The RATS Software Forum

Yes, but if I write A diagonal matrix (F) with 1s on the diagonal but in F(2,2)=0 and I multiply this by a vector sw=swf = swugap~~swtvc, the algebra is the same, isn't it?

The cold reality is the TVC's doesn't really change the fact that no one has come up with a GAP-PC model that produces results without them being force-fed into the model through various restrictions. This is very depressing :( The only thing that appears slightly off about the model is putting the...

Ok. The model is:

Thank you Tom,

"mi" is the slope of the trend, which is a second order random walk.

The trend is:
u*(t)=u*(t-1)+mi(t-1)+noise
mi(t)=mi(t-1)+noise

Marco

Dear Tom, Based on SSM course 2.0, I'm currently trying to adapt your version of the Matheson & Stavrev (2013) time varying coefficients to (a simplified version of - no ugap lags in the Phillips Curve) GAP. In particular I started by changing (as least as possible) the constrained version of yo...

TomDoan wrote:Have you looked at the descriptions of the options on the DLM instruction?

https://estima.com/ratshelp/dlminstruction.html

Yes I have, but the explanation is a bit intricate to me.

Thank you,
M

Dear Tom, I’m going through the SSM and DSGE course. I have some question on M&S following the file “ekfconstrain.rpf”, in the part which is not documented in the SSM handbook because it belongs to the constrained version of the code. Could you please add some more explanation on the following p...

Tom,
Just a clarification. In your file of L&W(2003), by the end, the second "header" of the graph for the "agrate" should't be "Trend/Potential Output Growth Rate"?
Thanks

And that doesn't change the fact that the results are highly dependent upon the sample, and are even highly dependent upon the method used for initializing the Kalman filter.

I can't help but ...

Dear Tom, Thank you. I found out that Williams has now posted a set R codes releted to the recent "Measuring the Natural Rate of Interest: International Trends and Determinants" ( http://www.frbsf.org/economic-research/economists/jwilliams/HLW_Code.zip ). In the zip there is also the code ...

Dear Tom, I'm trying to apply Laubach and Williams (2003) to Italian data. I have two questions about the RATS code: 1. There are 2 statements like "equation stage1eq * " while the manual says it should be "equation stage1eq depvar". What the "*" stands for? 2. It is no...

Thanks,
It works.

Dear all, I have the following problem: I want to estimate a linear model of the form linreg DW # DW{1} UR_CYC_SUR{0 to 2} DLP DTOT DWS but under the constraints that the sum of the coefficients of CYC_SUR is not negative. Someting like: nonlin(parmset=decl) a0 b0 b1 b2 b3 b4 b5 nonlin(parmset=const...

Tom, Are you telling me that you managed to make gap and it's excel interface and data work, take the same data and replicating their results with rats using (as a staring point I suppose) the file I posted in the latest few days? That would be awesome! ...and how did you spot the " error in th...

Dear Tom, You get the main point! Actual estimates of NAWRU are not driven by the data, but by the variances bounds with the aim to get new estimate as close as possible to previous estimates (but EC officials deny). In recent years this is producing a very cyclical NAWRU. This is what I try to show...