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by smgrilli
Tue Apr 09, 2019 7:17 am
Forum: RATS Procedures
Topic: LSUnit—Lee-Strazicich unit root test with multiple breaks
Replies: 18
Views: 105906

Re: LSUnit—Lee-Strazicich unit root test with multiple break

Hi Tom, While I am able to compute the lsunit test, the output does not display the results in my Rats Version 8. Any idea why? @lsunit(breaks=2,pi=.10,lags=5,method=gtos,model=break) illiqaut Lee-Strazicich Unit Root Test, Series ILLIQAUT Regression Run From 1991:07 to 2018:12 Observations 330 Tren...
by smgrilli
Sat Dec 08, 2018 3:30 am
Forum: Examples and Sample Code
Topic: Diebold-Yilmaz EJ 2009
Replies: 54
Views: 143326

Re: Diebold-Yilmaz EJ 2009

That's clear, thanks Tom. I thought the command does compute the rolling window only for the available data automatically. I trim the file and run it again.

Thanks
by smgrilli
Fri Dec 07, 2018 12:34 pm
Forum: Examples and Sample Code
Topic: Diebold-Yilmaz EJ 2009
Replies: 54
Views: 143326

Re: Diebold-Yilmaz EJ 2009

I have 10 variables and 1353 observations, with many missing values. The VAR is defined as

Code: Select all

system(model=returnvar)
variables returns
lags 1 2
det constant
end(system)
I attached a sample .xls file

Thanks
by smgrilli
Fri Dec 07, 2018 10:25 am
Forum: Examples and Sample Code
Topic: Diebold-Yilmaz EJ 2009
Replies: 54
Views: 143326

Re: Diebold-Yilmaz EJ 2009

I got a similar issue while using DY. Error message: ## MAT14. Non-invertible Matrix. Using Generalized Inverse for SYMMETRIC. The Error Occurred At Location 23, Line 4 of FACTORMATRIX Called From Location 172, Line 11 of loop/block The spillover index can be computed, but I encounter this error in ...
by smgrilli
Sat Aug 04, 2018 11:20 am
Forum: Structural Breaks and Switching Models
Topic: Structural equation model with regime switching
Replies: 5
Views: 46734

Re: Structural equation model with regime switching

Well, the gamma parameter is supposed to change according to the regime of market illiquidity (at least in my idea). With regard to the *all*, I don't think is a good idea to only make a conditional slope, therefore, also the alpha should switch. Thanks for the advice, I definitely need to get into ...
by smgrilli
Fri Aug 03, 2018 11:43 am
Forum: Structural Breaks and Switching Models
Topic: Structural equation model with regime switching
Replies: 5
Views: 46734

Re: Structural equation model with regime switching

Thanks for your reply Tom, I'm sorry but my notation was actually imprecise. Please find attached a pdf with the structural equation. The first equation is a Markov switching model with two regimes of market illiquidity and the two regimes are identified by the unobservable variable z. The second eq...
by smgrilli
Fri Aug 03, 2018 9:34 am
Forum: Structural Breaks and Switching Models
Topic: Structural equation model with regime switching
Replies: 5
Views: 46734

Structural equation model with regime switching

Dear all, I'm very new to RATS and I'm struggling with the implementation of my methodology with other software. I firstly want to figure out whether RATS can solve my problem, and then move to the learning curve of coding. I have a dataset of stock's liquidity (liq`i') for 100 companies and market ...

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