The RATS Software Forum

Hi, does any one have an example of simulated forecast paths (using monte carlo methods) of a variable from a vector error correction model?

Thank you.

Dear Sir, I was attempting to derive quarterly interpolated data for housing stock from a time series of annual data. As it is stock data that I am using, I wish to have the final quarter of each year equal to the value from the annual data (end-year) observation, so I presume that under options MAI...

Thanks Tom

Hi, I'm trying to implement the ARDL/bounds testing methodology of Pesaran, Shin & Smith (2001) and was trying to retrieve the inverse roots of the characteristic equation from the unrestricted ECMs. Does anyone have an example of the commands/code I should use, please? Thanks.

You are probably aware of this, but in case you aren't ... all filters like this have serious problems near the edges of the data. The standard procedure to help minimize this is to augment the data with a forecast. (For example, see Ashley and Verbrugge, Econometric Reviews 2009). In quarterly dat...

Hi, does any one have an example of a one-sided Hodrick-Prescott filter for the purpose of calculating gaps/deviations from trend (e.g., credit to GDP ratio)? Thanks.

Hi Tom, Thank you for the suggestions. I have re-worked the model with the same variables (but using log levels as you suggest to facilitate conditional growth forecasts in the variables). The conditional forecasts that I need to use (over the period 2015 to 2018) are for growth in the equity market...

Hello, I was trying to compute conditional forecasts using a VAR model (p.241). The RATS (v.8) User Guide example 7.6 contains an example of conditional forecasting with a VAR model (see below). This example assumes a 5% annual growth rate in GDP. It is compute fstart=2007:1,fend=2009:4 @condition(m...

Hi, does anyone have a code for estimating the marginal effects in a tobit model and the various specification tests covered in Greene's textbook treatment of tobit models? Thanks.

Hi, does RATS run two-sided tobit analysis, e.g., censored at 0 (lower) and 1 (upper)? I note from the wizard for limited/qualitative dependent variables that there is an upper and a lower limit for censored (tobit) - is this the same thing? Thanks in advance.