The RATS Software Forum

Dear Tom, I compared the test statistics for the PT test of Elliott (1999) obtained by the PerronNgMtest procedure with that obtained by the erstest procedure. For my data, they differ slightly. Can you help me to understand where the difference is coming from? The commands are: @erstest(print,lags=...

Dear Tom, I tried to get the shocks from the transition equation (etas in equation 5 on page 313). Is it right that these shocks can be obained by inlcuding the "what" option in the DLM instruction? dlm(startup=%(DRASetup3(),sw=%diag(swdiag)),$ a=a,sw=sw,sv=sv,c=lambda,y=%eqnxvector(yvars,...

I tried to use the EWMA option for multivariate GARCH models. When I understand it correctly, it bases upon the exponential weighted moving average model from risk metrics. If it so, I have problems with the interpretation of the output. I get an “alpha” variable. Usually, the decay parameter is pre...

Dear Tom, I tried to work with the Tsay textbook examples on state space models. When running the tsayp533.prg example, for instance, it stops and I get the message "This Instruction Does Not Have An Option VAR". So, it must have to do with the "var=concentrate" instruction in th...