The RATS Software Forum

unfortunately i am here for a new question :( when i would like to apply the same model to 2 subsamples (i created 2 new excel and rats files), i got the convergence in the first iteration and almost all parameters are 0. i have not got this problem for the entire sample and i still have a lot of ob...

thank you so much Tom, it worked perfectly

now i should focus on how to decline LB and MV ARCH test statistics to have a better model. after that, i would be ready to conclude my thesis.

thank you very much again, take it easy

thanks Tom, but i still have a problem with this. do you think that the reason is version 7 of RATS? { residual is the data in the form of series[vector]. it is the series of 3 resids of the MV GARCH model } { theta is the new name of residual in the form of vector[series] } declare vector[series] t...

i still have 1 more question, i would be glad if you can help me. :) to apply MVJB test, i need the covariance matrix of the residuals. these are the residuals of the multivariate GARCH and they are in the form of series[vector]. i have to convert them into vector[series] to apply the test. how is t...

thanks a lot, Tom & Tom

i have one final question. i would like to add some exogenous variable into VAR GARCH BEKK model. is there any easy direct way of inserting these exogenous variables in the form of X'X to protect covariance stantionarity while using GARCH instruction?

unfortunately, i still have a problem with MVJB test. :( i have to use the option of sigma or factor. but when i insert them, the error messages occur. :( @MVJB(factor=rectangular) resvar 2004:01:07 2011:12:30 ## SX11. Identifier RECTANGULAR is Not Recognizable. Incorrect Option Field or Parameter O...

hej Tom, i still have some problems for these two tests. :( for MVARCHTest: @MVARCHTest(lags=5) 2004:01:07 2011:12:30 ## SX9. REPORT is not a Basic Data Type >>>>local report <<<< # resvar(1) resvar(2) resvar(3) for MVJB: @MVJB resvar(1) resvar(2) resvar(3) 2004:01:07 2011:12:30 ## OP3. This Instruc...

when i apply the code for the archtest, there is an error: @ARCHTest(lags=5, dfc=1) r1 r2 r3 2004:01:07 2011:12:30 ## SR10. Missing Values And/Or SMPL Options Leave No Usable Data Points The Error Occurred At Location 0700 of ARCHTEST Line 44 of ARCHTEST but i checked all my data and there is defini...