The RATS Software Forum

Thanks, my regressions are rolling properly. The new results were being added to the prior results. which looked like the window was increasing. I fixed that myself.

Marty

I'm working on a similar rolling MGARCH regression but I am now using observation numbers in place of dates because I have too many missing values. My problem is that the window is not moving, the start date is the same in all my regressions. My goal is to run 1-year (width=250) regressions every si...

Yes, I'm trying to create a series of conditional covariances of all four variables.

I added the space and got:

## SX22. Expected Type SERIES[REAL], Got RECTANGULAR[REAL] Instead
>>>>set COV4 <<<<

Do I need a different operator to multiply a constant by a series?

Tom, I was headed in the wrong direction, I don need to use SSTAT, I need to calculate the covariance at each observation. My formula is as follows: set COV4=(%beta(1))*(%beta(3))*ht0(2,4)+(%beta(1))*(%beta(4))*ht0(2,3)+(%beta(2))*(%beta(3))*ht0(1,4)+(%beta(2))*(%beta(4))*ht0(1,3) $ +(%beta(1)))*(sp...

Thanks for your help. I will have to think about whether I need to adjust the mean for the lost observation. My final calculation is as follows: set OHR = COV4 / (ht0(2,4)) dis " OHR = " OHR I get this OHR = DISPLAY cannot show SERIES[REAL] It doesn't like me dividing the covariance that I...

I have the following code that I am using to create rolling MGARCH regressions, I need to calculate the covariance for the four variables each time through. My SSTAT equation returns "NA". Any help will be appreciated. My code is below. compute width=1305 do begin=2001:01,2002:01,22 * lin(...