The RATS Software Forum

Hi Tom, One doubt about what you answered. The thing is that the GARCH instruction doesn't define the variable %logdet (Log determinant), so what should we do in order to calculate the loglikelihood ratio?. By first calculating the determinant of the H matrices?. Or we just simply use the %logdet of...

Hi Tom and everybody,

Thanks for your answers. I have this doubt: How to turn a gset of vectors[2x1] into two different sets separately?. First, I tried doing a loop, but it seems to consume time computing unnecessarily.

Regards.

Hellow,

Is there a way in which you could change, the column order to exactly the opposite.

What I mean is, I want this:

[1,0,2,1,0]

To become this:

[0,1,2,0,1]

I will be useful if it works for both the columns and the rows of a matrix.

Regards,

Hello, Talking about the multivariate case, I know that @MVGARCHFORE allows you to do a forecast of the variance. But at the moment you use the Garch command with a var model (VAR-GARCH), Which command allows you to do a forecast of the times series in levels? I suppose that forecast(model= varmodel...

Hellow, I want to use the @VARBootDraw, to do bootstrapping on a VAR-GARCH model, for the residuals I use the ones obtained from the garch(...) command. But about the input model, I don't know if the command is using the mean model of the VAR-GARCH or simply the VAR. If it's the second option, how c...

Hi Tom,

I want to do exactly the opposite, I want to generate a matrix of 2x10, using the first 10 elements of two different series.

Hi, Thank you, you are correct, if the variable is included in T the instantaneous causality could be analyzed. I will think about it again. About the wizard option from vecmgarch.rpf, I understood that using the Wizard to excluded the variables is a way of testing causality, Isn't it?. If the optio...

For the "Granger Causality" I've used the wizards that RATS offers, so I restricted the parameter of X to be zero. According to the user guide, this procedure implements a Wald test. Yes, exactly I want to test it (the instantaneous causality) on the X. Thanks again for your guide.

Thank you Tom. What I mean with VAR-X is a multivariate model of Y1t and Y2t that does not only include an auto-regressive part (Y1t-1,Y2t-1,...,Y1t-p,Y2t-p) but also exogenous variables (X1t). I've already used the Wald test for Granger Causality. But It would also be interesting to review the inst...

Hi, I want to make a consult on Instantaneous Causality. First, Is it possible to test it for a VARX model?, or do I need to first include the exogenous variable in the VAR?. If it is possible, How can I do it in RATS?. I've already searched in the User Guide and some other resources. Is it easy to ...