Balcilar, et al EE(2015)
Re: Balcilar, et al EE(2015)
I'd be hard-pressed to think of a practical situation in which that test has any value. It isn't a test of whether or not a MS model is proper. If you look at page 151, you will see that simple MS AR models are considered to be examples of DGP's which are supposed to be rejected by the test.
Re: Balcilar, et al EE(2015)
Thank you Tom.
Olease I tried to run Balcilar code in my data basis (file attached) but the itérations stopped and I've got this error message:
Olease I tried to run Balcilar code in my data basis (file attached) but the itérations stopped and I've got this error message:
Code: Select all
Likelihood Based Analysis of Cointegration
Variables: LOIL LSP
Estimated from 1950:03 to 2104:04
Data Points 1850 Lags 2 with Constant
Unrestricted eigenvalues and -T log(1-lambda)
Rank EigVal Lambda-max Trace Trace-95% LogL
0 -130930.6508
1 0.0039 7.2123 7.6884 15.4100 -130927.0447
2 0.0003 0.4761 0.4761 3.8400 -130926.8066
Cointegrating Vector for Largest Eigenvalue
LOIL LSP
-0.000000 0.000000
VAR/System - Estimation by Cointegrated Least Squares
Monthly Data From 1950:03 To 2104:04
Usable Observations 1850
Dependent Variable LOIL
Mean of Dependent Variable 2.47543e+013
Std Error of Dependent Variable 5.39263e+014
Standard Error of Estimate 5.21604e+014
Sum of Squared Residuals 5.02243e+032
Durbin-Watson Statistic 1.9943
Variable Coeff Std Error T-Stat Signif
************************************************************************************
1. D_LOIL{1} 0.2850 0.0253 11.26168 0.00000000
2. D_LSP{1} -0.1189 0.0195 -6.08521 0.00000000
3. Constant 8.4214e+012 1.3910e+013 0.60543 0.54496540
4. EC1{1} -4.7991e-003 2.2980e-003 -2.08839 0.03689944
Dependent Variable LSP
Mean of Dependent Variable 4.05337e+013
Std Error of Dependent Variable 6.98487e+014
Standard Error of Estimate 6.98380e+014
Sum of Squared Residuals 9.00358e+032
Durbin-Watson Statistic 1.9971
Variable Coeff Std Error T-Stat Signif
************************************************************************************
1. D_LOIL{1} -0.0451 0.0339 -1.33061 0.18348143
2. D_LSP{1} 0.0457 0.0262 1.74940 0.08038871
3. Constant 4.4079e+013 1.8624e+013 2.36681 0.01804458
4. EC1{1} 1.4555e-003 3.0768e-003 0.47306 0.63622464
Iteration 1 Log likelihood -129090.32950
Iteration 2 Log likelihood -128184.50282
Iteration 3 Log likelihood -127477.25329
Iteration 4 Log likelihood -126552.42409
Iteration 5 Log likelihood -125355.52425
Iteration 6 Log likelihood -123819.46950
Iteration 7 Log likelihood -121393.73663
Iteration 8 Log likelihood -118943.06771
Iteration 9 Log likelihood -115382.57821
Iteration 10 Log likelihood -94576.15609
Iteration 11 Log likelihood -94397.99439
Iteration 12 Log likelihood -94257.82103
Iteration 13 Log likelihood -94181.03354
Iteration 14 Log likelihood -94137.35209
Iteration 15 Log likelihood -94126.77374
Iteration 16 Log likelihood -94126.77365
Iteration 17 Log likelihood -94126.77363
Iteration 18 Log likelihood -94126.77362
Iteration 19 Log likelihood -94126.77363
Iteration 20 Log likelihood -94126.77362
Iteration 21 Log likelihood -94126.77362
Iteration 22 Log likelihood -94126.77363
Iteration 23 Log likelihood -94126.77363
Iteration 24 Log likelihood -94126.77363
Iteration 25 Log likelihood -94126.77363
Iteration 26 Log likelihood -94126.77362
Iteration 27 Log likelihood -94126.77363
Iteration 28 Log likelihood -94126.77362
Iteration 29 Log likelihood -94126.77362
