The RATS Software Forum

After testing a MS VECM with constant transition probabilities, I would have to test the same model, but with the transition probabilities as a function of the error correction term or an exogenous regressor. I saw there is some discussion about time varying transition probabilities and the use of t...

Hi Tom.
Thanks for the advice. Indeed, I suspected that was the problem. I tried that yesterday and it did work. Just wanted make sure I was doing the right thing.
Thanks a lot.

Thanks Tom. It did work after sourcing the procedure. I am not sure why, but when evaluating a different dataset, I am having the following problem after setting the @MSSysRegression(states=2,switch=ch): ## SR10. Missing Values And/Or SMPL Options Leave No Usable Data Points The Error Occurred At Lo...

Hi Tom,
Thanks for your answer.
Indeed, I am using version 9. So that's why I am seeing this error.
Could you help me with this source instruction? I didn't find anything on the manuals about it.
Or could you refer me to some existing code, so I can figure it out as well.
Thanks

Thanks Tom. I can properly load the data, run the model and store the parameters of interest when I set a fixed number for the i-th series (eg. computing i=1). However, when I try to loop over the series, I have the following errors: ## CP17. PROCEDURE/FUNCTION Must be Initial Statement in a Compile...

Thanks Tom. I didn't realize that. It works with the declare vect[series] instruction. But another error appears: ## IO43. Format csv is illegal or not supported using format=PRN in: declare Vect[series] a(500) b(500) open data "C:\Users\pedrocm\Documents\End_dif_eta\Z2_A.csv" data(format=...

Thanks Tom. It looks like it doesn't work either. The following error appears: ## SX11. Identifier A is Not Recognizable. Incorrect Option Field or Parameter Order? >>>>mns,nolabels) / a(<<<< Is it possible you meant ABS TAN %NA If the name isn't mistyped, it's possible that you have a poorly format...

Thank you Tom, I am trying to import the data as you suggested: dec vect[series] a(500) b(500) open data "C:\Users\pedrocm\Documents\End_dif_eta\Z2_A.csv" data(format=csv,org=columns,nolabels) / a open data "C:\Users\pedrocm\Documents\End_dif_eta\Z2_B.csv" data(format=csv,org=col...

Hi Tom.
Thanks for your reply.
Yes, I am doing the EM/ML, not the Bayesian.
So, can you inform me how I can store the coefficients and the unconditional probabilities?
I am not sure what is the best way of doing that.
Thanks again for your support.

Thanks Tom. Yes, I have 3 different files, two with 500 columns and one with one column and 500 rows, as you pointed. I am assuming known co integrating vector, (a1-b1), as you also pointed. I am also "forcing" regime 1 to have lower adjustment coef. for the case of two regimes. For the ca...

Hi, I need to perform a Monte Carlo study where I will use different data arrays generated in another software to estimate MS-VECM with two endogenous variables (say price A and price B) and two or three regimes. I have one array with 500 series of price A (A1:A500), one array with 500 series of pri...