The RATS Software Forum

Turns out I needed one more close bracket at the end

Hi Tom, I have renamed a few things frml Cf = ||1.0,-((exp(-lam*t_s(1))-exp(-lam*t_f(1)))/(lam*(t_f(1)-t_s(1)))),((t_s(1)*exp(-lam*t_s(1))-t_f(1)*exp(-lam*t_f(1)))/(t_f(1)-t_s(1)))+((exp(-lam*t_s(1))-exp(-lam*t_f(1)))/(lam*(t_f(1)-t_s(1))),0.0,0.0,0.0|$ 1.0,-((exp(-lam*t_s(2))-exp(-lam*t_f(2)))/(lam...

Good to know, thanks Tom. Is there a way around this problem? You suggested writing a function, which I have replied to (I've run into a problem with the function you supplied). I have also tried splitting the lines: frml Cf = ||1.0,-((exp(-lambda*tau_s(1))-exp(-lambda*tau_f(1)))/(lambda*(tau_f(1)-t...

Hi Tom,

I've tried your function, thanks. I am getting the following error:

## SX22. Expected Type REAL, Got RECTANGULAR[REAL] Instead
>>>> compute cfx=cf0<<<<

I'm not sure how to proceed?

Thanks

Adam

Hi, I am getting an "## SX20. Expected ) Here" error: ## SX20. Expected ) Here >>>>au_f(1)-tau_s(1)))<<<< But as far as I can tell, all the parentheses all close each other. I know from previous advice that is better to write this as a function, but I would also like to correct the below i...

Turns out my starting values were quite the problem.. I have had some success with getting the model to estimate, not converge, by changing these.

Thanks for the tip Tom, I will try that in future!

Hi, I am trying to apply a Aruoba's term structure of inflation expectations model (https://www.philadelphiafed.org/-/media/frbp/assets/working-papers/2016/wp16-09r.pdf?la=en&hash=2E3EB8CF8EF1E4F1C4AE4233C0BBF827) to Australian inflation expectations data. I am running into a couple of problems ...

Hi, I am getting the following error when trying to create a matrix which I can pass to the DLM instruction: ## SX26. Matrix Constructed with ||...|| has Too Complicated a Type >>>> ||<<<< The matrix has one parameter estimate which is a wrapped up in a function (similar to the Nelson-Siegal model),...

Great thanks! Kind of obvious now you point that out. While that got rid of the error, I don't think I am solving my problem of setting starting values of my parameters: ******************************************** * Declare parameter set ******************************************** nonlin(parmset=N...

Another question - this one seems simple, but I can't get it to work. I want to loop over some parameters and set their staring values dofor y = L_ar1 L_ar12 L_ar13 S_ar1 S_ar12 S_ar13 C_ar1 C_ar12 C_ar13 L_ar1 L_ar12 L_ar13 compute y = 0.5 end dofor y I get the following error ## SX22. Expected Typ...

Thanks Tom - I figured that might be the case.

I see - I had initially thought this. I am trying to understand why I get different results using Eviews state space procedure and DLM (my employer uses Eviews). I put it down to different handling of initial values, however I did put in starting values like you described below, with "infinity&...

Thanks Tom - could you please point me to an example where this formula is used. The help page isn't totally useful for someone new to the program. Specifically, I am after the ability to see what the starting values for dlm instruction below this is taken from the Matherson and Stavrev replication ...

Hi,

Is there any way to extract the pre-sample (specifically the ergodic values) from the DLM instruction?

Thanks

Adam