The RATS Software Forum

Hi, This is an edited post based on my more discovery on my part. I am trying to reproduce more of their paper. I believe that xi is the series of jump density residuals/shocks. lam is the series of lambda over time. Both from the ARJI models Remaining questions: Are the standardized residuals found...

Hi I have some questions about jump garch. I downloaded the program and associated files. I run them with no problem. I know that for the jump garch models, that u is the residuals and h is the variance. I follow the formulas on UG-290 and UG-291 to get the standardized and squared standardized resi...

Thanks Tom, Yes, I ordered the book about a week from the Estima website. Just waiting for it to be processed and sent. I also downloaded the first part of the handbook as well. I think you are right. I am having a difficult time understanding, but hope the book helps, formulating the hypothesis I a...

I have a question about setting up restrictions on beta to do hypothesis testing. If I try to impose restrictions on one vector and none on the other vector ( I have 2 cointegrating relationships) I get the results of zero degrees of freedom. Not sure why. Any assistance would be appreciated. I can ...

Thanks, the STARTEST is what I was looking for.

Stephen Pollard

In using TsayNL, the m and l values are the same. Does l refer to the length of the delay? It is not clear why l and m are the same. In the multivariate case they seem to be allowed to be different as you have presented it.

Stephen Pollard

I discovered the problem. I was running 7.3 (my 8.0 beta expired, waiting for 8.0) and it was pulling the source file from 8.0, which may have a different code, i used the source file from 7.3 and it works just fine.

Thanks

Stephen Pollard

Yes, I am interested in the LST test. I ran the tsay1994 program. It is a search for the delay parameter being equal to 1 thru 4 respectively. However, the reported f-tests and p-values are the same for each of the 4 regressions. So how do you select a delay of 5? I assume that it was 5 since that a...

Hello,

I get tsaynltest to run okay. I am wondering about the delay parameter in the univariate case. Is it built into the test procedure. Can one search for it and then use it. Or is a new procedure required to be used?

Stephen Pollard

I am estimating a bivariate GARCH-BEKK with the lagged error correction term. No problem. I wish to now estimate a GARCH-BEKK with the lagged squared error correction term added to variance equation. I can do this via the xregressor option with no problem as well. However, my estimated model returns...