The RATS Software Forum

The Bai-Perron procedure prints out the breaks as follows: Breakpoint Lower 95% Upper 95% 664 569 666 853 852 887 1226 1222 1227 1278 1276 1281 I am not using "Calendar" and the dates corresponding to the break are in another variable "week" which is in the main program. How can ...

Suppose the exogenous variables enter the log variances in the z's. Is there any way to obtain the separate coefficients of the exogenous variables and the t statistics for these coefficients?

With regard to the multivariate stochastic volatility program, which I am applying to a 2 variable model, I have two questions. 1) Can I incorporate two exogenous variables in the equations for the stochastic volatilities of the two variables? The coefficients of the exogenous variables also have to...

The ind1 and ind2 are variables with different values for different t. The first set of dummies are db1, 1 to 7, to account for structural breaks in the conditional volatility of dlogp. The second set of dummies are db2, 1 through 17, to account for structural breaks in the conditional volatility of...

Hi Tom: I basically modified VEGARCH.RPF and thought based on the following from VEGARCH.RPF and previous posts in this thread that the message on nonconvergence is just a warning. "* The model actually converges properly, though the diagnostics don't * indicate that. If you have RATS 8.1 or la...

Thanks. I was able to add in the two exogenous variables to the conditional volatility equations and estimate the results. I am also using dummy variables to account for structural breaks as in Mensi et al (2015). The results seem ok as follows: MAXIMIZE - Estimation by BFGS NO CONVERGENCE IN 36 ITE...

Here is the code with your corrections incorporated. I would like to know how to change the code so as to incorporate additional exogenous variables ex1 and ex2 in the equations for conditional volatility. The coefficients of these variables and their statistical significance also need to be establi...

Thanks, Tom.

I would like to constrain xstates(t) (1) and xstates(t) (2) to be positive, but would not like to constrain xstates (t) (3). I think the following code is in error, since I seem to have constrained xstates (t) (3) to equal 0. I would like to know what to change so that xstates (t) (3) is unconstrain...

I would like to know if there is any procedure available which deals with estimation of a state space model when the measurement equation contains endogenous regressors. I note that there is a paper by Chang-Jin Kim, "Time-varying parameter models with endogenous regressors", Economics Let...

What if the measurement equation (2) in DLM has zero errors, that is V sub t = 0?
Can DLM be used to estimate a state space model?
Thanks.

Thanks, Tom.

Hello:
I would like to know if there is any procedure or textbook example in RATS for conducting a panel data estimation when there is an omitted variable which is time-varying.
Thanks.

Hi Tom:
I also conducted the regression using the Bai-Perron procedure and found that there are breaks.
However, I would like to correct for heteroscedasticity and autocorrelation.
Perhaps I could make a change to the procedure in the linreg statement and add "robust" as an option.

I am working on a linear regression with two independent variables. 1) One of the two regressors is trend stationary after taking into account one breakpoint by applying the Zivot-Andrews test. 2) I considered applying the Bai-Perron procedure to estimate the regression. 3) Bai and Perron in "C...