The RATS Software Forum

Thanks Tom for the quick response.
I have a follow up question .Is it normal to have Balke and Tsay approaches producing two different threshold results?
And, is there a way to replicate the result of the Balke threshold value using the TSay approach ?
Thanks

HI Tom , Thanks again for your response. I have couple of quick questions , if I may. (a) I am looking at Balke's paper and see that graphs of the tight regime are generated using the command upper =1. I am not clear about the reason since my understanding is that under the tight regime, the credit ...

Thanks Tom for the quick response. I changed the code as suggested which now reads as follows; ratio(mcorr=%nreg,degrees=k*%nreg,noprint) # rrspen rrgdp rrtax # wrspen wrgdp wrtax However , I am now getting this error message ' The Error Occurred At Location 1698, Line 29 of loop/block ## REG6. Matr...

Hi Tom, I am using the Tsay threhold program to determine the threshold for my 3 variable VAR ( using one of the Variable in the model, output) as the threshold. I am however getting an error message. Does the TSAY code allow such configuration ? Do you see any issue with the code below ? * compute ...

Thanks Tom, appreciate the quick turnaround. It is clear. Another question if I may. I am trying to create the IRF for my 3 variable VAR ( GDP, Spending and Tax) using as a threshold an external variable ( output gap). For some reasons, when I run the program I get this error message " ## SR10....

Thanks Tom,
In this case, is there a reason why when we run the replication materials for Balke (2000) to estimate threshold test , all values ( Sup, Avg, and EXP) have a P-Value > 0.1 , which I interpret as I can not reject the H0. Am I missing something ?
Thanks

Thanks Tom,
Do I understand correctly that test built into the shared program for the threshold identification has its Ho = "non-linearity assumption" as opposed to Tsay 's H0 = "Linearity".

Thanks

Hi Tom , Thanks for sharing the replication materials. I am running the program using my data. The program appears to working as expected to create the threshold value and the IRF for the upper regime . However when I try to switch the command " comp upper =0" to estimate the lower regime ...

Hi Tom,

Is there a RATS code to replicate The Blanchard and Perotti (2002) paper on the : Dynamic Effects of Changes in Government Spending and Taxes on Output", The quarterly Journal of Economics, November 2002.
Thanks in advance for your support .

Best