The RATS Software Forum

Hi Tom,

Is there any inclusion using modified PP tests as the paper indicated? How do you incorporate it? Thanks again.

Des

Dear Sir, I am building an assymteric BEKK model with the following. I would like to have the probability of negative residuals using the following codes below. The following paper: Trading with asymmetric volaility spillovers by angel pardo & hipolit torro adapted a porbability of 0.5. Their pa...

Hi Sir, I had managed to set up the impulse response functions for my TVP-VAR models. I would like to set up the volatility impulse response functions by Panopoulou & Pantelidis (2005) and Hafner & Herwartz (2006) but can't find these commands in the user's guide. There had been a number of ...

Hi Sir, In my case, I had fixed coefficients with the usage of mu command in DLM as well as drifitng coefficients (xstates). linreg(define=ceqn,noprint) wtic 1997:11:28 2011:6:24 a1 # trend1 WTIC{4} bsbc{1} linreg(define=ceqn1,noprint) BSBC 1997:11:28 2011:6:24 a1 # wtic{1 2 3 4} dlm(mu=||break1+BRE...

Dear Sir, If i am to use vstates i.e. variances of the states, and expand my model to become a 8x2 matrix and subequently use them as %xx in the calculation of monte carlo draw for IRF, will it cause any problems? I turned it into a 8x2 matrix as 6 out of 8 of the cofficients are drifting, is it pos...

Dear Sir, I had managed to define the drifting coefficients, as I had asked in my previous post. I had a new question, so I just started a new topic. Apologies if I had started too many topics. I set up the below, as indicated in my previous post. My question is how do I derive the %xx for my coeffi...

Dear Sir, I am trying to extract coefficients from the DLM model, which includes both drfiting and fixed coefficients. i set up the below, and use b(i) to extract the xstates and the fixed coefficients. I then create a group with these equations consisting of all these coefficients, re-pegging the v...

Hi Sir, I thought it was zistarsq=zistar^2 rather than zistarsq+=zistar^2 which according to the user's guide meant (Increment and assign (a += b same as “a= a+b”)). Just to confirm that the formula is right. Incidentally, the latter produces results whereas no results were produced by the former. W...

Dear Sir, Thank you for your kind reply. I would like to clarify about the updated %logmvskewt command. Is the highlighted correct with addition of a +? The formula works with a + but do not converge without it. function %logmvskewt z xi nu type real %logmvskewt nu type vector z xi local integer i k...

Dear all, I am facing problems trying to use %logmvskewt and i had read the article by Luc Bauwens and Sebastien Laurent for many times and tried numerous ways to solve it for many days but still failed. Can anyone guide me as to how I can solve it? i always get this command,"## SR10. Missing V...

Dear Sir, I am estimating a multivariate GARCH model, utilizing yr code from garchmvmax.rpf. I had earlier estimated a DLM model, whose residuals (vhat) are used i.e. hbv1 and hbv2. the lsigsqv is adopted directly from the covariance matrix in sv. i attempted to retreive the covariance from svhat bu...

Dear Sir, I am trying to utilize the "Replication file for Harvey, Ruiz and Shephard(1994), "Multivariate Stochastic Variance Models", Review of Economic Studies, vol 61, no." I tested by inserting my numbers for a 3-variable model into the program u provided. I changed the dimen...

Dear all, I have set up the following but really don't know how to get the impulse response. I tried using the @DLMirf, using unknown variables phi1 but dont know whether it is correct? The graphs were all flat at 0.5 or 1.0, if i am to use these values in the matrices. i want to do something where ...

HI Tom, I would like to seek your advice. I have built a time varying VAR model as follows: linreg wtic # constant trend bsbc{1 to 4} hh{1 to 4} wtic{1 to 4} do you think it is better not to include current regressors at time t i.e. linreg wtic # constant trend bsbc{0 to 4} hh{0 to 4} wtic{1 to 4} h...

Hi Tom, I have used the engle-granger 2 step to get the residuals, test residuals for stationarity, then use the residuals to create a VECM. How do I create the IRF and decomposition takign into consideration that the ECM (T-1) also influence the dependent var? i tried using the impulse function but...