Iteration 30 Log likelihood -94126.77362
Iteration 31 Log likelihood -94126.77362
Iteration 32 Log likelihood -94126.77362
Iteration 33 Log likelihood -94126.77362
Iteration 34 Log likelihood -94126.77362
Iteration 35 Log likelihood -94126.77363
Iteration 36 Log likelihood -94126.77363
Iteration 37 Log likelihood -94126.77363
Iteration 38 Log likelihood -94126.77363
Iteration 39 Log likelihood -94126.77363
Iteration 40 Log likelihood -94126.77362
Iteration 41 Log likelihood -94126.77362
Iteration 42 Log likelihood -94126.77363
Iteration 43 Log likelihood -94126.77362
Iteration 44 Log likelihood -94126.77362
Iteration 45 Log likelihood -94126.77363
Iteration 46 Log likelihood -94126.77362
Iteration 47 Log likelihood -94126.77363
Iteration 48 Log likelihood -94126.77363
Iteration 49 Log likelihood -94126.77362
Iteration 50 Log likelihood -94126.77362
Iteration 51 Log likelihood -94126.77363
Iteration 52 Log likelihood -94126.77362
Iteration 53 Log likelihood -94126.77363
Iteration 54 Log likelihood -94126.77362
Iteration 55 Log likelihood -94126.77363
Iteration 56 Log likelihood -94126.77363
Iteration 57 Log likelihood -94126.77363
Iteration 58 Log likelihood -94126.77363
Iteration 59 Log likelihood -94126.77363
Iteration 60 Log likelihood -94126.77362
Iteration 61 Log likelihood -94126.77362
Iteration 62 Log likelihood -94126.77362
Iteration 63 Log likelihood -94126.77362
Iteration 64 Log likelihood -94126.77362
Iteration 65 Log likelihood -94126.77362
Iteration 66 Log likelihood -94126.77363
Iteration 67 Log likelihood -94126.77363
Iteration 68 Log likelihood -94126.77363
Iteration 69 Log likelihood -94126.77363
Iteration 70 Log likelihood -94126.77363
Iteration 71 Log likelihood -94126.77363
Iteration 72 Log likelihood -94126.77363
Iteration 73 Log likelihood -94126.77363
Iteration 74 Log likelihood -94126.77362
Iteration 75 Log likelihood -94126.77363
Iteration 76 Log likelihood -94126.77362
Iteration 77 Log likelihood -94126.77363
Iteration 78 Log likelihood -94126.77362
Iteration 79 Log likelihood -94126.77362
Iteration 80 Log likelihood -94126.77362
Iteration 81 Log likelihood -94126.77362
Iteration 82 Log likelihood -94126.77365
Iteration 83 Log likelihood -94126.77362
Iteration 84 Log likelihood -94126.77363
Iteration 85 Log likelihood -94126.77363
Iteration 86 Log likelihood -94126.77363
Iteration 87 Log likelihood -94126.77363
Iteration 88 Log likelihood -94126.77362
Iteration 89 Log likelihood -94126.77362
Iteration 90 Log likelihood -94126.77363
Iteration 91 Log likelihood -94126.77362
Iteration 92 Log likelihood -94126.77362
Iteration 93 Log likelihood -94126.77363
Iteration 94 Log likelihood -94126.77362
Iteration 95 Log likelihood -94126.77363
Iteration 96 Log likelihood -94126.77363
Iteration 97 Log likelihood -94126.77362
Iteration 98 Log likelihood -94126.77363
Iteration 99 Log likelihood -94126.77363
Iteration 100 Log likelihood -94126.77363
MAXIMIZE - Estimation by BHHH
Convergence in 6 Iterations. Final criterion was 0.0000000 <= 0.0000100
Monthly Data From 1950:03 To 2104:04
Usable Observations 1850
Function Value NA
Variable Coeff Std Error T-Stat Signif
*************************************************************************************
1. BETASYS(1)(1,1) -0.0544 0.0168 -3.23562 0.00121379
2. BETASYS(1)(2,1) -128.1988 85560.2197 -0.00150 0.99880449
3. BETASYS(1)(3,1) 1.3303e+013 9.4734e+013 0.14042 0.88832620
4. BETASYS(1)(4,1) -0.4270 8.3870e-003 -50.91458 0.00000000
