Version 5.0 Manual Errata
A few typos found their way into the heavily revamped Version 5 RATS manuals. We’d like to note a couple of important corrections here. These errors are still present in the printed documentation currently being shipped, but have been corrected in the Adobe PDF versions of the manuals.
Corrected with 5.02 Release (PDF files only)
The following mistakes were corrected in the PDF versions of the documentation as of the release of 5.02:
- Impulse Response Example
The labels supplied for the IMPLABEL variable in the IMPULSES.PRG example (User's Guide, page 303) were incorrect (a holdover from an earlier version of the example). These were corrected in the copy of IMPULSES.PRG included with RATS 5.02.
- GARCH Model Variance Forecasts
With respect to the discussion of computing variance forecasts for GARCH models on pages 350-351 of the User's Guide, we would generally recommend adding a FIRST option to the SET instruction to properly compute the first step. For example:
set(first=vc+va*h(gend)+vb*u(gend)**2) h gend+1 gend+fore = vc+(va+vb)*h{1}
- Taking draws from t-distribution
The formula for t-distributions, as shown on page 386 of the User's Guide, should read:
ewise draws(i) = %ran(1.0)/sqrt(%rangamma(.5*nu)/(.5*nu))
- DLM Example Needs SCALE option
In the DLM example on page 78 of the Reference Manual, the DLM command should include the option SCALE.
Corrected with 5.01 Release (PDF files only)
The following mistakes were corrected in the PDF versions of the documentation as of the release of 5.01:
- Blanchard–Quah Examples
The BQ decomposition examples on pages 296-7 in the User’s Guide are missing a transpose function. Rather than:
compute bqfactor=%varlagsums*%decomp(%mqform(%sigma,inv(%varlagsums)))
the code on page 296 should read:
compute bqfactor=%varlagsums*%decomp(%mqform(%sigma,tr(inv(%varlagsums))))
- Multivariate AIC and BIC Formulas
The formulas for the Akaike and Bayesian Information Criteria shown on page 289 (and in the VARLAG.PRG example file), are incorrect—the first term should be –1.0, rather than –0.5. If you prefer, you can also write the formulas such that the favored model is indicated by the minimum value, rather than the maximum value, as shown below:
compute bic = $
%nobs*%logdet + 5*(5*lags+1)*log(%nobs)
compute aic = %nobs*%logdet + 5*(5*lags+1)*2
- Fat Tails for GARCH
The sample likelihood function on page 352 of the User’s Guide is missing a parenthesis. It should read:
frml logl = (h(t)=hf(t)),(u(t)=resid(t)), $
log(%tdensity(u/sqrt(h),vd))-.5*log(h)
- Hamilton Switching Model
The HAMILTON.PRG example program should include a preliminary MAXIMIZE instruction using several iterations of SIMPLEX before switching to the BFGS estimation. See the updated Hamilton example discussed elsewhere on this page for an even better solution.
- %STDERRS Reserved Variable
Page 198 of the Reference Manual incorrectly identifies the variable holding the standard errors of the coefficients as %STDERRORS. The correct name is %STDERRS.
- NOSPREAD Is Default for PSTATS
The default setting for the SPREAD option on the PSTATS instruction is not specified on page 272 of the Reference Manual. The default is NOSPREAD.
