The RATS Software Forum

Dear Friends,

When I using FM-OLS.SRC and FM.SRC , I found the results are different. Then I checked with GAUSS program, the results from FM.SRC and Gauss code are same. I am wondering is it because the FM.SRC and Gauss code use pre-whitening before do fully modified OLS, but FM-OLS does not. Is that correct? Is there any way that we still can estimate it using FM-OLS with pre-whitening process. I have checked the FM-OLS code there is no option for pre-whitening.

In addition, Is it possible for FM.SRC do estimation without pre-whitening? How?

Thank in advance.

Any estimation that involves calculation of a long-run variance (such as fully modified OLS) will depend upon the method chosen for computing that. That doesn't make one right and one wrong; they're just different. We (at Estima) wrote fm.src to match the Hansen Gauss routine; we did not write fmols. Is there some feature in fmols that you need that's not in fm?

Hi, Tom,

Is it possible to include the structural break tests (SupF, Mean F and Lc) in the FM.SRC as additional feature of FM.src to match the Gauss code?

Or Does RATS have it already in other procedures? Please kindly advise.

Thanks.

Isn't that what Kai Carstensen's procedures do?