The RATS Software Forum

May I ask whether winrats provides the code for Lin & Terasvirta (1994) Testing the constancy of regression parameters against continuous structural change, Journal of Econometrics, 62 (1994), pp. 211-228? thanks a lot

There's an earlier post that shows how to compute the expected number of jumps: https://estima.com/forum/viewtopic.php?p=7979#p7979 The change to the GARCH formula is relatively simple given that. Hi, Tom, thanks for your reply. I am new to RATs. I can change the GARCH function but I am still not q...

Hi, Tom, I noticed that the differences between Chan and Maheau (2002) and Matheu&Mccurdy (2004, JF) also lie in the function g(.), the feedback coefficient from the past return innovations. In the 2004, JF paper, it allows the asymmetric effect from the past news(bad or good). Then how could we...

Hi, Tom, for the grangerbootstrap, how could combine the code with a rolling process (fixed-sixe window), as the paper above did? Thanks in advance!