The RATS Software Forum

Dear Tom, I have used the following sytax for the Markov switching systems regression, after importing the data. However, I got no error message but also no output for the regression. What additional information should I input in this case? @MSSysRegression( states=1, switch=c, nfix=0 ) # y1 y2 # co...

Many thanks Tom, I will try this code.

Here is my code. Could you please show me how to add % loggeddensity in this code? OPEN DATA "V:\Chapter2\futures.xls" DATA(FORMAT=XLS,ORG=COLUMNS) 1 1687 futures Rf set Y = Rf COMPUTE GSTART=4, GEND=1687 DECLARE SERIES U ;* Residuals DECLARE SERIES H ;* Variances set U = 0.0 ; set H = 1.0...

Dear Tom,

I am trying to use Maximize function to estimate some sepecial forms of GARCH models. I would like to change the distribution from Normal to t distribution or GED, do you know how to change distrubtions in Maximize function? Thank you very much in advance!

Best Regards,

Yukun