The RATS Software Forum

Dear Tom:

Let me ask the authors. I will post the response if I get.

Best,

Terence

Dear Tom

Can the VAR with censored variable in Iwata and Wu (2006) 'Estimating monetary policy effects when interest rates are close to zero,'Journal of Monetary Economics 53, 1395–1408, be replicated?

Best,

Terence

Hi all:

If two random errors (a, b) are independent and each is in GARCH process. Do the sum of these two random errors (c = a + b) still be GARCH process? Any comment or reference is welcome.

Best,

Nacrointfin

Dear All:

Can the markov switching vecm be implemented under the command 'msvarsetup'?

Best,

Terence Wan

Dear Tom Yes, it is. An LS regression can do the job. What I am wondering is should the current values of differenced independent variables put in the bounds testing regression? In eq.(30) of Pesaran et al. (2001), the current values of differenced independent variables are in the regression equatio...

Could you give the Replication Examples forf Pesaran, M. H., Y. Shin, and R. J. Smith (2001), “Bounds Testing Approaches to the
Analysis of Level Relationships,” Journal of Applied Econometrics, 16, 289–326. File attached is the data file of the paper.


Thanks

Hi Tom: Thanks for your quick response. So the procedures for Gonzalo and Pitarakis (2006) are: 1. Compute the Gonzalo and Pitarakis (2006) statistic by threshrest procedure in RATS or the thr_test procedure of Hansen(2000). 2. Get the asymptotic p-value of above statistic by the pv_sup procedure of...

Hi Tom and everybody: The threhold cointegration proposed by Balke and Fomby(1997) is actually error correction that is subject to threhold effets, while the cointegration relationship is constant and linear. On the contrary,Gonzalo and Pitarakis (2006) (Gonzalo, J. and J.-Y. Pitarakis (2006). "...

Hi Tom

Is it possible to add SURADF procedure file for rats user?

Regards,

Terence

Hi Tom:

Can the test of Kejriwal, M. and P. Perron (2009). "Testing for Multiple Structural Changes in Cointegrated Regression Models." Journal of Business and Economic Statistics be implemented by the code of Bai-Perron JAE 2003?

Regards,

Terence

Hello:

I am wondering if there are people who have tried coding up the following paper:

"A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables" by Ang and Piazzesi (2003) Journal of Monetary Economics.

Kind Regards,

Terence Wan