The RATS Software Forum

Has anyone written code for estimating the hazard functions based on the Weibull models given by equations 1-4 in "Duration Dependence Testing for Speculative Bubbles" by YS Harman and TW Zuehlke, J. of Economics and Finance, v28 no2 (2004), pp 147-154? If so, I'd be most grateful if you w...

This is "spot on". Thanks very much.

Many thanks for the very useful FIGARCH and FIEGARCH codes provided here. Is there available an extension that provides the generalisation to the HYGARCH model described in J. Davidson (2004) "Moment and memory properties of linear conditional heteroscedasticity models, and a new model", J...

Thanks very much, Tom, for the helpful information. I'll be alright now.

If anyone has code for implementing the estimation procedure described in the following paper Pagan, Adrian, 1984, "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, No. 25, pp. 22X-A1 I'd be most grateful to obtain a copy. Thanks ...

Hello Tom,

Is it possible to format the COPY command in a manner that will store the transformed series (p_star) as a matrix with the results from each of the 500 draws stored in a separate column, each having
number of rows equal to the number of observations? Thanks very much.

Bert

Thank you, Tom.

As part of a project to test the efficacy of alternative trading rules, I'm need to save results from 500 draws of a bootstrap for subsequent use. In the following code (based on BOOTSIMP.PRG), the COPY command saves results only for the final draw. I've tried placing the COPY command inside and out...

I would be interested in such a course as well.

Thanks for the extra code, which was most helpful.

I used the tsayp591.prg to reproduce the results for Markov switching GARCH example from Tsay's Analysis of Financial Time Series, Example 12.6, but cannot obtain the estimated standard errors of the estimated parameters for the two regimes and their differences. I'd be most grateful if anyone could...