Modified ICSS procedure

[hasanov]

Dear Tom,

The RATS can detect the sudden shifts with the procedure so-called ICSS proposed by Inclan and Tiao (1994).

In fact, on the other hand, a modified version of ICSS procedure is becoming popular as it is believed to overcome the issues in case the series are not independently identically distributed (IID). Conversely, in order to apply ICSS of Inclan and Tiao (1994) the series should be IID.

The modified ICSS has been developed in

Sans´o A, Arrag´o V, Carrion JL. 2004. Testing for change in the unconditional variance of financial time series. Revista de Economi ´a Financiera 4: 32–53.

Also, the GAUSS code for modified ICSS is available at Andreu Sans´o’s web page
http://www.uib.es/depart/deaweb/persona ... eusanso/we.

Further information can be obtained in
David E. Rapach and Jack K. Strauss, (2008). Structural breaks and GARCH models of exchange rate volatility. Journal of Applied Econometrics. 23: 65–90.

We would be very appreciated if anyone helps us with the RATS code for modified ICSS.

Many thanks

[vmadhavan]

Dear Tom & Hasanov

I am currently looking for the the RATS code for the Modified ICSS algorithm.

Would greatly appreciate if you could help me in this regard.

Hoping to hear from you

[hasanov]

The modified version of the ICSS test is now available in RATS through the @ICSS procedure with robust option.
Example,
@ICSS(ROBUST, signif=0.01) series