The RATS Software Forum

Hi Tom, Quick question. This works great for homoscedastic standard errors. See below: Linear Regression - Estimation by Least Squares Dependent Variable SLOPE Daily(5) Data From 1999:01:04 To 2012:02:29 Usable Observations 107 Degrees of Freedom 106 Skipped/Missing (from 3433) 3326 Centered R^2 -0....

Hi Tom, The problem I was encountering with the breakdate selection was due to a missing value I had in my data set. To make the apbreaktest program robust to this I replaced: set wstat(i) piStart piEnd = 0.0 set rss(i) piStart piEnd = 0.0 with: set wstat(i) piStart piEnd = %na set rss(i) piStart pi...

Hi Tom, I have a question about the output of @APBREAKTEST. I noticed that in some applications the %%breakpoint doesn’t align with the maximum of the breakpoint test statistic. However, in other applications the two align. In the detailed description of @APBREAKTEST, %%breakpoint is described as “E...

Hi Tom, When I look at the smoothed state estimates from this code they look quite reasonable; however, the filtered output is incredibly volatile for the first few quarters of the sample before settling down. Is this a problem unique to this model (For example, from what I understand, Laubach and W...

Thanks for the reply Tom. Yes, I understand how they use the AP and AQ test statistics to generate point estimates of lambda via interpolation from Table 3 , but i thought they were also generating the confidence intervals for lambda using critical values or p-values from the AP and AQ test statisti...

Sorry Tom, I would like to generate critical values for the test statistics. I believe these are used to calculate confidence intervals for the median unbiased estimators (lambdas). Sorry for mixing the language across these steps (the AP & AQ test statistics become estimators via Stock and Wats...

Hi Tom, I noticed that APBreakTest and RegHBreak don't produce critical values for the AP and AQ break test statistics, only p-values. I tried to remedy this by editing RegHBreak to produce critical values (renamed to RegHBreakCV) as an output of the bootstrapping process. * * @RegHBreakCV( options ...

Hi Tom, I have a question about this replication and the method used in the paper. After reading the paper it seems the sequential estimation used in this paper is necessary to pin-down values of lamg and lamz. The first stage for example estimates a simple model of potential GDP assuming trend grow...

Hi Tom, Thanks for the fast reply. Here is what I have now: CALENDAR(Q) 1959:1 DATA(FORMAT=XLSX,ORG=COLUMNS) 1959:01 2001:01 rulc labor_share hpog gdpdefinfl pcomminfl hrcompinfl termspread $ gs3m fed_funds $$ compute alpha_k = 1.0/3.0 compute theta = 11 compute tau = (1-alpha_k)/(1+alpha_k*(theta-1...

Hi, I am trying to replicate the GMM estimates of Ravenna and Walsh, 2006 JME, "Optimal monetary policy with the cost channel." I am not able to exactly replicate their results (which could be partly due to data differences including gdp revisions and so on). But one aspect I think may be ...

Tom, Thanks so much for the quick reply. For some reason when I read that section in the User's Guide I interpreted it as saying optimalweights used White's only and the lwindow and lags option only corrected the final covariance matrix and didn't actually use it in the estimation of the parameters....

If I understand optimalweights correctly, it estimates the GMM estimator for Heteroskedasticity of the unknown form (i.e. it uses White's consistent estimator). What if I want to use GMM estimation and I have serial correlation of the unknown form? Can I use optimalweights and replace White's estima...

Tom, Thanks for your quick reply. If I understand you correctly the overall model may be stationary without each individual branch remaining stationary (which certainly seems to be true in my case). If this is the case, then is it still valid to analyze both branches individually (i.e. look at each ...

Hello, I am somewhat new to estimating threshold VARs but I am having a strange problem. Any insight or suggestion is appreciated. I have a simple 4 variable VAR (ordered: log difference of real GDP, log difference CPI, fed funds rate, credit market variable) all data is monthly from 1980:01 to 2011...

Hello, Does anyone have the underlying code for the IMPULSE() instruction? I am wanting to compute regime dependent impulse response functions from a MSVAR. Therefore, I can't use the IMPULSE() instruction since I must reference a MODEL=varmodel. I want to tell it which coefficient matrix and which ...