The RATS Software Forum

Hi Tom, yes it is working fine now.
Thanks.

Hi Tom, Yes, I did tried this before with putting the function outside the loop but it seems like the function is not standalone, as this error appears "## SX11. Identifier B01 is Not Recognizable. Incorrect Option Field or Parameter Order? >>>> compute hh1=b01+b<<<<".

Hi, I did some mistake in the program, after the correction, it doesn't work anymore. OPEN DATA "data.txt" CALENDAR(M) 1990 DATA(FORMAT=PRN,ORG=COLUMNS) 1990:01 2008:12 SATN TMIL APMA AUHS AUVE BSAI RP SMB HML * * * source markov.src compute nstates=2 * dec rect p(nstates-1,nstates) * dec ...

Thanks Tom. I got the program working now. However, I do not know how to use the set instructions, thus I follow Enders' manual and do "scratch" (to create the H series) and use "dofor y= satn tmil apma auhs..." (for looping).

Anyway thanks again.

Hi Tom, Yes. It is just the changing of the dependent variable. As for the residuals, each dependent variable will have one series of residuals so (eg: 6 dependent variables = 6 columns of residuals). As this is the first time to use RATS, I have no idea on how RATS could identify the first valid an...

Hi, I would like to implement the Gray's (1996) generalized regime switching GARCH model. I have tested with a sample series by changing the original codes to suit my data, it runs ok. However, I would like to run thousand of series using the same procedure to get the variance residuals (H) for each...