From: "J. Michael Pinegar" <JMPINEGA@acd1.byu.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Bruce Hansen's Nonstationary Volatility
Date: Tue, 01 Apr 1997 08:44:43 +0000 (MST7MDT)
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I am looking for help with Bruce Hansen's 1995 Econometrica 
article,"Regression with Nonstationary Volatility."  Has anyone tried 
this procedure with RATS?

Thanks!

Mike Pinegar

---------- End of message ----------

From: "F.Y.Kumah" <F.Kumah@kub.nl>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Restricting Impulse Response Functions
Date: Fri, 4 Apr 1997 20:20:48 MET
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Dear Researchers,

I am running A VAR in Gauss with the intention of estimating the IRFs 
with some restrictions imposed on these (ie. the IRFs). I have 
struggled with this for some time now ... but I'm not very sure I'm 
on the right path. Is there anyone out there who has tried a similar 
problem before. Please if you have, let me read from you as soon as 
possible.

Thanks
Francis


 
**~~**~~**~~**~~**~~**~~**~~**~~**~~****~~**~~**~~**~~**

Francis Y. Kumah
CentER for Economic Research
Tilburg University
P. O. Box  90153
5000 LE Tilburg
The Netherlands

Phone +31 13 466 2678
Fax   +31 13 466 3066

My Home Page: 
http://cwis.kub.nl/~few5/center/phd_stud/kumah/home.HTM

**~~**~~**~~**~~**~~**~~**~~**~~**~~****~~**~~**~~**~~**

---------- End of message ----------

From: Xavier CORIN-MICK <s921928@student.ulg.ac.be>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RATS...
Date: Mon, 7 Apr 1997 10:06:52 +1000
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                                                                April 4th
1997


        Dear Sir


        As Belgian student in Finance, the subject of my thesis is a test=
 of
efficiency of the Belgian Stock Index Option Market. This study is based =
on
the article of J. Noh, R.F. Engle and A. Kane in the Journal of Derivativ=
es,
vol. n=B01, 1994, p.17-30.

        I am currently involved in the empirical part of my thesis, but I
don't succeed in taking into account the day-volatility effect in the
programming of RATS.

        It should be something like this, but I can't get any result....b=
ut
the error message "Missing values And/Or SMPL Option Leave No Useable Dat=
a.....


NONLIN B0 B1 A0 A1 A2 A3
FRML RESID =3D Bel20 - B0 - B1*bel20{1}
FRML HF =3D (Jours**A3)*(A0 + (A1*H{1})/(Jours{1}**A3) $
                             + (A2*U{1}**2)/(Jours{1}**A3))
FRML LOGL =3D (H(T)=3DHF(T)),(U(T)=3DRESID(T)),-.5*(LOG(H(T))+U(T)*U(T)/H=
(T))

COMPUTE B0=3D%BETA(1)
COMPUTE B1=3D%BETA(2)
COMPUTE A0=3D%SEESQ,A1=3D.05,A2=3D.05,A3=3D0.1
SET H =3D %SEESQ
MAXIMIZE(METHOD=3DSIMPLEX,ITERS=3D5) LOGL 2 *


        After lots of attempts, I ask you for some help. Could you please
tell me how to handle this problem with RATS ?

        I look forward to hear from you


                                                Xavier CORIN-MICK
                                             s921928@student.ulg.ac.be
                                            University of Liege, Belgium



---------- End of message ----------

From: Jan Kakes <J.I.Kakes@eco.rug.nl>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: error bands
Date: Mon, 7 Apr 1997 13:42:02 GMT+0200
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Can anyone tell me how to construct confidence error bands for the
impulse-responses of a structural VAR in a correct way? 
I applied Giannini's SVAR.SRC and VMA.SRC procedures, but these 
result in incredibly small (almost zero) error bands for most 
impulse responses. 
The Monte Carlo integration technique that is included in the 
standard RATS package gives more plausible results, but I am not 
very confident whether I adjusted this code correctly to make it 
suitable for other decompositions than a Choleski decomposition.

Thanks,

Jan Kakes

University of Groningen
The Netherlands



---------- End of message ----------

From: "F.Y.Kumah" <F.Kumah@kub.nl>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: error bands
Date: Mon, 7 Apr 1997 16:15:57 MET
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Jan,

I don't know what you mean by "in a correct way". But considering 
the present state of the literature I think you'd have to use the Sims-Zha appproach.
Get the reference below:

Sims, C. A. and Tao Zha(1995):
    "Error Bands for Impulse Responses"
     Working Paper # 95-6, Fed. Reserve Bank, Atlanta.

