The RATS Software Forum

Dear Tom, many thanks. This is helpful. One more point: how easily could I get some descriptive statistics for my 'beta'? 'Beta' as the result of bootstrap is, by definition, a vect[rect] whose dimension is (1 X bootdraws). I would like to have the same statisitcs provided with the STATISTICS instru...

One quick question. I have a distribution of scalars (called 'beta') which are the results of bootstrapping. The code below computes the quantiles at 2.5 and 97.5% respectively. My question is: what's the easiest way to ask RATS to print the corresponding fractiles such that beta=1? dec rect[vect] f...

Hi there, I am trying to use DOFOR with labels or variables' names. In the simplest case, I have two series named de UK and de JP which I intend to use as dependent variables. My regressors are named b UK and b JP . Since ' UK ' and ' JP ' are recurring in my variables' names, I would like to implem...

Dear Tom, I saw this post is pretty old but I'd have a quick question on this. Again on the UIP The question is: does this Newey Window correction also generalize to the multivariate case (i.e. in a VAR) ? For instance, assume that in I am estimating the UIP in a VAR (Delta exchange rate: DS and int...

Tom -- sorry if I was unclear. Anyway, I wanted exactly to set the seeds for the random number generator. Thanks a lot.

Dear all,
is there some code for computing heteroskedasticity-consistent standard errors for a VAR system?

Thanks in advance,
C.

Dear Tom, Following the post on “Bootstrapping VAR residuals” (http://www.estima.com/forum/viewtopic.php?f=4&t=669) I am trying to compute the small sample bias for my VAR coefficients. I am taking the RATS example from Lutkepohl's New Introduction to Multiple Time Series Analysis . Last time yo...

I am sorry. Probably I was completely unclear about it. Beta1 is computed as a scalar and beta1 in the loop collects them all. Hence, I am setting fract(1,1), right? If it is so, the code works just perfectly. Many thanks. dec rect[vect] fract(1,1) dec vect onevect(bootdraws) dec integer k do i=1,1 ...

Tom -- thank you! Still, I am a bit confused. I am saving beta1 as I want a distribution for that, and consequently fractiles for its distribtuion. Following your hint I've substituted 'sims' with 'beta1' in the inside-loop. compute rstart=%regstart() compute rend =%regend() * compute bootdraws=100 ...

Tom -- sorry for bothering. The code needs 'sims' to be declared itself. I added to your code. The program does not crash but in the output below there is obviously something wrong. dec rect[vect] fract(%rows(beta1),%cols(beta1)) dec vect onevect(bootdraws) dec integer k dec vect[rect] sims(bootdraw...

Tom -- this is helpful. However i get the following error message:

## SX11. Identifier K is Not Recognizable. Incorrect Option Field or Parameter Order?
>>>> ewise onevect(k)<<<<

How could I help it?
Thank you,

C.

Dear all, In the code below I am computing some different betas (say beta1 and beta2) from bootstrapped-VAR residuals. How can I obtain quantiles for beta1 and beta2? @VARBootSetup(model=varmodel) bootvar * compute rstart=%regstart() compute rend =%regend() * compute bootdraws=2000 compute nvar =3 c...

Tom thanks so much. It works perfectly!!

Tom I sure just need the betas! But as it was before I couldn't have the distribution of beta. I simply had a string of all betas having the same values (which made me suspect there was something wrong). I guess (and I would need your opinion on this purpose!) that the problem here is that EACH beta...

Tom thank you. Now I solved the problem I had yesterday. Sometimes the model does not converge depending on starting values. So I had to play a bit. Nonetheless I wonder whether there is some criterion in the choice of the priors. For coefficients to be estimated I normally use an OLS regression. Bu...