The RATS Software Forum

Thanks for the swift reply. Just a short follow-up: Is there any procedure in RATS to do automatic bandwidth selection?

Dear Tom, sorry to bother you, but I have read this topic a few times now and I am still a little bit confused... Let's assume I want to estimate the long-run (HAC robust) covariance matrix of the residuals from a VAR model (I am only interested in the residuals' (co)variance, not in the standard er...

Hello Tom, another quick question: How does RATS handle the starting values for the coefficients if I use the GARCH instruction for a multivariate model (with mean equations specified using "group"), but without the "initial=" option. Does it somehow generate its own starting / g...

Ok, thanks. I will have a closer look at it.

Hello Tom, I was wondering if one could estimate a multivariate GARCH-in-mean model such as Elder and Serletis (2010) or Rahman and Serletis (2012) with Bayesian methods (and with more than two variables). i) If so, what would be a good starting point to learn it, if you have only very basic knowled...