The RATS Software Forum

Hi Tom! Thanks for your kind reply. I'm trying to estimate the variance in the state equation for the unemployment rate using the kalman filter. I'm trying to follow the procedure suggested by Leong Szeto and Guy (2004) in their paper Estimating a New Zealand NAIRU (http://www.treasury.govt.nz/publi...

Hi Tom! Is it possible for you to change the code for performing the AP-test in order to also show (or replace) the mean of the LM statistic by the exponential statistic?

Thanks in advance for your help.

Hi Tom! When estimating threshold VAR models, what would you seggest to do for selecting the appropiate moving average order and lag for the delay parameter?

Thanks!!

Thank you very much Tom for your kind reply, reading Kilian and Vigfusson's paper cleared all to me.

Regards

Dear Tom, I'm trying to measure the degree of passthrough from commodity prices to local inflation in a manner similar as Ferruci, Jimenez-Rodríguez and Onorante (2010) "Food price pass-through in the Euro Area: The role of assymetries and non linearities". My intention is to distinguish b...

Hi! I wonder if there is a program to apply the principal components technique to an unbalanced panel of data. I have 45 monthly series which some start at different dates. Stock and Watson (see Stock, J and M Watson (2002): “Macroeconomic forecasting using diffusion indexes”, Journal of Business an...

Hi! I would appreciate if someone can point me where to find or in what paper are calculated the critical values for the LS test for three structural breaks.

Thanks in adavance

Thank you very much Tom for your prompt response.

Hi, I applied both Dickey-Fuller and Phillips-Perron unit root tests to a variable with a strong seasonal pattern. But I would like to know if not accounting for such seasonality when performing these tests (or unit root tests in general) can provide biased results then leading me to wrong conclusio...

Hi! I estimated a SVAR in both Eviews and RATS but the IRF's that I get in both programs are different in direction even if the magnitud is similar (one seems to mirror the other but with the oposite direction). For what reason could I be getting these results? On the other hand, I estimated an A-B ...

Problem solved. Thaks!!

Hi! Thank you very much for your prompt response. I didn't change the compute betadraw.... line. I only changed the line you mention to use the factor matrix I calculated using cvmodel but I still keep receiving the same error mesage. Can you figure out what else could it be?

Thanks in advance

Hi! I tried to obtain confidence intervals for IRF's using this procedure but I get the following error: @MCVARDoDraws(model= svar_92q3 ,STEPS=20,DRAWS=10000) ## MAT2. Matrices with Dimensions 36 x 5 and 13 x 5 Involved in + Operation The Error Occurred At Location 0425 of MCVARDODRAWS Line 50 of MC...

Hi, I´ve been trying to set an "a" and "b" matrices for the estimation of a cvmodel. But I get the follwing error. Can anybody please tell me what I'm doing wrong. How can I fix it? Why I don't get the same error with the "a" matrix? dec frml[rect] afrml nonlin da aa ta...

Is there a way to know which of the break dates is significant or better? Depending on the test specification one could get many break dates. In my case, I don´t have enough criteria to select the number of breaks other than that sugested by watching the graph. So how to choose the best break dates?...