5. BETASYS(1)(1,2) -2.9575e+017 0.0000 0.00000 0.00000000
6. BETASYS(1)(2,2) -2.8757e+009 3.9049e-003 -7.36438e+011 0.00000000
7. BETASYS(1)(3,2) -1.3108 4.9994 -0.26219 0.79317504
8. BETASYS(1)(4,2) -7.9079e+017 0.0000 0.00000 0.00000000
9. BETASYS(2)(1,1) 0.0503 0.0690 0.72881 0.46611488
10. BETASYS(2)(2,1) -0.0590 0.1024 -0.57646 0.56430094
11. BETASYS(2)(3,1) 8.9176e+013 1.0660e+014 0.83651 0.40286601
12. BETASYS(2)(4,1) -0.0267 0.0171 -1.56217 0.11824822
13. BETASYS(2)(1,2) -0.1362 0.0367 -3.71353 0.00020439
14. BETASYS(2)(2,2) 0.2891 0.0572 5.05719 0.00000043
15. BETASYS(2)(3,2) 2.8568e+013 6.1289e+013 0.46612 0.64113064
16. BETASYS(2)(4,2) -0.0453 0.0100 -4.53215 0.00000584
17. SIGMAV(1)(1,1) 5.8804e+028 2.4320e+027 24.17884 0.00000000
18. SIGMAV(1)(2,1) 1.3964e+013 2.2061e+016 6.32994e-004 0.99949494
19. SIGMAV(1)(2,2) 306.6247 10.9122 28.09924 0.00000000
20. SIGMAV(2)(1,1) 1.2423e+030 3.2721e+028 37.96582 0.00000000
21. SIGMAV(2)(2,1) 4.8867e+029 2.9492e+028 16.56952 0.00000000
22. SIGMAV(2)(2,2) 7.4825e+029 4.0840e+028 18.32152 0.00000000
23. P(1,1) 108.3622 5.9904e-003 18089.37455 0.00000000
24. P(1,2) 61.6142 0.0114 5418.10841 0.00000000
## MAT14. Non-invertible Matrix. Using Generalized Inverse for SYMMETRIC.
The Error Occurred At Location 408, Line 24 of loop/block.- Attachments
-
- us-ms1.xlsx
- my data basis
- (71.44 KiB) Downloaded 760 times
Re: Balcilar, et al EE(2015)
- Why is that running through 2104:4? The actual data are only through 2015:10
- The first almost 20 years of LSP are clearly nothing like the remainder of the sample.
- The last five years of LOIL look like a whole string of typos.
Re: Balcilar, et al EE(2015)
Thank you Tom, the error is seemingly resolved and I've got the following results: (But I have a doubt if there is a difference between the two regimes)
Code: Select all
Likelihood Based Analysis of Cointegration
Variables: LOIL LSP
Estimated from 1950:03 to 2015:10
Data Points 788 Lags 2 with Constant
Unrestricted eigenvalues and -T log(1-lambda)
Rank EigVal Lambda-max Trace Trace-95% LogL
0 -6485.1302
1 0.0442 35.6090 35.7655 15.4100 -6467.3257
2 0.0002 0.1565 0.1565 3.8400 -6467.2474
Cointegrating Vector for Largest Eigenvalue
LOIL LSP
0.010416 0.001617
VAR/System - Estimation by Cointegrated Least Squares
Monthly Data From 1950:03 To 2015:10
Usable Observations 788
Dependent Variable LOIL
Mean of Dependent Variable 0.038837060
Std Error of Dependent Variable 59.574599813
Standard Error of Estimate 54.144916095
Sum of Squared Residuals 2298430.8001
Durbin-Watson Statistic 2.1673
Variable Coeff Std Error T-Stat Signif
************************************************************************************
1. D_LOIL{1} -0.31269669 0.03410946 -9.16745 0.00000000
2. D_LSP{1} -0.15188278 0.46483184 -0.32675 0.74394586
3. Constant 23.01058805 4.28419220 5.37104 0.00000010
4. EC1{1} -0.12091822 0.02009003 -6.01882 0.00000000
Dependent Variable LSP
Mean of Dependent Variable 0.4420933500
Std Error of Dependent Variable 4.1524271233
Standard Error of Estimate 3.9865167460
Sum of Squared Residuals 12459.575561
Durbin-Watson Statistic 1.9260
Variable Coeff Std Error T-Stat Signif
************************************************************************************
1. D_LOIL{1} 0.002050693 0.002511370 0.81656 0.41442600
2. D_LSP{1} 0.284761011 0.034224080 8.32049 0.00000000
3. Constant 0.375513340 0.315431349 1.19048 0.23421983
4. EC1{1} -0.000307871 0.001479164 -0.20814 0.83517494
