The RATS Software Forum

Why wouldn't it be? This is your model and your data---it looks like a noisy series and the three values for that 1st variable variance are all relatively similar, so I'm not sure what you think is the problem. Thanks. It's just too large. But I think the calculation is right.(It's real oil return. )

Hi, Tom,
Is it possible to check the codes underlying an instruction, say " correlate(option)"?

Thank you,
J

TomDoan wrote:Obviously a .00004 correlation is really small, but if you look at all three correlations for that pair, they're effectively zero so it may be a bit of a fluke, but isn't unreasonable.

Thank you. Is the "7014" co-variance/variance ok?

Hi, Tom,
I got another question about Covariance\Correlation Matrix. I'm not sure whether what I got looks right. I have five series in percent. After estimation, their vcv in upper, lower and linear,regimes:
Does it seem right in terms of magnitudes?

Thank you,
J

Hi, Tom, I got the upper and lower regime covariance\correlation matrices. I want to put it in my paper to demonstrate regime difference. However, almost all covariance pair show zeors, which does not show regime-distinctive enough. Does that look acceptable? Or, how can I increase the decimals in t...

Use GRTEXT . Also https://estima.com/docs/RATS%209%20Introduction.pdf#page=146. The first example on the help is for a time series graph like yours. Something like spgraph graph(shading = TED1dummy, vgrid=0.8 ) # TED1 1987:7 2014:12 grtext(valign=bottom,y=0.8,entry=2014:12,align=right) "Gamma=...

Dear Tom, I'm trying to denote a horizontal line in a time series graph. I add that line as a threshold bar. Here is my current codes: set TED1dummy = TED1 >= 0.8 graph(shading = TED1dummy, vgrid=0.8 ) # TED1 1987:7 2014:12 And I want to add a text as : " gamma= 0.8" somewhere above the ho...

Do set trend = t and use TREND (not T) in the regression. T is a reserved variable used as a entry pointer in expressions. You could also just do FILTER with the option REMOVE=TREND. Thank you for the above comments. :) I did the following and want to get the fitted dependent variable. : lingreg rl...

Dear Tom, I want see the deviation from trend of my interested series, RRG. Thus, I want to detrend it first. My code is written as: linreg rrg 1968:5 2014:12 # constant t But I got error: ## SR3. Tried to Use Series Number 39, Only 32 Are Available It would be good to know any of your suggestions. ...

Another thought: if the covariance\ correlation of each pair residuals are not 0, whether this violate "residual series are independent" assumption of VAR model? What assumption is that? Serial independence is a standard assumption, but contemporaneous independence is almost never assumed...

Those are only zeros because you formatted them with just two decimal places. The scales on those variables is very small (check the sample mean and standard deviation in the earlier output). If they're growth rates, multiply by 100 to make them percentages. There's nothing inherently wrong with yo...

Dear Tom, I got another question related to TVAR estimation. I got the following covariance\correlation matrice. covariance matrix in lower triangular. I wonder whether this looks ok? For covariance matirx, the diagonal is almost all zeros. And can it be possible if one pair of residuals have covari...

1. Do you have different behavior for that variable in the other regime? 2. The transition points for a TVAR are based upon the overall likelihood from the five variables. You could easily have four equations that don't break at all, and one which breaks strongly. 3. That one equation looks a lot l...

Dear Tom, I'm estimating a TVAR model with two regimes. In one regime, I got the follow estimation results as attached. The last column(the fifth regression) is the one I'm particularly interested in. However, I find : 1.p-value of regression F is 0.28, insignificant at 15% significance level; 2.R-s...

Dear Tom, I notice in the tvar_estimate.rpf , it is using loglikelihood ratio(LR) test for the non-linearity test and threshold value search. I wonder whether there is existing literature that also follow this approach in this step? I believe it is valid :) , as many other nonlinearity tests and the...