The RATS Software Forum

Hello, Using various do/dofor combinations, I've been trying to convert an excel table of the form: _______ January _ February ... 1960 _____ x1 _____ x2 1961 _____ x13 ____ x14 ... into a series. No success yet. Is there a simple way to do this ? Thanks a lot, Raph

Thanks, I would have thought it would be more complicated than this ? Aren't errors non-linear ?

Sorry I did not manage to explain what I meant to ask the first time, I'll try again... Let's say my VAR is y(t) = b.y(t-1) + u(t). I do actually want to estimate the model parameters (the betas of the equations) over the full sample. However, when computing the forecast for 2008, ie. ^y(2008), I wa...

Hi Tom, I am having trouble using SMPL with FORECAST. I am trying to do "pretend" out-of-sample forecasts within the sample I have used to do ESTIMATE, in order to backward-test the model. However, the forecasts results seem too good to be true, so I am suspecting that post-sample values, ...

Dear Tom, In my VAR model, I first interpolate GDP into monthly figures, but to chart the results, I'd like to convert it back to quarterly data. Two problems then: CALENDAR has trouble working in monthly and quarterly mode, and most important, how can I compute quarterly standard errors (so that I ...

OK, thanks, it looks much too complicated for me. I have one last question on the subject, which concerns DFUNIT.SRC: what is the difference between the options [INTERCEPT]/NOINTERCEPT and TREND/[NOTREND] on one side, vs. DET=NONE/[CONSTANT]/TREND on the other side ?

Cheers. About that sensitivity table, do you mean testing the residuals for serial correlation ? I have 11 variable so this sounds fastidious (I can't even imagine how I could present this in my paper). Isn't there a procedure for KPSS/PP lag length selection ?

Thanks. By the way, I was reading ADFAUTOSELECT, and I am probably wrong but there seems to be a mistake in the IC formulas. For example, the code is:

compute aic = log(sigsq)+2.0*%nreg/%nobs

but shouldn't it be

compute aic = %nobs*log(sigsq) etc.

cheers

Unfortunately I have a long list of variables. Can the lag lengths selected by ADFAUTOSELECT be used in other tests, notably KPSS or PP ?

Dear Tom, is there a difference between the method from Enders in its Programming Mannual, which is to estimate each equation using LINREG(define = equation x) then use SUR and finally GROUP the equations, and the one in the User's Guide, p. 343 ?

Thanks

OK so it seems ADFAUTOSELECT is the more recent one. My next question then is on the choice of information criterion. I guess it depends on the type the variable we are looking at. With the variables I am using, the different criteria yield very different lag lengths, eg. 2 (BIC) vs 12 (AIC). Any bo...

Hi, I was wondering when and why one should use one of these procedures instead of the other.
Thanks a lot,
Raphael

Thanks that's great. What if the output is a real number instead of a series?

I am running a "do" loop which produces results at each iteration; how can I make RATS write the output (which is a series), at each iteration, to a new line or column in the same output file (if possible, an Excel file) ? For example, if I have a loop such as do i = 1, 24, the output file...

Hi all, how can I make a graph of a quaterly series alongside a monthly one (both are growth rates) ? Thanks for your help,

Raphael