The RATS Software Forum

Hi Tom, Many thanks for the advice. So I have checked my input data for the EA program using both the original Excel file (annotated version attached to which I have added in column headings and dates) and also using the table print option in RATS itself at various stages of the process (also attach...

Hi Tom, Thanks for this and for the tip about the charts. I've amended the line defining the trend growth rate, but I am still having the issue with the volatility of the trend growth estimate. This is most evident in the output for the DLM step, which for the EA has similar parameter estimates as f...

Hi Tom, Thanks very much for the advice, that makes much more sense to me now. Frustratingly this has thrown up one more oddity as follows. The trend growth rate stage 1 output I get for the Euro Area is very volatile, whereas the equivalent for the US has a constant growth rate (this is after the f...

Hi Tom, Sorry to bother again, but was hoping you could help me with something? In parallel to my efforts on the US, I'm also trying to adapt the replication code for some other countries, as in HLW (2016), which I have attached. I have hit one small snag on the first stage of the estimation process...

Hi Tom, That's a fair thought, but just on the lambda front, the LW public spreadsheet (http://www.frbsf.org/economic-research/files/Laubach_Williams_updated_estimates.xlsx) contains the updated values of the lambdas on the third worksheet and they both fall well within the high & low boundaries...

Hi Tom, Bad news unfortunately. I have put my input data into the program you uploaded and it is churning out a wrong result again. This time I do get an error message during the second stage of the estimation: DLM - Estimation by BFGS NO CONVERGENCE IN 138 ITERATIONS LAST CRITERION WAS 0.0000000 ES...

Hi Tom, Thanks very much for replying so quickly. On the inflation expectations front, I used a rolling regression (AR(3) I think) with a 10 year rolling window of inflation on its own lags, as this is what I understood from page 23 of the LW paper is what they used. Regression program I used attach...

Hi, I have been trying to update the Laubach Williams natural rate (ReStat 2003) replication program, but am running into a problem from the get-go. I have run the model1 file that comes with the software and that works fine. However, when I simply update the data, the program produces garbage. The ...

What are the FRED codes of the data in nr2_0902.dat? I would like to update the model, but want to make sure I am not mixing and matching series. Thank you. Hi, Don't know if you've resolved your issue yet, but the authors publish the input data and the core results publicly. Just a case of Googlin...