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New post Extreme Value Theory (EVT): Hill estimator

Last post by ac_1 « Mon Jan 19, 2026 1:09 pm
Posted in ARCH and GARCH Models
Replies: 2
by ac_1 » Sun Jan 18, 2026 3:02 am » in ARCH and GARCH Models

2 Replies

56 Views

Last post by ac_1
Mon Jan 19, 2026 1:09 pm
New post finding output gap by using Kalman filter.

Last post by Brc « Mon Jan 19, 2026 12:19 pm
Posted in State Space Models/DSGE

by Brc » Mon Jan 19, 2026 12:19 pm » in State Space Models/DSGE

0 Replies

18 Views

Last post by Brc
Mon Jan 19, 2026 12:19 pm
New post a question about the smoothness of the trend

Last post by TomDoan « Mon Jan 19, 2026 8:08 am
Posted in State Space Models/DSGE
Replies: 3
by hardmann » Sat Nov 15, 2025 6:54 am » in State Space Models/DSGE

3 Replies

8052 Views

Last post by TomDoan
Mon Jan 19, 2026 8:08 am
New post Excel-data download directed from RATS

Last post by TomDoan « Tue Jan 06, 2026 2:59 pm
Posted in Data: Reading, Writing, Transforming
Replies: 3
by PeterF » Sat Dec 27, 2025 10:59 am » in Data: Reading, Writing, Transforming

3 Replies

1585 Views

Last post by TomDoan
Tue Jan 06, 2026 2:59 pm
New post garchmvbootstrap.rpf

Last post by ac_1 « Mon Dec 15, 2025 2:47 am
Posted in ARCH and GARCH Models
Replies: 32
by ac_1 » Mon Sep 29, 2025 1:44 am » in ARCH and GARCH Models
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32 Replies

38897 Views

Last post by ac_1
Mon Dec 15, 2025 2:47 am
New post OECD Data Browser

Last post by PeterF « Thu Dec 04, 2025 2:31 pm
Posted in Data: Reading, Writing, Transforming
Replies: 9
by PeterF » Sat Jun 01, 2024 2:02 pm » in Data: Reading, Writing, Transforming

9 Replies

30631 Views

Last post by PeterF
Thu Dec 04, 2025 2:31 pm
New post Matheson-Stavrev EL 2013

Last post by TomDoan « Sat Nov 29, 2025 9:23 pm
Posted in Examples and Sample Code
Replies: 8
by TomDoan » Thu Aug 31, 2017 10:47 am » in Examples and Sample Code

8 Replies

24529 Views

Last post by TomDoan
Sat Nov 29, 2025 9:23 pm
New post MVGARCHFORE—Out-of-sample variance forecasts

Last post by TomDoan « Sat Nov 29, 2025 9:15 pm
Posted in RATS Procedures

by TomDoan » Sat Nov 29, 2025 9:15 pm » in RATS Procedures

0 Replies

5848 Views

Last post by TomDoan
Sat Nov 29, 2025 9:15 pm
New post GARCHBACKTEST—Rolling GARCH Estimation

Last post by TomDoan « Sat Nov 29, 2025 9:09 pm
Posted in Examples and Sample Code

by TomDoan » Wed Sep 03, 2014 5:10 pm » in Examples and Sample Code

0 Replies

15004 Views

Last post by TomDoan
Sat Nov 29, 2025 9:09 pm
New post UV garch model forecasts

Last post by TomDoan « Mon Nov 17, 2025 1:06 pm
Posted in ARCH and GARCH Models
Replies: 94
by ac_1 » Sat Aug 26, 2023 11:55 am » in ARCH and GARCH Models
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94 Replies

2236577 Views

Last post by TomDoan
Mon Nov 17, 2025 1:06 pm
New post TVARSET—Set up VAR matrices for time-varying coefficients

Last post by TomDoan « Tue Nov 11, 2025 9:19 am
Posted in RATS Procedures

by TomDoan » Tue Nov 11, 2025 9:19 am » in RATS Procedures

0 Replies

10382 Views

Last post by TomDoan
Tue Nov 11, 2025 9:19 am
New post garchmv.rpf

Last post by TomDoan « Thu Nov 06, 2025 9:08 pm
Posted in ARCH and GARCH Models
Replies: 16
by ac_1 » Sat Oct 04, 2025 12:46 pm » in ARCH and GARCH Models
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16 Replies

32706 Views

Last post by TomDoan
Thu Nov 06, 2025 9:08 pm
New post Long-run solution of the estimated STAR models

