The RATS Software Forum

I have got a question to ask you. I was trying to use RATS to do some nonlinear estimations. During my grid search process, I need to specify different initial values for the parameters. As you know, some of the initial values may work and some may not. However, RATS will stop executing the loops an...

Hi, may I ask a question about the KEYLABEL option in GRAPH command? My code is as follows: declare vect[string] grakey compute grakey = ||'BMS','S&T','EMS','ACT'|| graph(header='predicted values of BF and true out of sample BF',patterns,keylabel=grakey,key=below) 4 # ytf_ne / 3 # ytfs / 5 # ytx...

Dear Tom,

Thank you very much! You are a genius!!!

Dear Tom, Thank you for your reply. However, What I want is a little bit different from the original Ramdom walk component + Trigonometric seasonal component. My model looks like this: y(t) = y(t-1) + trigonometric seasonal component + epsilon(t) (This is the measurement equation) Here the Ramdom Wa...

Dear Tom, May I ask you question about putting a Random Walk + Trigonometric Seasonality in State Space Form? The model is basically like this: y(t) = y(t-1) + trigonometric seasonal component + epsilon(t) ---- (this is the measurement equation.) y(t-1)=y(t-2)+trigonometric seasonal component + epsi...

Dear Tom,

Thank you very much for your help all the time! It helped me a lot!

Dear Tom,

Thank you very much for your generous help all the time! I've worked that out!

Dear Tom, Thank you very much! May I ask another question? If I have a series called ya in a program file prg1.r, and I want to use this ya together with other series yb which is in another program file prg2.r to graph some comparison figure, what should I do? How shall I proceed? Thank you very much!

Dear all,

My question is: How should I do if I want to convert a vector into a series?

For example, I have a 9by1 vector y, and I want to assign the values of each ofthe element in this vector y to a series yt starting from 2008:2 to 2008:10 ?

Thank you very much!

Dear Tom, Last time I used the code below to calculate the post sample prediction errors: smpl 2008:02 2008:10 * * Then we put the dummy variable for out-of-sample back on track. * dec frml[rect] cof frml cof = c~~%zeros(1,1)~~forcn{1} * dlm(y=FDI,a=a,c=cof,sv=sigmastar,sw=sw*sigmastar,x0=xstates(20...

Dear Tom, May I ask a question about how to calculate the forecast error of a State space model I estimated using DLM? For example, I want to calculate the forecast errors from the two models I estimated using Durkp162.r where one model with no explanatory variables and the other has some explanator...

Dear Tom,

Thank you very much for your kind reply! It helps a lot!

Dear Tom, I've solved the error that RATS reports in my above post by using : " smpl 2008:02 2009:03 dlm(y=FDI,a=a,c=c,sv=sigmastar,sw=sw*sigmastar,x0=xsmooth(2008:01),sx0=psmooth(2008:01),$ type=filter,vhat=vps,svhat=svps) 2008:02 2009:03 set svps1 = svps(t)(1,1) set vps1 = vps(t)(1) set eohat...

Dear Tom, I am now doing the predictive testing for State Space Model. May I ask for your advice and help? The thing is this: I chop my sample into two subsamples: sub1 for insample estimation using DLM, and sub2 for out-of-sample predictive testing (which is decribed by Harvey(1989) on P271). What ...

Dear Tom, May I ask you another question about State space model? In Harvey(1989)'s book, on page 270 there is a test called " post-sample predictive testing and model evaluation". May I know if RATS has a built-in test for this "post-sample predictive test" Thank you very much f...