Iteration 1 Log likelihood -5894.30993
Iteration 2 Log likelihood -5574.21692
Iteration 3 Log likelihood -5505.89913
Iteration 4 Log likelihood -5478.86113
Iteration 5 Log likelihood -5467.90627
Iteration 6 Log likelihood -5461.49524
Iteration 7 Log likelihood -5457.53022
Iteration 8 Log likelihood -5455.24922
Iteration 9 Log likelihood -5453.24680
Iteration 10 Log likelihood -5451.68453
Iteration 11 Log likelihood -5451.04173
Iteration 12 Log likelihood -5450.72641
Iteration 13 Log likelihood -5450.27190
Iteration 14 Log likelihood -5449.45712
Iteration 15 Log likelihood -5449.07281
Iteration 16 Log likelihood -5449.04759
Iteration 17 Log likelihood -5449.04486
Iteration 18 Log likelihood -5449.04423
Iteration 19 Log likelihood -5449.04406
Iteration 20 Log likelihood -5449.04401
Iteration 21 Log likelihood -5449.04399
Iteration 22 Log likelihood -5449.04399
Iteration 23 Log likelihood -5449.04399
Iteration 24 Log likelihood -5449.04399
Iteration 25 Log likelihood -5449.04398
Iteration 26 Log likelihood -5449.04398
Iteration 27 Log likelihood -5449.04398
Iteration 28 Log likelihood -5449.04398
Iteration 29 Log likelihood -5449.04398
Iteration 30 Log likelihood -5449.04398
Iteration 31 Log likelihood -5449.04398
Iteration 32 Log likelihood -5449.04398
Iteration 33 Log likelihood -5449.04398
Iteration 34 Log likelihood -5449.04398
Iteration 35 Log likelihood -5449.04398
Iteration 36 Log likelihood -5449.04398
Iteration 37 Log likelihood -5449.04398
Iteration 38 Log likelihood -5449.04398
Iteration 39 Log likelihood -5449.04398
Iteration 40 Log likelihood -5449.04398
Iteration 41 Log likelihood -5449.04398
Iteration 42 Log likelihood -5449.04398
Iteration 43 Log likelihood -5449.04398
Iteration 44 Log likelihood -5449.04398
Iteration 45 Log likelihood -5449.04398
Iteration 46 Log likelihood -5449.04398
Iteration 47 Log likelihood -5449.04398
Iteration 48 Log likelihood -5449.04398
Iteration 49 Log likelihood -5449.04398
Iteration 50 Log likelihood -5449.04398
Iteration 51 Log likelihood -5449.04398
Iteration 52 Log likelihood -5449.04398
Iteration 53 Log likelihood -5449.04398
Iteration 54 Log likelihood -5449.04398
Iteration 55 Log likelihood -5449.04398
Iteration 56 Log likelihood -5449.04398
Iteration 57 Log likelihood -5449.04398
Iteration 58 Log likelihood -5449.04398
Iteration 59 Log likelihood -5449.04398
Iteration 60 Log likelihood -5449.04398
Iteration 61 Log likelihood -5449.04398
Iteration 62 Log likelihood -5449.04398
Iteration 63 Log likelihood -5449.04398
Iteration 64 Log likelihood -5449.04398
Iteration 65 Log likelihood -5449.04398
Iteration 66 Log likelihood -5449.04398
Iteration 67 Log likelihood -5449.04398
Iteration 68 Log likelihood -5449.04398
Iteration 69 Log likelihood -5449.04398
Iteration 70 Log likelihood -5449.04398
Iteration 71 Log likelihood -5449.04398
Iteration 72 Log likelihood -5449.04398
Iteration 73 Log likelihood -5449.04398
Iteration 74 Log likelihood -5449.04398
Iteration 75 Log likelihood -5449.04398
Iteration 76 Log likelihood -5449.04398
Iteration 77 Log likelihood -5449.04398
Iteration 78 Log likelihood -5449.04398
Iteration 79 Log likelihood -5449.04398
Iteration 80 Log likelihood -5449.04398
Iteration 81 Log likelihood -5449.04398
Iteration 82 Log likelihood -5449.04398
Iteration 83 Log likelihood -5449.04398
Iteration 84 Log likelihood -5449.04398
Iteration 85 Log likelihood -5449.04398
Iteration 86 Log likelihood -5449.04398
Iteration 87 Log likelihood -5449.04398
