The RATS Software Forum

I'll do so as soon as I finished the paper. My source is working, but it's not optimized, yet.

Thanks a lot! Works perfectly. I figured something like that would work, but I forgot to put the (t) behind the logl.

Anyways, thank you for the quick reply!

Hello everyone, I encountered a small problem while writing the Likelihood Ratio Test under nonstandard conditions as outlined by Hansen (1992) (http://ideas.repec.org/a/jae/japmet/v7y1992isps61-82.html). I want to test whether I need n or n+1 states in my Markov chain. As might be well-known, the c...

Thanks a lot for the quick reply, Tom!

Hello everyone, I'm currently conducting a research on asymmetric influences Fama & French factors in dependence on the prevailing stock market regime. More precisely, I'm using a MSregression EM-setup to estimate the influence of the Fama & French 3-factor model on the S&P 500, EWRETD, ...