The RATS Software Forum

Hi to all,
I have a question related to the variance of the BEKK(1,1) model which is:
Ht=CC'+Aεt-1ε't-1A'+BHt-1B'
So my question is: what is the treatment of Ht?
In other words how RATS defines (treats) H0 and H1 and so Ht-1 and finaly Ht?
Thank you in advance
Best Regards
Anthony

Greetings everyone, I would like to ask you suggestions regarding the estimation of the Mean Model of a GARCH process. I have estimated an Asymmetric Markov Switching Vector Error Correction model in an effort to investigate the price mechanism of fresh tomato. And, now, I would like to use this mod...

Ok, Tom. I corrected this. I added two supplementary cards in the FORECAST command for my equations. Now, the code runs but it doesn’t produce any results (NAs). I think the problem is at the endogenous as well as at the exogenous variables. For the endogenous variables, I think that the problem lie...

I see your point Tom. This I should have figure it out myself. Sorry.

Any suggestions for the code of the impulse responses?

Dear Tom, Hello! I would like, once more, to ask for your advice regarding residuals and impulse responses. Regarding residuals, I would like to thank you, for your help and your suggestions on the autocorrelation test. However, I would like to ask you, since the residuals of a switching model canno...

The only direct reference of the main program to the MVJB test, that I can find, is this. I attach you the file.

From what I understand it uses the residulas from all equations from all states to calculate the multivariate Jarcque-Bera statistic. I attach you the code to have a look.

Dear Tom, I would like to thank you for your help so far. However, I would like to come back to my two original questions about residuals and impulse responses. Regarding impulse responses, after I followed your last post, I managed to run them for the models that I attached you, by using impulse co...

Dear Tom, Further in our discussion, I used the code of Impulse Response Functions of eev_mcmc for retrieving the IRF from Maximum Likelihood and Expectations Maximization procedures. However, the program does not give the graphs. I just get the IRF tables by selecting print in the command impulse(p...

Thanks for the information that the Regime-dependent IRF's are demonstrated in Ehrmann, Ellison and Valla. However, Ehrmann, Ellison and Valla use MCMC Estimation but I would like to use either ML Estimation or EM Estimation. Is there any suggestion. Thanks in advance.
Anthony

I mean 'regime dependent residuals'.
I need them in orfer to test the goodness of fit of the MS model.
I cannot find, in RATS, any procedure (for MS models) of providing
tests for autocorrelation, normality, heteroskedasticity etc.
Do you have any suggestion.
Thanks

Dear all,
I am a new user of RATS. I would like to obtain (save or print) the residual series from the MS system regression program I am attaching (ML estimation). Furthrmore, I need some help of obtaining the impulse response functions.
Thanks in advance
Anthony