The RATS Software Forum

So, its not sign dependent for output growth but it is for inflation? e.g.- a negative significant coefficient on asymmetry term in the inflation variance equation D(2,2) mean that positive innovations in inflation reduce inflation variance? Sorry for too many questions. I read the paper to figure o...

Hi Tom I am a bit confused as to how to interpret the coefficient on the asymmetry terms in this model, more specifically is it sign dependent? For e.g.- if I get a negative significant coefficient on the asymmetry term in the output growth variance equation D(1,1), does that mean negative innovatio...

Dear Tom

For the KPSS test, how can one know what is the appropriate no. of lags? Does there exist a procedure (like ADFAUTOSELECT is for ADF test) to ascertain this? Does there exist a criteria (like AIC or SIC) for deciding the appropriate no. of lags?

Many thanks.

Thanks a lot for the help Tom. I will go through the paper and the code you have provided. This will be very useful.

Hi Tom Thanks for your reply. Could you please point me towards the right model I should be looking at to accomplish this. I have been searching to implement this methodology but this is the model and software which I found to be most closely related to what I want to do. If not using this code spec...

Hi Tom I am working on a similar bivariate GARCH-M model in which I need to estimate the impact of volatility of both series on the mean equation of both series. My question in context with this paper is 1. How can the code be modified to estimate the impact of oil price volatility on both Oil Price...