The RATS Software Forum

Dear Tom, Would be this a final, working code with frml instructions, hp parameter 6.25 for annual data. Could you please rerun the code and let me know what you think. Many thanks, Marinko * open data data1.xls calendar(a) 1800 data(format=xls, org=columns) 1800:1 2012:1 ytilde qtilde r a2 compute ...

To correct, I get smoothed Natural interest rate of 200 and more and I dont see why from the code.

Fondly,

Marinko

Dear Tom,

You are right about what reman should be from the code and the code is actually working but I get results for rmean much higher then the HP filtered version of the real interest rate.

Any idea what I am doing wrong in the code?

Marinko

Dear Tom, I followed your instruction, manually calculated a2 (rt-1-rmeant-1) to calculate sigma2 (square root of the residual variance from regression) from the equation 2.27 in the Colombian paper. Using the same equation I calculated sigma1 and from that sigma0 using sort(100)*sigma1 for annual d...

Dear Tom, How can I do that? I tried this way (using means) but I am getting ## MAT13. Store into Out-of-Range Matrix or Series Element Fondly, Marinko * open data data.xls calendar(a) 1800 data(format=xls, org=columns) 1800:12 2012:12 ytilde qtilde r compute a=||1.0,1.0,0.0|0.0,1.0,0.0|1.0,0.0,0.0|...

Dear Tom, Sorry, my mistake. I corrected the code and run it and after the DLM instruction I am getting DLM2. No Observations Produce Valid Output. Check Data and Initial Values Here is the corrected code. * open data data.xls calendar(a) 1800 data(format=xls, org=columns) 1800:12 2012:12 ytilde qti...

data.xls Dear Tom, I tried to change the code following your 1-5 steps, please check the code and if demands more changes let me know how to do it. I know this is not bivariate HP, in fact I am trying to estimate natural interest rate using IS curve equation as in the Colombian paper. I change the ...

Dear Tom, I am attaching the data file with the variable names the same as in the Colombia paper. I tried to rewrite the code following your instructions but still no luck to get it through and do the natural rate estimation with the IS equation as in the Colombian paper. Can you help me? data.xls o...

Dear Tom, I tried to write a piece of code that could replicate the Colombian paper, I use the same notation as in the paper, can you help me in building the code for the Colombian paper replication? open data nri.xls calendar (m) 1982:1 data (format=xls,org=columns) 1982:1 2009:1 90-day deposit ove...

Dear Tom, Would be possible to get the code (replication) for the Multivariate HP filter estimating Natural interest rate as in http://ideas.repec.org/p/col/000094/007667.html or http://www.rbnz.govt.nz/research_and_publications/discussion_papers/2004/dp04_01.pdf? I am looking for the Rats code to e...

Dear Tom,

Thanks for the help, regarding STVECM I mentioned in the previous post would be great to have a RATS program running in since no many program can.

Fondly,
Marinko

Hope this looks better

cal(a) 1800:1
open data lrcpi.xls
data(format=xls, org=column) 1800:1 2012:1 LR CPI
linreg LR / z
# constant CPI
set DLR = LR-LR{1}
set DCPI = CPI-CPI{1}
linreg DLR
# constant DCPI z{1}
@RegSTRTest(z{1} d=4)

Dear Tom, for the STVECM - test and estimation I have a reference and Gauss code here Vector Smooth Transition Regression Models for US GDP and the Composite index of Leading Indicators. In Journal of Forecasting, Vol. 23, No. 3, 2004, pp. 173-196 with the paper and the Gauss code http://www.um.es/e...

Dear Tom,

Will this do the work for STECM?

cal(a) 1800:1
open data lrcpi.xls
data(format=xls, org=column) 1800:1 2012:1 LR CPI
set y = LR - LR{1}
set y1= y{1}
linreg y1 1800:1 2012:1 z
# constant y{1 - 4} CPI{1-4}
@RegSTRTest(z d=1 to 6)

Dear Tom,

Any help on how could I do it also for STVECM not just for STECM?

Fondly,

Marinko