The RATS Software Forum

mmmhhh... Guess you're right. Thanks a lot!

Thank you, Tom. I need the covariance matrix for a portfolio optimization with a three months holding period. Since I am working with weekly data, EstCovMat(262) will give me an estimation for the coming week, but probably not a good estimator for the coming quarter.

I have weekly time series with 261 observations and I am interested in the predicted covariance matrix for the coming three months. The code looks essentially as follows: GARCH(NOPRINT,P=1,Q=1,HMATRICES=EstCovMat,RVECTORS=EstResid) / EUR USA JAP UKI * SOURCE mvgarchfore.src @MVGARCHFORE(STEPS=13) Es...

I am estimating a system of equations, once with instruments (GMM with optimal weighting matrix), once without them (non-linear system with a diagonal weighting matrix). However, I get precisely the same results. Here's the code INSTR CONSTANT VIX{1} US_SLOPE{1} EU_SLOPE{1} CN_SLOPE{1} UK_SLOPE{1} S...

I have a system with two free parameters and six equations. The system thus is over-identified. When I run the code in RATS using NLSYSTEM, it tells me that it is done by 'Non-Linear System Estimation'. In my understanding, this simply means that the weighting matrix is an identity matrix. Now, if a...

Thank you. Do I get that right that in your example the equivalent of the one-sided HP filter results is to be found in the first entry of the series hpstates (series of vectors)? What is the second entry? It's non-zero. Thanks again.

I am struggeling with the end-point problem of the Hodrick-Prescott filter. Using a strictly one-sided HP filter seems to be a solution. Is there an easy way to implement this in the FILTER instruction? Any other suggestions to deal with the problem?
Thank you.

Hello, I am an unfrequent user of RATS and therefore may be asking a stupid question. Anyway. What I am trying to do is to extract the principal components of a set of time series and then rotate them to simplify the interpretation. As I understand it, the two procedures princomp and varimax are to ...