The RATS Software Forum

Hello,

I have GDP which is quarterly data from 1998:q1 to 2025:q1.

I am trying to find output gap by using Kalman filter. How can I write down its codes? or how can I find its codes?

Please help me to do this. Thank you.

Hello, I have an estimated nonlinear STAR model, which now behaves like a linear model. I would like to estimate its long-run solution. When the transition function takes the extreme values of F = 0 and F = 1, I want to determine where the model converges after applying a shock. I could not find a s...

Thank you for your helps. I have working on one-step ahead forecast for univariate linear model estimation. According to your instruction, I rewrite my code as follows: Is this code correct? DO I=0,64,1 * LINREG(DEFINE=FOREQ,NOPRINT) Y 2008:1 2019:12+I # constant Y{1 2 3 4 5} *** UFORECAST(EQUATION=...

Hello, I want to forecast the following linear AR model: DO I=0,20,1 * LINREG(DEFINE=FOREQ,NOPRINT) Y 1998:1 2019:12+I # constant Y{1 3 4 5 7 } *** STEPS(NOPRINT) 1 1 2020:1+I # FOREQ LF 2020:1+I LFE * SET SLFE = LFE**2 STATISTICS(noPRINT) SLFE COMPUTE RMSE = SQRT(%MEAN) DISPLAY 'MEAN' %MEAN 'RMSE' ...

Dear Tom, Thank you for your helps during learning RATs for TAR model. I also need to forecast AR model and TAR model, and I need to plot these forecasted TAR and AR models. And I need to calculate Mean Error, Mean Absolute Error, Root Mean Square Error, Mean Square Error, and Theil's U for both the...

Dear Tom, So far, I'm estimating a TAR model with two regimes. However, I could not find any RATs codes for a TAR model with three regimes. Can you please help me to find RATs codes for TAR model with 3 regimes or please help me to transform TAR model with 2 regimes to with 3 regimes? I transform th...

Dear Tom, Thank you for your attention and for taking the time to help me. I see my mistake.

OPEN DATA "/Users/brc/Desktop/TAR_Study/Tar model_data.xlsx" CALENDAR(M) 2003:2 DATA(FORMAT=XLSX,ORG=COLUMNS) 2003:02 2025:02 Z *** Table *** STATS Z *** ******Select Lag Order******* SOURCE C:\RATS-PROCEDURES\lagselec.src @lagselect(sclag=24, maxo=24) Z ************** ***Linear Model Est...

Hello Dear Tom, I have a question about TAR model. My series is Z and period is from 2003:2 to 2025:2 (monthly/ 265 observations). The lag order of Z is 9. That's, Z ~AR(9) by AIC. I have determined transition variable as Z{2}. Now, I need to apply Chan's method to select threshold value. That's, fo...

Dear Tom, thank you for your helps. That's to say, after omitting insignificant lags in linear Model, conducting @THRESHTEST and @tsaytest tests is wrong way. In brief, these are wrong. @THRESHTEST(THRESH=Y3,TRIM=0.15,GRAPH,NREPS=5000) Y # Y{1 5 7 9} ************************************ DISPLAY 'CDS...

Hello Dear Tom, I have a inflation data set with 265 observations (2003:02 - 2025:02 / monthly) I have found that lag order is 9 by AIC. That's, the data set Y follows AR(9). I run the linear regression AR(9) model. And then, I dropped the insignificant lags. Then, the linear model with significant ...

I do seasonality test in J-demetra. And I obtained seasonality problem in autocorralation test ac(12) and ac(24). how can I deal with this seasonality problem?

I upload the test results as a picture.

Okay thank you. I have one more question. How can I test for parameter consistency for LSTAR and ESTAR models? I have no idea what any of that is and, aside from being really bad coding (no one should ever hard code the numbers into those formulas), it doesn't even look like it's a doing a correct i...

This is a different code from STARDIAGNOSTICS.RPF. I have another manual code for additive nonlinearity test. I want to use this manual code. But, I have this manual code for ESTAR, not for LSTAR. How can I write down these parts (TP, LP for LSTAR model) You don't have to do any of that. The test in...

Hello, I am studying with univariate nonlinear model (by Terasvirta), STAR model. After estimating LSTAR model, I need to do test for no remaining nonlinearity. For that I will do Testing the adequacy of smooth transition autoregressive models (Eitrheima and Terasvirta, 1996) (Eitrheim, Ø., & Te...