The RATS Software Forum

Hi, is there any procedure to compute the Receiver operating characteristic (ROC) curve and the Area under the ROC curve (AUC or AUROC) as for example illustrated by Berge and Jorda (2011)? thanks Alberto Reference: Berge, Travis J., and Òscar Jordà. 2011. "Evaluating the Classification of Econ...

Hi Tom, can you confirm whether the version of the CF filter computed by the @CFFILTER is the so-called full sample asymmetric one, where the weights on the leads and lags are allowed to differ and are time-varying, with the weights both depending on the data and changing for each observation (as op...

Great, thanks a lot for your feedback.
Best regards
Alberto

Hi Tom, I am trying to implement an exercise based on spectral analysis methods in the spirit of Sargent 1987 (Macroec. Theory, 2nd ed., sect 11. Alternative definitions of the business cycle) looking at spectrum, coherence and phase of various real GDP annual growth rate measures. I attach a sample...

Hi,
are codes for reproducing the results of the following paper available, at least for the univariate case?
Thanks
Alberto

A. Harvey, T. Trimbur and H. Van Dijk (2007): ''Trends and Cycles in Economic Time Series : a Bayesian Approach'', Journal of Econometrics, vol. 140 (2007), pp. 618-649

OK, thanks.
For reference I add the two programmes, one with the correction indicated and another with the suggested change to make it faster (in this case one saves just a few seconds, but I assume with more variables the savings may be more substantial).
Alberto

All right. Then, the bootstrap for the varcause.prg could look like the attachment, right?
Alberto

Thanks, this is useful. However, not being familiar with the function "group" used in the programme I have a doubt in translating the programme to the case of multiple variables (say, the case of varcause.prg). Would one have to specify each equation of the VARs (restricted and unrestricte...

Hi, regarding the block exogeneity tests, I wonder if you could explain a bit more what is mentioned in the User Guide (version 7, p.347): " (...) some hypotheses might have a non-standard distribution in the presence of unit roots (Sims, Stock and Watson, 1990). Their result (...) will affect ...

Hi, this seems to be very useful.
For a simple Cholesky would it correct to use the %sigma matrix as factor?
@StructResids(factor=%sigma)
Thanks
Alberto

Very useful, thanks.
Just a minor correction:
after "if ik(4)<0" there is a ".or.ik(3)" missing.
Alberto