The RATS Software Forum

Exactly! Thank you very much Tom!

Hi Tom, I know I can use "dettrend=" option in the procedure @cats(options) to include a constant or a time trend in a cointegration model. But what should I do if I need to include a deterministic dummy variable with "1" for some specific days and "0" for others? I sea...

Thanks, Tom! I will do that!

Have a good night,
Xin

Hi Tom, Thanks again for your replies! I understand your concern for prices now. I thought about this problem too, but since the magnitude of the prices are not big so I thought this might not be a problem. I also was wanting to use the dummy variable but my professor said it was a crude way to dete...

Hi Tom, Thanks for your quick response! I don't quite understand your concern about the nominal prices. Exactly, the two prices are only nominal terms in the model. Are there any problems with linear and quadratic prices in one equation? I understand your concern on the negative sale. The model is d...

Dear Tom, As you suggested, I set "subformulas" and cleaned up the calculation. And before run the estimation, I first calculate the moment conditions to see if they are computable. Then I do the estimation with the initial values when the function values seem computable. The nonlinear GMM...

Hi Tom,

Thank you so much for your quick response! I highly appreciate your help. I will do as you suggested.

Have a good evening,
Xin

Dear Tom, Thank you very much for your reply! I tried to use "robusterrors" in stead of "zudep" as suggested on UG-139, however, I still could not get estimation results. As suggested on UG-152, "almost all problems are due to "bad" initial guess values". So I...

Hi Tom, I am using the NLSYSTEM instruction to estimate a system of nonlinear moment conditions. However, I could not get converged estimates, or converge but does not make sense and zero standard errors, or got error messages like "subiterations limit exceeded". I read through chapter 4 o...

Dear Tom,

Thank you so much for your quick response! I changed the scales of some of the variables, and I got results.

Have a nice day!
Yingzi

Dear Tom, I need your help with my GMM estimation of a nonlinear rational expectation model. The paper that talks about this estimation method is Hansen & Singleton (1982). I am so glad to find the example in RATS User's Guide page 137. I followed the steps there. However, I could not have any r...

Dear Tom, Thank you so much for your last reply! I followed your suggestion and got the estimates. Now I have two more questions: 1. After using CATS to estimate the error correction part, I exported the model as a VAR and then used "impulse(model=catsmodel,steps=20,results=impulses)" tryi...

Tom, thank you very much for your reply!

Dear Tom, I’ve looked through the existing questions in this section, and I read the GARCH part in the RATS 8.2 user’s guide and the reference manual, but I still cannot solve my problem. I raise it here and I appreciate very much if you could help me. I need to test for the first-order and second-o...