HAMILTON.RPF uses the @MSVARSETUP procedures to estimate Hamilton’s switching model for GDP growth (Hamilton, 1994, Chapter 22).

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- Sun Sep 08, 2024 10:13 am
- Forum: Examples and Sample Code
- Topic: HAMILTON—Hamilton MS Autoregression
- Replies:
**0** - Views:
**19**

- Sun Sep 08, 2024 10:08 am
- Forum: Examples and Sample Code
- Topic: GIV—Generalized Instrumental Variables
- Replies:
**0** - Views:
**13**

### GIV—Generalized Instrumental Variables

GIV.RPF is an example of generalized instrumental variables (nonlinear GMM). This example runs through the calculations for the single return models in Hansen and Singleton (1982) on a constructed data set.

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Detailed Description

- Sun Sep 08, 2024 10:08 am
- Forum: Examples and Sample Code
- Topic: GIV—Generalized Instrumental Variables
- Replies:
**0** - Views:
**12**

### GIV—Generalized Instrumental Variables

GIV.RPF is an example of generalized instrumental variables (nonlinear GMM). This example runs through the calculations for the single return models in Hansen and Singleton (1982) on a constructed data set.

Detailed Description

Detailed Description

- Sun Sep 08, 2024 10:04 am
- Forum: Examples and Sample Code
- Topic: GIBBSPROBITDYNAMIC—Gibbs Sampling for Dynamic Probit
- Replies:
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**3724**

### GIBBSPROBITDYNAMIC—Gibbs Sampling for Dynamic Probit

GIBBSPROBITDYNAMIC.RPF estimates using Bayesian methods a probit model with the latent index variable assumed to follow an AR(1) process. This uses the typical Gibbs sampling technique of drawing the continuous latent variable given the observable 0-1's, but, because of the dynamic process for the ...

- Sun Sep 01, 2024 5:14 pm
- Forum: ARCH and GARCH Models
- Topic: UV garch model forecasts
- Replies:
**84** - Views:
**148023**

### Re: UV garch model forecasts

G10XRATE is one of the data files used in Pritsker, Matthew (2006), "The hidden dangers of historical simulation,"

*Journal of Banking & Finance*, vol. 30, no. 2, pp 561-582 which might be helpful for you, since it looks at calculations of VaR.- Wed Aug 28, 2024 11:03 pm
- Forum: Other RATS Usage Questions
- Topic: p-values of Correlation Matrix
- Replies:
**7** - Views:
**405**

### Re: p-values of Correlation Matrix

.7, .8, correlations are big numbers; with a data set that size, you would get around .30 as marginal at the .05 level, so those are more than 4 standard deviations. If those are raw data (which seems to be the case here), it wouldn't be surprising for high correlations like that if they have common...

- Wed Aug 28, 2024 11:40 am
- Forum: Other RATS Usage Questions
- Topic: p-values of Correlation Matrix
- Replies:
**7** - Views:
**405**

- Wed Aug 28, 2024 11:33 am
- Forum: Other RATS Usage Questions
- Topic: p-values of Correlation Matrix
- Replies:
**7** - Views:
**405**

### Re: p-values of Correlation Matrix

I've attached a procedure for doing that. Just replace

CMOM(CORR,PRINT)

# Y1 Y2 Y3

@fancycorr

# y1 y2 y3

To me, it looks pretty cluttered and it's not clear what value pairwise correlation p-values have in a three, four or five way set of variables.

CMOM(CORR,PRINT)

# Y1 Y2 Y3

@fancycorr

# y1 y2 y3

To me, it looks pretty cluttered and it's not clear what value pairwise correlation p-values have in a three, four or five way set of variables.

- Tue Aug 27, 2024 11:43 am
- Forum: ARCH and GARCH Models
- Topic: UV garch model forecasts
- Replies:
**84** - Views:
**148023**

### Re: UV garch model forecasts

Isn't a short on USD/JPY identical to a long on JPY/USD?

- Tue Aug 27, 2024 10:09 am
- Forum: Other Time Series Analysis
- Topic: Theoretical moment question
- Replies:
**6** - Views:
**161**

### Re: Theoretical moment question

And (for the third time), the deterministic parts drop out of the variance, so the variance is just that for a garden-variety AR(1). Calculating the (time-varying) mean of the process out of this form requires being able to work with power series. Which is why you probably can't find it. And again, ...

- Tue Aug 27, 2024 8:18 am
- Forum: Other RATS Usage Questions
- Topic: p-values of Correlation Matrix
- Replies:
**7** - Views:
**405**

### Re: p-values of Correlation Matrix

THE p-value? A joint test of all three off-diagonal values? Or the P-VALUES, individually. The individual correlations are asymptotically N(0,1/obs). So

dec symm pvalues(%ncmom,%ncmom)

ewise pvalues(i,j)=%if(i==j,%na,%ztest(%cmom(i,j)*sqrt(%nobs)))

?pvalues

dec symm pvalues(%ncmom,%ncmom)

ewise pvalues(i,j)=%if(i==j,%na,%ztest(%cmom(i,j)*sqrt(%nobs)))

?pvalues

- Mon Aug 26, 2024 9:47 pm
- Forum: Other Time Series Analysis
- Topic: Theoretical moment question
- Replies:
**6** - Views:
**161**

### Re: Theoretical moment question

I'm not sure what it is that you're trying to do, but the calculations of the mean are much more complicated than that---you need the sum of (phi^n)(t-n) where you're forgetting the interaction between the phi^n and n. The mean of that process isn't a pleasant expression in the underlying parameters...

- Mon Aug 26, 2024 3:18 pm
- Forum: ARCH and GARCH Models
- Topic: UV garch model forecasts
- Replies:
**84** - Views:
**148023**

### Re: UV garch model forecasts

log(1/x)=-log(x)

- Mon Aug 26, 2024 3:17 pm
- Forum: Other Time Series Analysis
- Topic: Simulate from an ARIMA Model with constant in differenced-form
- Replies:
**3** - Views:
**86**

### Re: Simulate from an ARIMA Model with constant in differenced-form

You can do the whole thing in one go by inputting an equation which incorporates the differencing into the AR: equation(ar=1,ma=1,const,variance=1.0) yeq y set y 1 500 = 0.0 set u 1 500 = 0.0 * * Coefficients are in order: * constant * AR(1) (here 1.0 to make this an ARIMA(0,1,1) * MA(1) * associate...

- Mon Aug 26, 2024 2:45 pm
- Forum: Other Time Series Analysis
- Topic: Theoretical moment question
- Replies:
**6** - Views:
**161**

### Re: Theoretical moment question

For the variance of an AR(1) process? Effectively any time series book you could think of. The deterministic terms drop out in computing the variance.