The RATS Software Forum

Hi, I was wondering if the rats procedure cancorr.src that computes the canonical correlation can be adapted to test for common and codependent cycles with a cointegrated VAR as in Vahid and Engle (1993), Common trends and common cycles, J. of Applied econometrics, 8 (4), and by the same authors (19...

Thanks so much Tom, now the simulate code seems to work fine

Yes, with some changing iteration option in the istruction maximize I got the estimation adapted at my data, but when I try to run the simulate example with my data I got that error message. I enclose my data file if you want to try to replicate it.

Dear Tom, thanks very much for the codes. However I would have a question, when I use the simulate code with a shorter sample (70 observations) it gives an error message ## SR10. Missing Values And/Or SMPL Options Leave No Usable Data Points The Error Occurred At Location 756, Line 28 of loop/block ...

So, if I understand I should run a Monte Carlo test simulation with the instruction simulate in rats and compute the fractiles with the Statistics instruction.

If I have understand well, given the MS equation Dy = c(st) + rho*y(t-1) + bt + g*Dy(t-i) One can easily compute the t-statistic t(rho) associated with rho=0, but its distribution is non standard and the procedure is that one should first save the ML parameter estimates and the residuals under the n...

Dear Tom,
thanks for your reply. I have not problems with the MS estimation of the equation, the problem is to bootstrap, under the null of unit root hypothesis, the simulated critical values, as the null distribution of such statistics (the ADF test) is unknown.

Charly

Dear Tom, I am working on gdp data and I would like to replicate in rats the results of the paper of S.G. Hall. Z. Psaradakis and M. Sola, "Detecting periodically collapsing bubble: A Markov-switching unit root test" J. of Appl. Economectrics, 1999, vol. 14 143-154, or a similar paper of M...