t)' in 3.8. Not sure how to carry out the kernel smoothing. Any pointers would be much appreciated! Table 5 is the variance profile calculation due to Cavaliere and Tayl...

Hi, I was wondering if anyone can help me coding the empirical example given in the following paper: Harris, D., Kew, H., & Taylor, A. R. (2020). Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem. Journal of Econometrics, 219...

Hi Tom,

Just a simple query: How can I scale up the shocks (e.g., to 2 sd, 4 sd, 10 sd) using the MCgraphirf procedure? Also change the sign of the shock (impulse) to negative at the same time? I am trying to do this for a 3 variable VAR model.

Many thanks in advance!

Dear Tom, My apologies - but I am a bit confused. Indeed, there is no need for the T = %nobs. But not sure what you mean by the following: set thresh_test = (1/sigma*sqrt(%nobs))*thresh_test I do mean to divide by the square root. This is what I have in the code. Of course, if the code is wrong, I w...

Sorry Tom, Just seems that I may be making a mistake somewhere. I have done the following code, but my results are completely different (actually opposite) in terms of the dynamics of the Enders and Granger (1998) method. I understand the results can be different, but the difference seems too drasti...

Thanks Tom! Much appreciated!

Hi, Would be grateful if anyone can help with the coding of the following paper: Lee, J., Strazicich, M. C., & Yu, B. C. (2011). LM threshold unit root tests. Economics Letters, 110(2), 113-116. It is very similar to the Enders Granger 1998 procedure, however, I am getting a bit stuck with trans...