The RATS Software Forum

Chapter 9 of the SSM DSGE e-course outlines a "method of moments" approach for the estimation of t distributed errors. However, Durbin and Koopman (2012) book estimates the parameters with "Monte Carlo maximum likelihood". Is there a comprehensive reference for this "method ...

I am still digesting the theory at moment, but working on the code in the meantime. Unfortunately I do not believe I can make much progress. Authors seem to have preferred bootstraps for the estimation of standard errors. Although they have used three different tools (Gauss, Stata and DPD), I think ...

Meghir, C., and L. Pistaferri (2004), "Income variance dynamics and heterogeneity", Econometrica, 72, pp. 1-32.
http://www.stanford.edu/~pista/meghir.pdf

There are very nice papers here on this subject: http://www.estima.com/resources_articles.shtml

Select Data/Graphics/Data (Other Formats) . A window named "Select Data File" will be opened. Specify the type of your file, which should be Text Files (*.*) in your case, and locate it. When you hit "Open", a dialog box titled "Spreadsheet Import/Conversion" should pop...

it seems to be also the case in the Replication file for Krolzig's "International Business Cycles: Regime Shifts in the Stochastic Process of Economic Growth. Yes, but Tom has already proposed the remedy to this problem. Please see the second post under this thread: http://www.estima.com/forum...

Hi Tom, Thanks for the post, but it still gives the same error message. I think it has something to do with the following part: do time=start,end compute %MSVARPMat(time) compute thisEntry=%zeros(nstates,nstates) do k=1,EMSize compute thisEntry(EMLagState(k,1),EMLagState(k,2))+=EMPTSM(time)(k) end d...

Filardo (1994) example also yields error messages regarding EMSize and EMLagState: ## SX11. Identifier EMSIZE is Not Recognizable. Incorrect Option Field or Parameter Order? >>>> do k=1,EMSize<<<< ## SX11. Identifier EMLAGSTATE is Not Recognizable. Incorrect Option Field or Parameter Order? >>>>isEn...

Auerbach and Gorodnichenko have written an interesting working paper(*) on the hot topic of these days. The article has recently been accepted for publication in forthcoming issues of the AEJ: Economic Policy. In their study, they develop a Smooth Transition VAR model. The model is highly nonlinear ...

When I try to run the MSVAR example files of Krolzig (1997) without changing anything, I receive the following error message: "SX11. Identifier EMPTSM is Not Recognizable. Incorrect Option Field or Parameter Order? >>>>VARMarginal(EMPTSM(<<<< I am not sure if I am doing anything wrong...

Hi, I ran the cvmodel.prg and would like to compute the likelihood value myself. In the output, the results for "amodel" indicate that the log likelihood value is estimated as -281.0251 I tried the following formula (from the users guide), but it gives me a quite different answer. Am I mis...

I have re-run the hpfilter.prg and would like to obtain the kalman gain from this estimation. Could anyone please explain to me how I can do that? Thanks in advance...

Regime switching behaviour itself might introduce unit root. Performance of the regular unit root tests are not promising in the case of regime switching. You can find a nice working paper on the subject here: http://research.stlouisfed.org/wp/2001/2001-013.pdf . I think, you can first build your mo...

I encountered the same problem. As far as I understand, the problem seems to occur from the following specification: * This estimates the model with the pre-sample conditions used in the paper * dlm(start=DLMYUModelSetup(),a=ayu,z=zyu,sw=swyu,c=cyu,f=fyu,y=||lgdp,ur||,$ x0=x0,sx0=sx0,condition=4,par...

Here you can find a procedure written by Tom Doan.