The RATS Software Forum

Hi Tom, Could I know the probability of variance regimes in each date point? I read a working paper written by Dr. James Hamilton. He also posted his RATs procedures, one of which shows "full sample smoother probabilities". So I am wondering whether I could export the probabilities too. Th...

Hi Tom,
Sorry not to make my question clear.. I want to select the data points where the probability of the high state is >.5...Could you help me fix the problem please?
Thanks

Regards

Hi Tom, I tried to set p2>0.5 to select the dates with high volatility but the same results showed as before. I attached the code below. Could you please give me some hints on how i should fix the problem and how i can select the dates with high volatility out. Thanks very much Regards cal(d) 1995:0...

Hi Tom,
I am wondering whether it is possible to pick up the dates with over 0.5 probability if i set up 0.5 as the standard to differentiate high volatility from low volatility..I am looking forward to your reply..Thanks very much

Hi Tom, Thanks very much for your code. It works and I got the graph with high volatility state and low volatility state. But I have to obtain the exact dates of each state to perform the future analysis . For example, when does that high volatility state begin and when does it end? Can I get like a...

Hi Tom, I got rid of the textbook header but the errors still occurred. I attached my codes below. Please give me a hint on how to solve the problem. Thanks very much. Regards cal(d) 1995:01:03 open data "crude_oil.xls" data(format=xls,org=cols) 1995:01:03 2011:12:30 return sample(smpl=%va...

Hi Tom, I revised the code according to your suggestion but the same error still occurred. I attached my code below and uploaded my dataset in the attachment. How can i solve the problem? I didn't do the two states model because this three states one didn't work out yet. Thanks very much. I am looki...

Hello Tom: I used return instead of price to run the codes again but the same errors occurred as well. Also, i deleted all the missing values. I attached my codes below. Could you check it for me please? Also, I would like to estimate a two states variance regime switching model rather than three st...

Hi Tom, Thanks for your reply. Basically, I want to estimate a two state variance regime switching model, one state with high volatility in crude oil prices and the other one with low volatility in crude oil prices. The whole program is posted below but some errors occurred. I refered to a RAT textb...

Hello Tom: when I run the three state variance regime switching model according to your code from textbook about structure break and switching models, there are some errors shown below. First of all, I found that sample mean is zero, I don't know what happened. Statistics on Series PRICE Daily(5) Da...

Hello Tom:

I have solved the problem. I made one mistake previously.

Feiyu

Hello Tom: Now I have got all the results by means of the code you help me figure out. Thanks again. However, when I am analyzing the model, I still need to know which state of two states in my model is recession or expansion period. In the code, you use p(1.1) and p(1.2), I am not sure if I can mod...

Dear Tom: I am not sure if you have seen my posts. For these days, I have been trying my best to solve the problems concerning markov switching linear model with time vary transition probability. Under your help, I have firstly addressed the issue about fixed transition probability. However, to meet...

Hello Tom:

Could you please help me figure it out in the previous reply?

Appreciate you very much for your help and patience and understanding. Look forward to your reply soon.Thanks again.

Sincerely,
Feiyu

Hello Tom: Now I am writing code for time-varying multivariate linear regression without no lag coefficients. The code is post as follows, but the mistake occurred in the bottom line. Just what I mentioned in the previous reply, I still didn't understand how to apply @msversteup (nonlin(parmset=comm...