The RATS Software Forum

Hi there, I'm looking to construct(translate) foreign exchange option implied probability distribution function as per the Matlab code and data examples outlined in the following technical report. http://www.bankofengland.co.uk/education/Documents/ccbs/technical_handbooks/pdf/techbook5.pdf (see page...

Came across this interesting paper and RATS code by Hamilton. Thought I would post here for others and opinions as whether this is the way to go with output gaps, credit-to-GDP gaps etc. Working paper http://econweb.ucsd.edu/~jhamilto/hp.pdf Code and data http://econweb.ucsd.edu/~jhamilto/hp_replica...

Thank you again for the advice.

I was sloppy with terminology. I was advised to try dols co integration to include lag and lead. However, when I look at the forecast results they are "too good to be true". When I drop the lead as you indicate, the results are more realistic/credible.

Hi Tom, many thanks for spotting the error on my part. On methodology, assuming that I do the right unit root tests, is this simple approach satisfactory. I read the guide and manual on johle estimation and superiority to EG, but this seems complicated for forecasting single variable one step ahead....

Hi, I am trying to model a financial variable using a basic two step rolling cointegration/error correction regression model. I have looked at UG - p.306, but seem to have issue in aligning Rhat. I have 356obs (lose two of these with difference lags) and am trying to use a 1-year moving window (240 ...

Hi there, I am interested in forecasting the mean of an intraday financial variable. There are 12 regularly spaced (timed) observations per day over a one year period (4380obs), which show strong intra-day seasonality, an autoregressive component and heteroskedacticity. My approach was to model this...