Iteration 88 Log likelihood -5449.04398
Iteration 89 Log likelihood -5449.04398
Iteration 90 Log likelihood -5449.04398
Iteration 91 Log likelihood -5449.04398
Iteration 92 Log likelihood -5449.04398
Iteration 93 Log likelihood -5449.04398
Iteration 94 Log likelihood -5449.04398
Iteration 95 Log likelihood -5449.04398
Iteration 96 Log likelihood -5449.04398
Iteration 97 Log likelihood -5449.04398
Iteration 98 Log likelihood -5449.04398
Iteration 99 Log likelihood -5449.04398
Iteration 100 Log likelihood -5449.04398
MAXIMIZE - Estimation by BHHH
NO CONVERGENCE IN 10 ITERATIONS
LAST CRITERION WAS 0.0001139
Monthly Data From 1950:03 To 2015:10
Usable Observations 788
Function Value -5449.0438
Variable Coeff Std Error T-Stat Signif
************************************************************************************
1. BETASYS(1)(1,1) 0.12397 0.02430 5.10099 0.00000034
2. BETASYS(1)(2,1) -0.00361 0.01136 -0.31776 0.75066625
3. BETASYS(1)(3,1) 1.13356 0.57622 1.96724 0.04915503
4. BETASYS(1)(4,1) -0.00547 0.00219 -2.50458 0.01225959
5. BETASYS(1)(1,2) 0.05122 0.10035 0.51042 0.60975988
6. BETASYS(1)(2,2) -0.22809 0.01775 -12.84660 0.00000000
7. BETASYS(1)(3,2) 4.63396 0.92300 5.02053 0.00000052
8. BETASYS(1)(4,2) -0.01901 0.00447 -4.24739 0.00002163
9. BETASYS(2)(1,1) 0.50979 0.08494 6.00143 0.00000000
10. BETASYS(2)(2,1) -0.00825 0.00412 -2.00168 0.04531879
11. BETASYS(2)(3,1) 0.12182 0.64979 0.18748 0.85128120
12. BETASYS(2)(4,1) 0.02009 0.00362 5.54443 0.00000003
13. BETASYS(2)(1,2) 3.36521 3.08869 1.08953 0.27592179
14. BETASYS(2)(2,2) -0.14095 0.11715 -1.20321 0.22889329
15. BETASYS(2)(3,2) 31.67067 17.99914 1.75957 0.07848151
16. BETASYS(2)(4,2) -0.47302 0.12466 -3.79442 0.00014799
17. SIGMAV(1)(1,1) 10.79241 0.37024 29.15010 0.00000000
18. SIGMAV(1)(2,1) -2.19790 1.15488 -1.90314 0.05702216
19. SIGMAV(1)(2,2) 73.97469 3.70395 19.97181 0.00000000
20. SIGMAV(2)(1,1) 24.06180 2.79526 8.60807 0.00000000
21. SIGMAV(2)(2,1) 166.79886 74.35291 2.24334 0.02487491
22. SIGMAV(2)(2,2) 14228.65880 1761.82446 8.07609 0.00000000
23. P(1,1) 0.94492 0.01084 87.13180 0.00000000
24. P(1,2) 0.25819 0.04031 6.40439 0.00000000
BETASYS(1)(1,1) 0.13981382 0.03950559
BETASYS(1)(2,1) 0.00567325 0.00359030
BETASYS(1)(3,1) 1.24845289 0.44402585
BETASYS(1)(4,1) -0.00581339 0.00198707
BETASYS(1)(1,2) 0.08019588 0.09167914
BETASYS(1)(2,2) -0.01736670 0.00935412
BETASYS(1)(3,2) 4.46483839 1.32789380
BETASYS(1)(4,2) -0.01851016 0.00575689
BETASYS(2)(1,1) 0.50123744 0.09975046
BETASYS(2)(2,1) -0.01387026 0.00486193
BETASYS(2)(3,1) -0.38828681 0.55506477
BETASYS(2)(4,1) 0.02157813 0.00420078
BETASYS(2)(1,2) 2.65543291 2.10351403
BETASYS(2)(2,2) -0.33035931 0.10757068
BETASYS(2)(3,2) 16.21551292 12.26880215
BETASYS(2)(4,2) -0.38242882 0.08912892
SIGMAV(1)(1,1) 11.45711570 0.78742488
SIGMAV(1)(2,1) -1.45143364 1.26675558
SIGMAV(1)(2,2) 78.85892060 6.19259723
SIGMAV(2)(1,1) 22.92361397 2.94212684
SIGMAV(2)(2,1) 113.69881518 43.59348053
SIGMAV(2)(2,2) 11602.77174878 1386.25193319
P(1,1) 0.94479115 0.00000000
P(2,1) 0.05520885 0.00000000
P(1,2) 0.25767045 0.00000000
P(2,2) 0.74232955 0.00000000
Response of Stock Price to Stock Price Shock in Regime 1
ENTRY IRF(1,1) LOWER(1,1) UPPER(1,1)
1950:01 1.000000000000 1.000000000000 1.000000000000
1950:02 1.133393018125 1.067378271602 1.197993008962
1950:03 1.147456581127 1.066817340527 1.233121290550
1950:04 1.143197443124 1.059108351272 1.233755609434
1950:05 1.136031860909 1.052008833567 1.228886682659
