The RATS Software Forum

Thank you so much Mr. Doan

Thank you Mr. Doan but when I check f1hat with "display f1hat" all are 0. Is there a wrong on loop?

Its working thank you Mr. Doan. These days, I'm trying to integrate KIMNP115.RPF's following part set f1hat = 0.0 set f2hat = 0.0 ********************************************************************* * * This does a single step of the Kim (approximate) filter * function KimFilter time type integer t...

sigmav of some variables are statistically insignificant. Therefore, I would like to try the model that the coefficients of these variables remain unchanged over time.

Thank you in advance.

Hello Mr. Doan, I try to execute kimnp115 procudure with my own data set and I am trying to learn write this procedure on RATS. In the code, the number of time-varying parameters is set as the number of regressors. I want to determine the number of time-varying parameters myself. What should I do? I...

It's working thank you Mr. Doan.

Thanks for response Mr. Doan but I got same error. Also how can I get residuals in @MSRegression procedure? @MSRegStdResiduals is for one-step standardized residuals. But I couldnt see residuals code. open data gdp.txt calendar(q) 1947:1 data(format=prn,nolabels,org=columns) 1947:01 2009:04 date gdp...

Dear Mr. Doan, I try to learn this procedure for 2 switching regressor (trend and constant) and 0 non switch regressor. But I got this error: "## SR10. Missing Values And/Or SMPL Options Leave No Usable Data Points" Please could you help me? Code is following. open data gdp.txt calendar(q)...

Dear Mr. Doan, I tried to execute this procedure however I got this message: "## CP18. MSREGPARMSET is not the Name of a PROCEDURE. (Did you forget to SOURCE?) >>>>@MSRegParmset(1947.<<<<" there is no procedure called "MSREGPARMSET". Please could you help me?

Thank you for explanation Mr. Doan

That would be used to get the critical values. You pick the size(s) yourself. I mean size properties calculations size properties code could be as follow? or how could I correct the code? * * Kapetanios, Shin and Snell(2003), "Testing for a unit root in the * nonlinear STAR framework", Jo...

Those are probably out of the original paper. NBURN is to give the process (which is started arbitrarily at 0) time to achieve something similar to its stationary distribution. Numbers like 50 and 100 are typical for that; 50 is probably fine. NDRAWS is arbitrary. 20000 is quite a few. Thank you fo...

This will do one of the power calculations. You have to change the N, TCRITICAL (to match N), GAMMA and THETA settings to get a different experiment. * * Kapetanios, Shin and Snell(2003), "Testing for a unit root in the * nonlinear STAR framework", Journal of Econometrics, vol 112, 359-37...

Thanks for your fast response.

Yes I did. When I executed the same code to the AR(1) model, the standard errors of the transition probabilities were zero.

Hello Mr. Doan,

I try to execute kimnp115 procudure with my own data set. However some standart errors have negative sign.Also standart errors transition probabilities are 0 all the time. What should I do for this situation?