The RATS Software Forum

Thanks Tom Another question. I modified the code in order to obtain a multiple regimes model (4 regimes, generated through a complex combination of 3 different threshold equations). The estimation of the model works well, but I'm having trouble with the impulse response functions. Depending how I wr...

Hi Tom

Would it be possible to adapt the code ir order to estimate the model with non-Gaussian errors? Would it be necessary to use of maximize instruction?

Thanks,

Juan

Dear All, Would you please clarify me the basic difference between vech and bekk model for multivariate volatility. Can we apply both model or which model is superior? With sincere regards, Upananda The VECH model is of more theoretical than practical interest---I'm not sure I remember the last tim...

Balke's model and, in particular, his bootstrap method doesn't really lend itself to that because the covariance matrix switches as well, so everything needs to be standardized to unit standard deviations. Dear Tom One more question. In Balke´s model, a 1 SD shock in variable X for a given regime, ...

This won't work: sweep(var=hetero,group=(yma{d}<thresh1)+(xma{d}<thresh2)) rstart rend You need to multiply one of the two test criteria (doesn't really matter which) by 2 to get a "binary representation" of the regime, i.e. sweep(var=hetero,group=(yma{d}<thresh1)+2*(xma{d}<thresh2)) rsta...

Hi Tom I´m trying to modify this code in order to estimate a multiple breaks TVAR model. In order to do so, first i need to calculate the appropriate thresholds values. Suppose I wish to calculate simultaneously two thresholds values, for two different threshold variables, so that observations of th...