The RATS Software Forum

REPORTMATRIX uses REPORT to create a cross table of test statistics for pairs of series (in this case "spillover" tests for a BEKK-GARCH model).

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INCLANTIAO is a replication for an example from Inclan and Tiao(1994). Most of the work is done by the @ICSS procedure.

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@ICSS is a procedure for performing the ICSS procedure for searching for breaks in variance using the algorithm described in Inclan and Tiao, "Use of Cumulative Sums of Squares for Retrospective Detection of Changes in Variance", JASA 1994, vol 89, pp 913-923. There are new options for ch...

IRFCONSTRAIN is an example of the use of the @IRFRESTRICT procedure to put restrictions at steps other than just impact and long-run.

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WZSAMPLER uses the Waggoner-Zha(2003), “A Gibbs sampler for structural vector autoregressions,” Journal of Economic Dynamics and Control, 28(2), 349–366 to analyze the A form model from the CVMODEL.RPF example. (The WZ sampler only applies to A form models).

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GARCHDCCFORECAST is an example of out-of-sample forecasting of a DCC GARCH model. DCC has no closed form for forecasting so this uses a two-step approximation.

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NNDYNFORE is an example of multi-step ahead forecasting using a neural network model.

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It seems to work fine when I do it with random data. I would need to see the more complete program to see if there is something about how you are setting the loop control values. If you are having problems with an apparent infinite loop, you probably can only debug it by taking the NOPRINT off the B...

RATS tries to guess the date scheme in the input data and (here) doesn't do a very good job of it. However, it will work if you force it to recognize the input data as daily: cal(d,save=forcedaily) 1990:1:1 cal(m) 1990:1 comp stsmpl=1990:1, endsmpl=2019:12 all endsmpl smpl stsmpl endsmpl open data M...

It's a mixed frequency state-space model.

For a (fairly complicated) example, see Arouba, Diebold and Scotti(2009) which has daily, weekly and quarterly data.

That's a really crude way to handle that. Use the @MULTIPLEBREAKS procedure instead. Note, however, that if you don't really find even one break, you are very unlikely to find two.

That's a known bug that will be fixed soon. However, you can just use the DFORMAT option to set the format for the date column.

But if you want to classify as <1%, 1-5%, 5-10%, can't you do that just as well with the values of %TSTATS as you could with the significance levels? The significance levels will be computed as N(0,1)'s from the t-stats.

That appears to be just a repackaging of @RegSTRTest with time as the transition variable.