1950:06 1.128437002169 1.044364409509 1.220441836435
1950:07 1.120832085646 1.036951155510 1.214047692180
1950:08 1.113290691102 1.030276928191 1.207839397258
1950:09 1.105825672986 1.022556371781 1.201812398367
1950:10 1.098438780932 1.014268481997 1.194798928779
1950:11 1.091129664863 1.006170575564 1.188142139422
1950:12 1.083897570692 0.997539636890 1.182112493682
1951:01 1.076741670475 0.990124077425 1.175238650614
1951:02 1.069661128614 0.982611805613 1.168202503950
1951:03 1.062655115439 0.973336020261 1.161658600091
1951:04 1.055722809995 0.965402188663 1.155861786216
1951:05 1.048863400561 0.957059694669 1.150586260292
1951:06 1.042076084676 0.948799267531 1.146533060506
1951:07 1.035360069060 0.940997307871 1.142067136372
1951:08 1.028714569511 0.933194130018 1.136983605490
1951:09 1.022138810803 0.924610233761 1.131822573077
1951:10 1.015632026576 0.915950663188 1.126556655604
Response of Stock Price to Stock Price Shock in Regime 2
ENTRY IRF(1,2) LOWER(1,2) UPPER(1,2)
1950:01 1.00000000000 1.000000000000 1.000000000000
1950:02 1.47028521660 1.298046966423 1.648730539986
1950:03 1.76200865254 1.457951163080 2.115521445108
1950:04 1.96941382036 1.572869481574 2.483222444536
1950:05 2.14686869740 1.669535098943 2.803980883939
1950:06 2.30957192470 1.758394181810 3.083793696544
1950:07 2.46812540406 1.844881114945 3.362570176116
1950:08 2.62575694045 1.928750484303 3.618853040287
1950:09 2.78500814652 2.018176668246 3.908916031763
1950:10 2.94676028787 2.102131882044 4.218868518973
1950:11 3.11179260436 2.188374603445 4.531290051428
1950:12 3.28045658784 2.268494861553 4.839210150549
1951:01 3.45309659156 2.351013159708 5.149168852670
1951:02 3.62993722949 2.436750285993 5.521823626625
1951:03 3.81121119972 2.515735301331 5.878558472923
1951:04 3.99711848125 2.602259275060 6.238520922310
1951:05 4.18786935765 2.685263487158 6.620940530260
1951:06 4.38366906647 2.762242111298 6.986792605367
1951:07 4.58473375894 2.847826756099 7.365746804110
1951:08 4.79128469725 2.922428577873 7.849732473258
1951:09 5.00355487476 3.007130882928 8.319576802582
1951:10 5.22178702437 3.077902584468 8.829132857142
Response of Stock Price to Oil Price Shock in Regime 1
ENTRY IRF(1,3) LOWER(1,3) UPPER(1,3)
1950:01 0.000000000000 0.000000000000 0.000000000000
1950:02 0.004770913515 -0.001121817357 0.010929812855
1950:03 0.004410270694 -0.002265012543 0.011541509105
1950:04 0.003451428357 -0.003426781172 0.010765710867
1950:05 0.002405494952 -0.004700171586 0.009860961041
1950:06 0.001354792389 -0.005957696024 0.009026900321
1950:07 0.000312454362 -0.007265775109 0.008166383358
1950:08 -0.000719377884 -0.008652344076 0.007437039049
1950:09 -0.001740423199 -0.010054813844 0.006769397779
1950:10 -0.002750727195 -0.011299865184 0.006091623941
1950:11 -0.003750394273 -0.012456342944 0.005389310060
1950:12 -0.004739538898 -0.013759467525 0.004780507499
1951:01 -0.005718276430 -0.015088850659 0.004262540158
1951:02 -0.006686721354 -0.016418317458 0.003727483228
1951:03 -0.007644986933 -0.017831918294 0.003219164743
1951:04 -0.008593185154 -0.019166326730 0.002640261694
1951:05 -0.009531426729 -0.020342246961 0.002059751033
1951:06 -0.010459821101 -0.021667330255 0.001505821642
1951:07 -0.011378476463 -0.022882244767 0.000912900627
1951:08 -0.012287499772 -0.024099366451 0.000473835676
1951:09 -0.013186996763 -0.025240376719 -0.000119713825
1951:10 -0.014077071962 -0.026444060471 -0.000635136981
Response of Stock Price to Oil Price Shock in Regime 2
