The RATS Software Forum

Based on this value of %ndf, finally reported tstat "report(use=breport,atrow=8,atcol=1) "Y{1}" %beta(1) %tstats(1)" and %cdstat=mint shows different values for the AO models. In previous part of the code, there is aolags. It contains aoshift. The %ndf in the last part do not tak...

Dear Tom Doan, I think there is an error in the code of PerronBreaks procedure. The IO and AO model has different degrees of freedom. However, in the latter part, it uses the same degrees of freedom: compute %ndf =%nobs-(nbase+1+bestlag) compute %cdstat=mint compute %minent=bestbreaks(1) compute %ma...

Dear Tom Doan, I am not proposing any new process. I am following Carrion-i-Silvestre, Josep Lluís, Dukpa Kim, and Pierre Perron. "GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses." Econometric theory 25.06 (2009): 1754-1792. This...

Dear Tom Doan, Thank you for pointing towards the error. It works now. For the AO model, I do not want to include aoshift(i) on the final regression (on the de-trended series). So I changed the code as: *********************** if io>=2 { * * IO models remain unchanged. For the moment my focus is on ...

Dear Tom Doan, Thank you for the clarification. To GLS-detrend the dummy variable, can I do the following: local rect[series] dtgls dim dtgls(nperbreak,breaks) * if meanbreak { set dt(next,i) startl endl = (t>=bps(i)+1) set dtgls(next,i) startl endl = dt(next,i)-rhot*dt(next,i){1} compute next=next+...

Dear Tom Doan, Thank you for the quick reply. I have attached the modified file. The original perronbreaks.src procedure works properly. I do realize that, with breaks, the value of "cbar" has to be changed. I have also noticed that glsdetrend.src procedure detrends the dummy variables als...

Dear Tom Doan, I want to GLS-detrend the variables in the @perronbreaks procedure. So I modified the procedure as: local real rhot local series ygls cgls tgls * if trending==0 { compute rhot = 1-7.0/nobs set cgls startl endl = 1-rhot set ygls startl endl = y-rhot*y{1} compute fixed=||cgls|| } else {...

Dear Tom Doan,

Would regime dependent time trend make any sense in the Markov switching specification?

Best regards.

Dear Tom Doan, Sorry for replying late. I am a new RATS user and it is taking a while to figure it out. Since you pointed towards EM algorithm and it is a Bayesian MCMC, can the code be like the following: if MSRegNSwitch>0 { @MSRegFixResids MSRegU gstart gend do i=1,nstates set wt gstart gend = qha...

Dear Tom Doan,

Thank you for the suggestion. Can you please help me with the code for this section?

Best regards.

Dear Tom Doan,

Is it possible to use the nfix option in example 9.3 of the workbook? This example estimates a Markov switching autoregressive model using Bayesian MCMC. If so, can you please indicate where the changes are required?

Best regards.