The RATS Software Forum

Dear Tom, I am trying to report goodness-of-fit statistics for several models. If I have a restricted OLS (say, I restrict two parameters), then the degrees of freedom will change. Should I divide TSS by the new degress of freedom (68) or not (66)? The code is attached: linreg(robusterrors) DEPENDEN...

Thank you, Tom, very much for your help.

Dear Tom,
Could you please help me? Do you know how to run a RESTRICTED OLS regression (say, we restricted three coefficients) with robust (HAC) standard errors? Thank you very much in advance.

I thought that we use this option ROBUSTERRORS to take care of heteroscedasticity. If we omit it, what would happen? Will we simply get an OLS with restricted coefficients?

So but then it means that I have to run linreg without specifying robust option, correct? But will it take care of heteroscedasticity? Thank you in advance.

Thank you, Tom, very much for the explanation. Do you then know how to code the restricted OLS without HAC standard errors? What command line should I use?
Thank you.
Yelena

Dear Tom, I have a restricted OLS. How can I calculated centered R^2? linreg(robusterrors) DEPENDENT sambeg samend residMod coefMod # constant YOY%_SP500{1} BAA{2} YOY%_OIL{2} YOY%_CPI TR10Y{1} YOY%_HPI{1} TR3M YOY%_CRE UR restrict(create) 3 residModb #4 #1 beta3 #6 #1 beta5 #8 #1 beta7 dis 'Centere...

Dear Tom, I am wondering if you can tell me why we get different coefficients using robusterrors options for OLS. Is that because we run a restricted model? Here are the results: linreg(robusterrors) DEPENDENT sambeg samend residMod coefMod # constant YOY%_SP500{1} BAA{2} YOY%_OIL{2} YOY%_CPI TR10Y{...

Oh, fantastic! Thank you very much, Tom! It helps me sooo much!

Yelena

Should I say,

dummy (from = 2014:2, to = 2017:2) sanc

Dear Tom, How should I extend the dummy variable? Say, I want to have a forecast for 9 consecutive quarters starting from 2014:3. What should I write in the program? Also, is it okay if the forecasted value for the dummy variable has values different than 0 and 1, like 1.5 or 1.4? Thank you very muc...

Dear Tom, I have run a VAR model with one dummy variable that stands for sanctions. In years >= 2014:2, the dummy variable called "sanctions" = 1, otherwise it is equal to 0. A part of the code is attached. The question I have is the following, "If I need to forecast macroeconomic var...

Oh, great! Thank you, Tom! It worked!

The out-of-sample variables come from the Excel file open data "U:\SSSI\Severity_Index_NV_Yelena\DFAST_BHC_2015\Data_Macro_DFAST.xlsx" I have found another way to program the forecast. Is it correct? nonlin(parmset=fullset) a0 a1 a2 a3 a4 a5 a6 a7 a8 a9 a10 a3=beta3 a5=beta5 a7=beta7 frml ...

Dear Tom, I have written the code for the NLLS with the restrictions on the parameters but now need to use it to forecast the dependent variable. But my code does not work? Could you please help me again? Thank you. nonlin(parmset=fullset) a0 a1 a2 a3 a3>=0 frml dpndfrml DEPENDENT = a0 + a1 * YOY%_S...