The RATS Software Forum

If I understand correctly, the code only allows for a break in the coefficient of one single regressor. The coefficients of the other regressors are assumed to be equal across regimes. Is there a (preferably) easy way to modify the code in order to allow for more than 1 of the coefficients to switch...

Dear Tom, many thanks for your reply (sorry for the late response). Since I am missing proper instruments for my (potentially endogenous) RHS variables, I decided to go back to the THRESHTEST proc. One question regarding this: Is there an easy way to modify the code in order to allow for (regime-spe...

Dear Tom, are there any plans to implement a threshold approach with endogenous threshold variable? (such as in http://www.economics.uoguelph.ca/Resear ... 2009_7.pdf, for instance). Best, Oliver

The program really works fine, but I have two problems, which I encountered when modifying the program for my own data set. 1.) Is it true that a country is excluded from the analysis if there are only some missing observations? 2.) Why are the last and first estimated coefficients of the time dummi...

Dear all,

In CATS it's possible to simulate the rank test distribution if levels shifts etc. are included. Is this a bootstrap or is there a difference between simulation an bootstrapping.

Sorry for that "beginnners"-question..

Thanks for your help!

Poppelwops

First of all thanks for the fast reply. I try to be more clear now. I did the following steps. 1.) I estimated a model from 1987Q1 to 2002Q4 (full sample ends 2008Q2) in CATS, more specifically a model with 5 endogenous variables, 1 restricted level shift (2001Q1) and 1 permanent impulse dummy (1992...

Dear RATS/CATS-users, I've got the following problem. I set up a cointegrated VAR model in CATS, which I then exported to RATS. After that I reset the sample so that all deterministic variables (+exogenous) are defined over the forecasting-sample. I then use RATS VAR Forecast/Analyze option to produ...

In my current research I am analysis money demand (in)stability in the US for various monetary aggregates. I always obtain a - at least from my point of view - very strange result, which is robust across a large number of different specifications. No matter which monetary aggregate (M1, M2, M2M, MZM...