Last post by TomDoan « Wed Nov 05, 2025 8:35 am
Posted in Structural Breaks and Switching Models
Replies: 1
by Brc » Thu Oct 30, 2025 3:55 am » in Structural Breaks and Switching Models

1 Replies

13188 Views

Last post by TomDoan
Wed Nov 05, 2025 8:35 am
New post Forecasting a Linear model

Last post by TomDoan « Sun Sep 28, 2025 5:50 pm
Posted in Help With Programming
Replies: 3
by Brc » Sat Sep 27, 2025 4:16 pm » in Help With Programming

3 Replies

30285 Views

Last post by TomDoan
Sun Sep 28, 2025 5:50 pm
New post APARCH model

Last post by TomDoan « Mon Sep 22, 2025 2:56 pm
Posted in ARCH and GARCH Models
Replies: 15
by ac_1 » Mon Sep 15, 2025 5:26 am » in ARCH and GARCH Models
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15 Replies

54971 Views

Last post by TomDoan
Mon Sep 22, 2025 2:56 pm
New post HAR model

Last post by TomDoan « Thu Sep 11, 2025 9:50 am
Posted in Other Time Series Analysis
Replies: 1
by ac_1 » Wed Sep 10, 2025 10:34 pm » in Other Time Series Analysis

1 Replies

44326 Views

Last post by TomDoan
Thu Sep 11, 2025 9:50 am
New post SV-AR(1) model

Last post by TomDoan « Wed Sep 10, 2025 8:36 am
Posted in State Space Models/DSGE
Replies: 20
by ac_1 » Mon Sep 01, 2025 1:54 pm » in State Space Models/DSGE
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20 Replies

72622 Views

Last post by TomDoan
Wed Sep 10, 2025 8:36 am
New post various distributions of returns

Last post by TomDoan « Fri Sep 05, 2025 8:38 am
Posted in Graphics, Reports, and Other Output
Replies: 6
by ac_1 » Mon Sep 01, 2025 1:58 am » in Graphics, Reports, and Other Output

6 Replies

46716 Views

Last post by TomDoan
Fri Sep 05, 2025 8:38 am
New post Significance of multi-step ahead forecasts from risk algo's

Last post by ac_1 « Sun Aug 24, 2025 12:39 pm
Posted in ARCH and GARCH Models
Replies: 2
by ac_1 » Sat Aug 23, 2025 2:08 am » in ARCH and GARCH Models

2 Replies

33850 Views

Last post by ac_1
Sun Aug 24, 2025 12:39 pm
New post problem on version

Last post by TomDoan « Wed Aug 20, 2025 8:01 am
Posted in State Space Models/DSGE
Replies: 1
by hardmann » Sat Aug 16, 2025 10:28 pm » in State Space Models/DSGE

1 Replies

32731 Views

Last post by TomDoan
Wed Aug 20, 2025 8:01 am
New post VAR LAG SELECTION

Last post by TomDoan « Wed Aug 20, 2025 8:00 am
Posted in VARs (Vector Autoregression Models)
Replies: 1
by jimm306 » Tue Aug 19, 2025 9:17 am » in VARs (Vector Autoregression Models)

1 Replies

42264 Views

Last post by TomDoan
Wed Aug 20, 2025 8:00 am
New post How to estimate the MF-VAR model in Winrats?

Last post by hardmann « Sat Aug 16, 2025 6:39 am
Posted in State Space Models/DSGE
Replies: 2
by hardmann » Wed Jun 11, 2025 8:27 am » in State Space Models/DSGE

2 Replies

52847 Views

Last post by hardmann
Sat Aug 16, 2025 6:39 am
New post Mariano Murasawa JAE 2003—State space model with mixed frequencies

Last post by TomDoan « Thu Aug 14, 2025 2:36 pm
Posted in Examples and Sample Code

by TomDoan » Thu Aug 14, 2025 2:36 pm » in Examples and Sample Code

0 Replies

57888 Views

Last post by TomDoan
Thu Aug 14, 2025 2:36 pm
New post GLOBALVAR—Pesaran style global VAR

Last post by TomDoan « Thu Aug 14, 2025 2:24 pm
Posted in Examples and Sample Code

by TomDoan » Thu Aug 14, 2025 2:24 pm » in Examples and Sample Code

0 Replies

48206 Views

Last post by TomDoan
Thu Aug 14, 2025 2:24 pm
New post ARDLM—State space system matrices for an AR process

Last post by TomDoan « Thu Aug 14, 2025 1:35 pm
Posted in RATS Procedures

by TomDoan » Mon Jul 21, 2025 9:36 am » in RATS Procedures

0 Replies

60090 Views

Last post by TomDoan
Thu Aug 14, 2025 1:35 pm

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