The RATS Software Forum

Hello, I would like to estimate a bivariate BEKK-model with an included dummy variable (D) in order to model shift contagion from market 2 to market 1 (see the model in the attachment). I am only little familiar with programming in Rats, but I have read the code of the exchange rate example that use...

I have problems with using the cluster option of MAXIMIZE. I use MAXIMIZE for the estimation a nonlinear equation (GARCH-M) for panel data, and I want to compute clustered standard errors. Clustering on individuals is no problem, as the option LWINDOW=PANEL works fine. However, I would like to do th...