The RATS Software Forum

Dear all, I want to know how I can incorporate a structural break within a cointegrating vector once I detect cointegration with a structural break. For instance, I applied the Johansen cointegration test with a structural break (Johansen, S., R. Mosconi and B. Nielsen (2000). Cointegration analysis...

How to Switch if You Must

Dear Tom.
How should I cite a RatsLetter?
Best,
PC

Thanks for the suggestion of the FRML function. By the way, what is this? frml flstar = (1+exp(-((delta)/(1-delta))*(ZV-c)))**-1 This expression is a parameterization which tries to nest a TAR model. I define δ∈ (0,1], such that δ=γ/(1+γ) with δ→0 as γ→0 and δ→1 as γ→∞. In the case of δ→1 it will be...

In fact, ZV is the absolute value of (LM-LM{5}). Should I modify this in my code in order to forecast? Would this work?

Thanks
PC

This is my code: cal 1870 open data lm.xls data(org=col, format=xls) 1870:1 2010:1 LM ZV * linreg(NOPRINT,define=basemodel) LM # constant LM{1 5} nonlin(parmset=starparms) delta c frml flstar = (1+exp(-((delta)/(1-delta))*(ZV-c)))**-1 * set trend = t * stats(noprint) ZV compute c=%mean compute delta...

Dear Tom, I want to forecast using the following code: group starmodel star>>sforecast * * Computes forecasts for 40 steps beginning in 2001 by taking * the mean of simulated values over 10000 replications. * set meanf 2001:1 2040:1 = 0.0 compute nreps=10000 do reps=1,nreps simulate(model=starmodel,...

Dear Tom, in Farooq (2005) "Multiple unemployment equilibria and asymmetric dynamics—Norwegian evidence" (Structural Change and Economic Dynamics) he presents an IRF, which, depending on the size of the shock, converges to one or another equilibrium (If the size of the shock is such that t...

Dear Tom.
Eitrheim and Teräsvirta (1996) in "Testing the adequacy of smooth transition autoregressive models" (Journal of Econometrics) propose some diagnostic test after estimating an LSTAR model. Is there any code I can use to estimate those test in RATS?

Best,
PC

Dear Tom and RATS users, I have to estimate an LSTAR model. I have used NLLS and now I want to use ML to compare; the code I am employing is the following: calendar(a) 1865:1 allocate 2010:1 open data data(format=xls,org=obs) * declare series ys declare integer d * nonlin(parmset=starparms) gamma mu...