The RATS Software Forum

Respected Sir

I shall be obliged if you can answer my queries


Regards
Deepika

Hi Tom Would it be possible to answer my query. I am stuck at this point this is the example of the matrix from canmodel.rpf # 1.00 0.50 0.50 0.50 0.50 0.50 $ 0.50 1.00 0.50 0.50 0.50 0.50 $ 0.01 0.01 1.00 0.01 0.01 0.01 $ 0.01 0.01 0.01 1.00 0.01 0.01 $ 0.20 0.20 0.20 0.20 2.00 0.20 $ 0.50 0.50 0.5...

Hi Tom I am trying to forecast a variable y using BVAR. The variable is given in a log form. My codes are given below where LNY, X1, X2, X3, X4, X5 are non stationary, integrated of order 1, whereas X6 X7 and X8 are stationary variables. I am using m-vector here with hyperparameters of w=0.2, d=2 an...

Hi Tom Thanks for replying. But now when in run the following commands i get an error: OPEN DATA "C:\UsersData\Deepika\exchange rate paper of mam\data for exchange rate.xlsx" CALENDAR(M) 1996:7 DATA(FORMAT=XLSX,ORG=COLUMNS) 1996:07 2013:12 LEXRATE DTB DIIP DM32 DINF DTRB3 DTRB2 FDIFII VOL1...

Hi Tom I am trying to forecast a variable y using BVAR. it is the dependent variable and given as log. However i want to generate forecast comparison statistics for antilog of lny. My commands are as follows: OPEN DATA "C:\UsersData\Deepika\exchange rate paper of mam\data for exchange rate.xlsx...

Respected Sir i used Nakajima, J. (2011). "Time-varying parameter VAR model with stochastic volatility: An overview of methodology and empirical applications" Monetary and Economic Studies, 29, 107-142 to study inflation persistence in India. using the codes in RATS i am unable to produce ...

Thank you Tom. Igot it now

Regards
Deepika

Yes i do understand that BJ will start from 1984:6 but when i choose another name then i get an error uforecast(equation=ar1ma3eq,print) forecast_ar1ma3 time+1 time+3 compute forecast_ar1ma3(time)=forecast_ar1ma3(time+3) end do the error is as follows: ## MAT13. Store into out-of-range FORECAST_AR1M...

Tom could you please check is it ok now? I am really thankful for your help OPEN DATA "C:\UsersData\Deepika\ECONOMETRIC WORK FOR PHD ISSUE 1\ARIMA.xlsx" CALENDAR(M) 1984:4 DATA(FORMAT=XLSX,ORG=COLUMNS,SHEET="Sheet4") 1984:04 2017:03 WPI FOOD wi fi * ARMA(1,3) * boxjenk(diff=1,con...

The expected inflation for 1987:1 would be expected inflation for 1987:1 itself and not for 3 periods. what i dont understand in the code on the second page is linreg(noprint) logrsales regend-59 regend. why -59?

Regards
Deepika

Thank you so much Tom. i have rewriiten thhe code. it seems to work fine. could you pls check whether what i have done is correct. i would be grateful. OPEN DATA "C:\UsersData\Deepika\ECONOMETRIC WORK FOR PHD ISSUE 1\ARIMA.xlsx" CALENDAR(M) 1984:4 DATA(FORMAT=XLSX,ORG=COLUMNS,SHEET="S...

Thanks Tom. But in case of rolling forecast the initial sample keeps changing every time but i want recursive forecasts where my initial sample would be fixed at 1984:4 and every time i would expand my window by one time period. how would the code change then? sorry but i have got confused. thanks f...

Hi Tom thanks for a quick reply. but when i run this together and add print in the uforecast command then what i get is actuals and instead of forecast values what i get is NA. i want to generate 3 month (as i am working with monthly data) ahead forecasts as this inflation series will be used as exp...

Hi Tom I am trying to obtain recursive forecasts for inflation (variable wi in file) from an ARIMA estimation. my sample period is 1984: to 2017:3. i want to obtain 3 step ahead in sample forecasts where my inital sample would be 1984:4 to 1996:1 and then obtain forecast for 1996:4. similarly in the...

Respected Sir I am looking to replicate the IMF working paper titled, "Beneš, J., Clinton, K., García-Saltos, R., Johnson, M., Laxton, D., Manchev, P. B., & Matheson, T. (2010). “Estimating Potential Output with a Multivariate Filter,” IMF Working Paper, WP/10/285, for Indian economy. Could...