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New post Extreme Value Theory (EVT): Hill estimator

Last post by ac_1 « Tue Jan 20, 2026 2:07 pm
Posted in ARCH and GARCH Models
Replies: 4
by ac_1 » Sun Jan 18, 2026 3:02 am » in ARCH and GARCH Models

4 Replies

97 Views

Last post by ac_1
Tue Jan 20, 2026 2:07 pm
New post finding output gap by using Kalman filter.

Last post by TomDoan « Tue Jan 20, 2026 7:59 am
Posted in State Space Models/DSGE
Replies: 1
by Brc » Mon Jan 19, 2026 12:19 pm » in State Space Models/DSGE

1 Replies

45 Views

Last post by TomDoan
Tue Jan 20, 2026 7:59 am
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

8187 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

1634 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

39263 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

30759 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

24613 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

5978 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

15086 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

2237308 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

10535 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

32938 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

13328 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

30470 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

55253 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

44552 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

72986 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

46920 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

34005 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

32890 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

42433 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

52988 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

58149 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

48449 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

60338 Views

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

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