ENTRY IRF(1,4) LOWER(1,4) UPPER(1,4)
1950:01 0.000000000000 0.000000000000 0.000000000000
1950:02 -0.010520953217 -0.018035294331 -0.003304375243
1950:03 -0.008384269604 -0.016100953464 -0.001061441411
1950:04 -0.006472642505 -0.015004737475 0.001982322239
1950:05 -0.002664382607 -0.011417179739 0.006066915575
1950:06 0.001240799257 -0.007989745133 0.010248034509
1950:07 0.005586150377 -0.003824101986 0.014946137876
1950:08 0.010032093262 -0.000121706351 0.020031639784
1950:09 0.014653316080 0.003876111536 0.025802164273
1950:10 0.019373772176 0.008025867051 0.031591067395
1950:11 0.024215111048 0.011958579892 0.037914944012
1950:12 0.029159519325 0.015501857896 0.044441912301
1951:01 0.034216065342 0.019358934408 0.051518398889
1951:02 0.039382095852 0.023010227946 0.059069038312
1951:03 0.044663374412 0.026249568973 0.066963149088
1951:04 0.050061874348 0.029713046634 0.075076741237
1951:05 0.055582556225 0.033504518091 0.083531123172
1951:06 0.061229127529 0.037111289935 0.092302550323
1951:07 0.067006527529 0.040110305164 0.102090176817
1951:08 0.072919339319 0.043123463491 0.112024885294
1951:09 0.078972770553 0.046393611689 0.122553651780
1951:10 0.085172024329 0.049474494376 0.132875353359
Response of Oil Price to Stock Price Shock in Regime 1
ENTRY IRF(2,1) LOWER(2,1) UPPER(2,1)
1950:01 -0.126973869261 -0.313324593326 0.057335812916
1950:02 -0.062681035767 -0.302693471254 0.176364365026
1950:03 -0.073751078978 -0.322858945007 0.178651985051
1950:04 -0.093332867057 -0.343934962766 0.162245264074
1950:05 -0.114167357860 -0.366703873988 0.141790102613
1950:06 -0.135032997310 -0.387859494334 0.121106690996
1950:07 -0.155731411386 -0.411597156901 0.101707849549
1950:08 -0.176229864758 -0.434159187090 0.079922150907
1950:09 -0.196524232890 -0.456241525102 0.059622079079
1950:10 -0.216615506200 -0.479771383160 0.041589737773
1950:11 -0.236505609807 -0.498388166774 0.024631087482
1950:12 -0.256196630149 -0.521903274034 0.010643156016
1951:01 -0.275690666960 -0.547452351450 -0.007238708805
1951:02 -0.294989804176 -0.570090858712 -0.021529137988
1951:03 -0.314096104203 -0.594381842511 -0.038737794319
1951:04 -0.333011606932 -0.613213420689 -0.054956842015
1951:05 -0.351738329722 -0.635374019599 -0.071736359889
1951:06 -0.370278267608 -0.657243221170 -0.085392446061
1951:07 -0.388633393542 -0.679100315539 -0.099362233099
1951:08 -0.406805658643 -0.702400921974 -0.114868137049
1951:09 -0.424796992451 -0.722689246660 -0.127909623657
1951:10 -0.442609303172 -0.744247755795 -0.143407887802
Response of Oil Price to Stock Price Shock in Regime 2
ENTRY IRF(2,2) LOWER(2,2) UPPER(2,2)
1950:01 4.980352752923 2.02938543363 7.94693807107
1950:02 5.313790771885 1.31807021103 9.48443411226
1950:03 5.683407826706 1.52111672193 10.19889423807
1950:04 5.275252241618 0.46734886652 10.27097487165
1950:05 4.904051205403 0.12740888344 10.10434185034
1950:06 4.376811394265 -0.59839092305 9.80725760299
1950:07 3.854579178931 -1.15407928153 9.40871615631
1950:08 3.289984808587 -1.87219359422 9.13635921121
1950:09 2.721158912044 -2.56049719907 8.69310895295
1950:10 2.134770394821 -3.23407594949 8.31227483919
1950:11 1.541138324026 -3.98728229028 7.89815823880
1950:12 0.935936984359 -4.76738960944 7.50493880465
1951:01 0.322164954054 -5.54533887900 7.11486643843
1951:02 -0.301846893166 -6.37964431375 6.64350394690
1951:03 -0.935280590857 -7.33688108655 6.33005624504
1951:04 -1.578950880215 -8.19500941070 6.01798710857
