The RATS Software Forum

Hello, I want to get the Impulse response function after running CATS analysis and export the model to RATS. I read all the forum threads under CATS but could not figure out how to do it. I worked on MONTEVECM.rpf as per the pointers but could not understand how to integrate extracted CATS model to ...

Hello,

I am interested in having only ‘R form’ graphs for Test of Beta = 'Known Beta' and others. How can I do it?

Thanks

Thank you so much for your detailed explanation.

Hello, I am trying to do causality test for VECM. Using VECMCAUSE.RPF as an example, let's say we have 5 variables: tb3mo tb6mo A B C after cointegration test I find 2 cointegrating vectors. following description in VECMCAUSE.RPF (1) I estimate cointegrating vectors z1 and z2 (2) I run linreg d3mo #...

Hello, I have a graph from recursively calculated trace statistics. Each line in the graph appears in a different color, but I am interested in having these lines in black dots or dashes instead of varying color. Please help me in finding an option in CATS which allow these changes 17Trace_R.RGF . T...

Hello, I am working on cointegration analysis and want to do some statistical test which allow me to choose the best option between various options for intercept and trend. Specifically, I am interested in doing G(r) statistic, something that was mentioned in “A closer look at the U.S. Housing Marke...

print / coeffs(2) %CONVERGED (2) %TSTATS(2)

I am getting error when I run above command.

How can I collect coeff (2), convergence result(1/0.1), and Significance for coeff (2) in three columns side by side?

May be my question was no precise, for the code given above and data set attached I am getting very different result for Rats ver 8.2 and ver 8.3. Am I missing some sort of patch etc.? When I run simple garch-m (no rolling) both versions (8.2 and 8.3) converge giving same result. For the same code a...

Problem 1 - I am also running a very big data program similar to above (on Rats 8.2ver). How can I collect coeff (2), convergence result(1/0.1), and Significance for coeff (2) in three columns. Problem 2 - When I run same code on Rats 8.3 version I get absolutely different results, many zeros, no co...

That works. Thanks

Hello, I am using code for rolling regression for GARCH given in user manual to estimate GARCH-M. Please see if I have done everything in correct way. I am getting the outputs and graphs. I have done following things: I have added %garchv to make it GARCH-M I have changed coeff (2) to (3), (3) to (4...

Hello, I want to run time varying VAR then do IRF, Variance Decomposition. So I run following code for my data but got no output clear open data UsableCAD.xls calendar(m) 2002:04 data(format=xls,org=obs) 2002:04 2011:03 table * *UNTO GSPTTRE TBILL3 TBOND SPREAD CPI US EURO TSX GDP * * * set RE = log...

Hello Tom,

This is a part of GARCHMV example. I have two questions
1) How to forecast actual (xjpn), actual series
2) When I run this code @MVGarchfore seems to run fine but when I give print command for hh or print us, I don't get any thing in out put.

Thanks, Tom.

Hi All,

Need some help for RADF. Anybody has code for RADF (Taylor and Peel -1998) or knows how to change ADF code to RADF?

Thanks