The RATS Software Forum

Hi I am looking for codes regarding an unobserved components model, specifically, codes regarding "An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data" by Wada and Perron (2005) thanks for your h...

Hello to all I am looking for a procedure for multivariate state-space models I am using this reference Carvalho, V., Harvey, A., & Trimbur, T. (2007). A note on common cycles, common trends, and convergence. Journal of Business & Economic Statistics, 25(1), 12-20. Suggestions are welcome Th...

Hi Tom Do you know the instructions for a Full Information Maximum Likelihood? I'd like to run a VECM including short-run restrictions (common cycle restrictions) (Vahid and Engle (1993)). You may find the algebra on https://books.google.com/books?id=4URTD4C4rsgC&pg=PA314&lpg=PA314&dq=co...

Specifically, it is Issler and Vahid (2001) "Common cycles and the importance of transitory shocks to macroeconomic aggregates" JME. Extending King, R.G., Plosser, C.I., Stock, J.H., Watson, M.W., 1991. Stochastic trends and economic fluctuations, they include common-trend and common-cycle...

Tom, thanks for your suggestion Now, I am trying to figure out the algebra of the following statement "For the one-quarter horizon, trend innovations are the first differences of the common trend, while cyclical innovations are the residuals obtained by regressing cycles on the right-hand side ...

Dear all I am looking for a VECM model code, including long- and short-run restrictions to find the role of permanent and temporary shocks in macro time series. My reference is Issler and Vahid (2001) https://www.sciencedirect.com/science/article/abs/pii/S0304393201000526 ( https://econpapers.repec....