The RATS Software Forum

In the following SUR: system(model=varmodel) variables dinv dinc dcons lags 1 2 det constant end(system) estimate(sigma,resids=resids) sur(model=varmodel,robust) If each equation uses different different indep var: e.g., dinv = constant dinv(-1) dinc = constant dinc(-1) dcons = constant dcons(-1) Ho...

How about using MA(k) errors? Same problem?

If one of the regressors is lagged y, y(t-1), is it still OK? Thanks.

I want to estimate a linear equation by GLS with AR(k) errors:
y(t) = a + b x(t) + e(t),
where e(t) is an AR(k) series

Are there program codes available? Thanks.

Can you provide the codes to get the forecast error series and the conditional variance of forecast error in your program, kimnp044.rpf?
Thanks.