You may as well take a look at 
Lutz Killian(1995): 
 "Small-Sample Confidence Intervals for Impulse Responses"
   manuscript, Dept. of Economics, Univ. of Pennsylvannia.

All the best
Cheers
Francis Y. Kumah




On  7 Apr 97 at 13:42, Jan Kakes Jan Kakes <RATS-L@efs.mq.edu.au> 
wrote:

> From:          Jan Kakes <J.I.Kakes@eco.rug.nl>
> To:            "RATS Discussion List" <RATS-L@efs.mq.edu.au>
> Subject:       error bands
> Date:          Mon, 7 Apr 1997 13:42:02 GMT+0200
> Reply-to:      "RATS Discussion List" <RATS-L@efs.mq.edu.au>
> Organization:  Economische Faculteit RuG

> Can anyone tell me how to construct confidence error bands for the
> impulse-responses of a structural VAR in a correct way? 
> I applied Giannini's SVAR.SRC and VMA.SRC procedures, but these 
> result in incredibly small (almost zero) error bands for most 
> impulse responses. 
> The Monte Carlo integration technique that is included in the 
> standard RATS package gives more plausible results, but I am not 
> very confident whether I adjusted this code correctly to make it 
> suitable for other decompositions than a Choleski decomposition.
> 
> Thanks,
> 
> Jan Kakes
> 
> University of Groningen
> The Netherlands
> 
> 
> 

---------- End of message ----------

From: "Philippe PROTIN" <PROTIN@esa.upmf-grenoble.fr>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Likelyhood ratio tests
Date: Thu, 10 Apr 1997 15:29:55 +0200
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I want to test the conditional CAPM using a bivariate GARCH-M model 
for national stock markets and the world market :

R1t = a1 x cov(R2t) + e1
R2t = a2 x var(R2t) + e2

The dynamic of conditional variances and covariances is parametrized 
by a GARCH process.

First, I estimated the model allowing a1<>a2 and save the residuals.
Then, I reestimated the model with the constraint a1=a2.

To test wether or not a1=a2, I calculate the Likelihood Ratio test 
using RATIO in Rats with 1 degrees of freedom.

Is it correct ? 
How should I interpret the results ?

Thanks for your help.

Philippe PROTIN
Ecole Superieure des Affaires
BP 47
38040 GRENOBLE CEDEX 9
--------------------------------
E-mail : protin@esa.upmf-grenoble.fr
--------------------------------



---------- End of message ----------

From: Monia Ben Kaabia <monia@mizar.csic.es>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: fully modified vector autoregression
Date: Wed, 16 Apr 1997 18:24:16 +0200 (MET DST)
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        i am looking for help with programing en rats and estimation system
from "Fully MODIFIED-VAR" by Peter C.B. Phillips (1995) article, "Fully
Modified Least Squares and Vector Autoregression" . Has anyone this
programes or procedure with RATS?

Thank.

MONIA BEN KAABIA

****************************************************
Monia Ben Kaabia                                   *
Unidad de Economia Agraria                         *
Servicio de Investigaci=F3n Agroalimentaria          *
Gobierno de Arag=F3n                                 *
Apartado 727                                       *
50080 Zaragoza                                     *
Espa=F1a                                             *
Tel: ++ 34.76.576361                               *
Fax: ++ 34.76.575501                               *
E-mail: raouf@adeix.mizar.csic.es                  *
****************************************************


---------- End of message ----------

From: Rob Trevor <robt@efs.mq.edu.au>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: TEST MESSAGE - PLEASE IGNORE [ADMIN]
Date: Thu, 17 Apr 1997 12:46:29 +1000
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Sorry about this folks, but I just need to run a test.

Rob
mailto:RATS-L-OWNER@EFS.MQ.EDU.AU



---------- End of message ----------

From: Kenneth Leong <kleong@tartarus.uwa.edu.au>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: HEGY test for seasonal unit roots.
Date: Thu, 17 Apr 1997 11:20:26 +0800
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Hello all,

Is there currently available a .src file for the HEGY test (for
quarterly data)?

Many thanks.

Kenneth Leong.

---------- End of message ----------

From: jacques tebeka <tebeka@compuserve.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: test of linearity
Date: Thu, 17 Apr 1997 12:54:22 -0400
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I am trying to program the Tsay's procedure (1986) to test linearity. I
have some problem with the second step: how to calculate Zt and make a
multivariate regression. If someone can help me on that problem or have yet
done this procedure.
Thanks for your answer.
Jacques Tebeka.

