The RATS Software Forum

Hi Tom,

There’s an Estima web-page with examples of recursive, rolling (both of which are straightforward) and tiled i.e. non-overlapping rolling windows, estimations and forecasts; which unfortunately I cannot seem to locate. Please can you provide the link. Thanks.

Amarjit

That's covered in the User's Guide.

https://estima.com/docs/RATS 10 Users Guide.pdf#page=376

I don't know what the point of tiled windows is for forecasting---non-overlapping blocks can make some sense for testing (basically that's what a Chow test uses) and for bootstrapping with correlated data.

TomDoan wrote:
non-overlapping blocks can make some sense for testing (basically that's what a Chow test uses) and for bootstrapping with correlated data.

Thanks! Are there examples of the aforementioned?

Sorry, about what? The tiled windows? Block bootstrapping is done by drawing the shuffles generated with BOOT with the BLOCK and METHOD=NOOVERLAP options.

TomDoan wrote: Sorry, about what? The tiled windows?

I meant the Chow test and Block bootstrapping.

I have seen an example of the Chow test: https://estima.com/ratshelp/index.html?chowtestrpf.html

TomDoan wrote: Block bootstrapping is done by drawing the shuffles generated with BOOT with the BLOCK and METHOD=NOOVERLAP options.

Thanks.