The RATS Software Forum

Hi, please, can someone help me out? i am evaluating the forecasting performance of state space model (local level) and Arima of a univariate series.. How do I use RATS to generate and graph the following statistics for both models (ARIMA & State space) for my forecast horizon 1. mean forecast e...

Hi Tom,
what could i have done without you? Thanks alot..
I will let you know the outcome of my estimation when i finish.
cheers

Hi Tom, Thanks alot.. You have really been of great help to me.. meanwhile, i just wanna clarify these from you. first, you said [Yes. With that setup, B0, B2 and B3 are included in the NONLIN].. how do i specify the initial guess values for these parameters? is it ok to use linreg to first get thei...

Hello Tom, Big thanks to you.. pls, i have two questions concerning the two specifications you gave.. first, using the quickest type as u said, where Y=Y-(B0+B2*X2+B3*Y{1}).. how would i handle the unknown parameters B0, B2 and B3 that have been included in the observable Y ? will they be included i...

Hello,
I am using state space techniques for the 1st time.. could somebody tell me the components of A, C, Y, when you have a model of this form where only one of the parameter is time variate
Y = B0+B1X1+B2X2+B3Yt-1+ et
B1t = B1,t-1 + Vt.
Thanks

Thank you very much

am sorry about that.. thanks for your prompt response..am grateful..

please, could you help me with the interpretation of this result? i am partcularly concerned about the high positive(183.76) value of the coff the test parameter. PERRON TEST FOR GROSS NATIONAL PRODUCT* @PERRON97(TRANS=NONE,MODEL=IO2,LAGMAX=12,SIGNIF=0.05,METHOD=STUD,TRIM=0.15) LGNI 1957:1 2008:4 --...

Hi, i am using the above named procedure to analyse some series. here is a sample output. TESTING THE NULL HYPOTHESIS OF A UNIT ROOT IN LINTRE * * Using data from 1957:01 to 2008:04 * * Choosing the optimal lag length for the ADF regression * * between 0 and 12 lags. * ******************************...

thanks Tom. got the gist.

hi tom, thanks for your response. i would try estimating the model using the crash model. moreso, i am considering using baiperron procedure : @BaiPerron( options ) depvar start end # list of regressors cosidering the fact that am considering a structural change in a univariate model, what are the r...

Hi, i am currentlu using Lee and strazicich unit root test of structural breaks. i am not convince of the result of the analysis. i specified lags=12 and the output is pasted below: Lee-Strazicich Unit Root Test, Series LBENGDP Regression Run From 1973:01 to 2007:01 Observations 35 Trend Break Model...