---------- End of message ----------

From: Gregory Lypny <lypny@alcor.concordia.ca>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: TEST MESSAGE - PLEASE IGNORE [ADMIN]
Date: Fri, 18 Apr 97 14:42:45 -0400
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But since I've got your ear, no word on Power Mac RATS yet?



Gregory J. Lypny
Associate Professor of Finance
Director, Centre for Instructional Technology

Mailing address:                            Contact:
-------------------------------------------------------------------
Finance Department                          514.848.2926 (voice)
Concordia University                        514.848.4500 (fax)
1455 De Maisonneuve Boulevard West          LYPNY@ALCOR.CONCORDIA.CA
Montreal, QC H3G 1M8


---------- End of message ----------

From: John Cline <jcline@glinx.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: TEST MESSAGE - PLEASE IGNORE [ADMIN]
Date: Fri, 18 Apr 1997 23:52:16 -0300
Errors-to: <rats-l-owner@efs.mq.edu.au>
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>But since I've got your ear, no word on Power Mac RATS yet?
>
>
>
>Gregory J. Lypny
>Associate Professor of Finance
>Director, Centre for Instructional Technology
>
>Mailing address:                            Contact:
>-------------------------------------------------------------------
>Finance Department                          514.848.2926 (voice)
>Concordia University                        514.848.4500 (fax)
>1455 De Maisonneuve Boulevard West          LYPNY@ALCOR.CONCORDIA.CA
>Montreal, QC H3G 1M8

Adding my two cents worth, any word on RATS for the rest of us Mac users
who have waited as much as 2 years for our upgrade???

Cheers,

John Cline who may have an old, old relative named Job.


Amaranth And Associates &
Amaranth Co-operative Enterprises Ltd.
PO Box 448
Wolfville, Nova Scotia,  B0P 1X0
1-902-542-4002 ( Fax & Voice )
Email:  jcline@glinx.com
Homepage:  http://www.glinx.com/users/jcline/
Worker Owned

Environmental Products, Education, Sustainable Development And Consulting
For A Conserver Society



---------- End of message ----------

From: Jyrki Koskinen <k22432@kyyppari.hkkk.fi>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Impulse responses
Date: Mon, 21 Apr 1997 21:36:21 +0300 (EET DST)
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  Hi, everybody!!

 Is there anyone out there who has calculated impulse
response functions in cointegrated systems, i.e. using
Johansen's FIML cointegration analysis (CATS)??
  Are there currently available any procedures for
calculating IRF:s after placing overidentifying
restrictions on the cointegration vectors?

Thanks in advance.


Jyrki Koskinen
Helsinki School of Economics
e-mail: k22432@kyyppari.hkkk.fi


---------- End of message ----------

From: Ripatti Antti <antti.ripatti@bof.fi>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Impulse responses
Date: Tue, 22 Apr 1997 08:18:37 +0300
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> Is there anyone out there who has calculated impulse
>response functions in cointegrated systems, i.e. using
>Johansen's FIML cointegration analysis (CATS)??
>  Are there currently available any procedures for
>calculating IRF:s after placing overidentifying
>restrictions on the cointegration vectors?

There is. Check url:
http://vega.unive.it/~alex/GRETA/MALCOLM/

Antti Ripatti
antti.ripatti@bof.fi

---------- End of message ----------

From: Monia Ben Kaabia <monia@mizar.csic.es>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: fully modified vector autoregression
Date: Mon, 28 Apr 1997 11:39:00 +0200 (MET DST)
Errors-to: <rats-l-owner@efs.mq.edu.au>
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        I am looking for help with programing en rats and estimation system
from "Fully MODIFIED-VAR" by Peter C.B. Phillips (1995) article, "Fully
Modified Least Squares and Vector Autoregression" . Has anyone this
programes or procedure with RATS?

Thank.

MONIA BEN KAABIA

****************************************************
Monia Ben Kaabia                                   *
Unidad de Economia Agraria                         *
Servicio de Investigaci=F3n Agroalimentaria          *
Gobierno de Arag=F3n                                 *
Apartado 727                                       *
50080 Zaragoza                                     *
Espa=F1a                                             *
Tel: ++ 34.76.576361                               *
Fax: ++ 34.76.575501                               *
E-mail: raouf@adeix.mizar.csic.es                  *
****************************************************


---------- End of message ----------