The RATS Software Forum

New post finding output gap by using Kalman filter.

New post MVGARCHFORE—Out-of-sample variance forecasts

New post GARCHBACKTEST—Rolling GARCH Estimation

New post TVARSET—Set up VAR matrices for time-varying coefficients

New post Mariano Murasawa JAE 2003—State space model with mixed frequencies

New post GLOBALVAR—Pesaran style global VAR

New post ARDLM—State space system matrices for an AR process

New post VARDLM—State-space system matrices for a VAR

New post Peersman JAE 2005—Comparison of different VAR approaches

New post IMPACTSIGNFLIP—Procedure for standardizing impact signs

New post FORCEDFACTOR—Creating a factor matrix with known form

New post MCSIGNRESTRICT—Monte Carlo for Sign Restrictions

New post REPORTMATRIX—Use of REPORT for a cross table of statistics

New post INCLANTIAO—ICSS Examination of Variance Breaks

New post ICSS—Variance Break Procedure

New post IRFCONSTRAIN—SVAR with constraints at arbitrary horizons

New post WZSAMPLER—Waggoner-Zha Gibbs Sampler

New post GARCHDCCFORECAST—Forecast of DCC Model

New post NNDYNFORE—Dynamic forecasts with neural network

New post May 2025 Newsletter

New post Scenario Analysis

New post MCPROCESSIRF—Calculation of bands for IRF's

New post Faust Leeper JBES 1997 BQ factorizations

New post Faust(1998) VAR Shock isolation