1951:05 -2.232764545950 -9.02128559324 5.64811428731
1951:06 -2.897246830325 -9.97866623616 5.22245579514
1951:07 -3.572573724298 -10.96793743553 4.82427844471
1951:08 -4.259173651998 -11.87590761060 4.44578154593
1951:09 -4.957337293381 -12.94847174360 4.00160250488
1951:10 -5.667467150140 -14.03256909851 3.53922646989
Response of Oil Price to Oil Price Shock in Regime 1
ENTRY IRF(2,3) LOWER(2,3) UPPER(2,3)
1950:01 1.000000000000 1.000000000000 1.000000000000
1950:02 0.979760194610 0.963722583136 0.995283813228
1950:03 0.977686458256 0.962216197942 0.993285489282
1950:04 0.974804518726 0.958982275112 0.990927138598
1950:05 0.971918354744 0.955372226473 0.988558214087
1950:06 0.969052912614 0.951694352013 0.986374451834
1950:07 0.966214900735 0.948138765386 0.984322712456
1950:08 0.963405092274 0.944456419634 0.982101581024
1950:09 0.960623377842 0.940852954699 0.980182673266
1950:10 0.957869494049 0.937102629059 0.978266034078
1950:11 0.955143152606 0.933522682363 0.976361136171
1950:12 0.952444063223 0.930028454252 0.974694217881
1951:01 0.949771937827 0.926515308470 0.973003264714
1951:02 0.947126491341 0.922983329483 0.971448433433
1951:03 0.944507441798 0.919439510563 0.969844882607
1951:04 0.941914510351 0.915903735021 0.968325658419
1951:05 0.939347421230 0.912320587527 0.966624624889
1951:06 0.936805901719 0.908699264376 0.965303921731
1951:07 0.934289682116 0.905258400712 0.963813021307
1951:08 0.931798495697 0.901732143926 0.962600082729
1951:09 0.929332078685 0.898248772510 0.961094324949
1951:10 0.926890170217 0.895039812579 0.959670700850
Response of Oil Price to Oil Price Shock in Regime 2
ENTRY IRF(2,4) LOWER(2,4) UPPER(2,4)
1950:01 1.000000000000 1.000000000000 1.000000000000
1950:02 0.610280963620 0.444676583861 0.773059703579
1950:03 0.689146092589 0.626856510806 0.748848452865
1950:04 0.621216861980 0.534777660859 0.701019826065
1950:05 0.618276799597 0.564010211885 0.675908061666
1950:06 0.590770288137 0.532189702543 0.649589615463
1950:07 0.575365538232 0.521849603311 0.631373462774
1950:08 0.554583198659 0.497629391199 0.614679323669
1950:09 0.536445374989 0.473892707325 0.602331457517
1950:10 0.516773559271 0.447221957061 0.588962318175
1950:11 0.497652238471 0.418280854743 0.578042612090
1950:12 0.477911049419 0.390536992004 0.566615107878
1951:01 0.458166653054 0.360035093157 0.556816040023
1951:02 0.438044724928 0.328488481593 0.546561800651
1951:03 0.417744768515 0.296938963928 0.536250410230
1951:04 0.397131008553 0.266254949602 0.525425246828
1951:05 0.376270100624 0.234462258261 0.516937339734
1951:06 0.355105191277 0.202710124706 0.506887812051
1951:07 0.333656365669 0.170387672119 0.496514887586
1951:08 0.311894927797 0.137136625491 0.485702907158
1951:09 0.289823154891 0.103998796764 0.474353462606
1951:10 0.267422885976 0.073305763594 0.463112305573Re: Balcilar, et al EE(2015)
You can't see a difference? Regime 1 seems fairly normal, regime 2 has explosive behavior.
Re: Balcilar, et al EE(2015)
How could we find the updated version of the program?TomDoan wrote:You're using an outdated version of the program. The whole MS suite of procedures has changed.
Best regards,
Zeng
Re: Balcilar, et al EE(2015)
You don't "find" it. You buy it. RATS is a copyrighted product.zengsongl wrote:How could we find the updated version of the program?TomDoan wrote:You're using an outdated version of the program. The whole MS suite of procedures has changed.
Best regards,
Zeng