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From: Hong-Jen Lin <hl7@acsu.buffalo.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: random coefficient by Kalman filter approach
Date: Mon, 31 Jul 2000 11:33:33 -0400 (EDT)
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To those who can solve this problem:
I am interested in the random coefficient model esitmated by Kalman Filter
approach. The example in the handbook is for VAR. The model I want to
apply bases on Wells (1994) in the Applied Economics, pp75-92.
His original program was written in Gauss, which is downloadable from his
web site. However, I would like to run it by RATS since I do not have the
library programs of GAUSS.
If you can offer any answer, it will be very appreciated.
With best wishes,
Hong-Jen Lin
SUNY at Buffalo


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

From: "Maurice Harris" <maharr17@hotmail.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Wald test for Bivariate VAR
Date: Wed, 02 Aug 2000 17:18:10 GMT
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I have estimated a bivariate VAR system and would like to perform some 
Granger causality testing on the model coefficients using the standard Wald 
F test.  RATS performs such tests using the exclude statement but 
unfortunately, not for systems of equations. For such systems, only the LR 
test is performed.  For my purposes, I need to use the Wald test.  Since I 
am very new to RATS, I don't know how to code the Wald test myself and was 
hoping that someone could either supply me with the code or at least some 
guidance for coding it myself.  Any assistance would be greatly appreciated. 
Thanks in advance.


________________________________________________________________________
Get Your Private, Free E-mail from MSN Hotmail at http://www.hotmail.com


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

From: JohnVelis@intesasgr.it
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Questions on Probit...
Date: Fri, 4 Aug 2000 16:52:42 +0200
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Hello all.

I tried to call Evanston today, but it seems no one is in at technical
support.  I envy them.

Anyway, I don't think I have ever done a panel regression in RATS, nor a
Probit model.  This weekend I find myself having to do both.   Some stupid
questions that aren't totally clear from the manual, and I am desperately
hoping someone out there will be able to answer some or all of them.

I have have 120 observations on 7 countries, with 1 edongenous and 3
exogenous variables.  They are in seven files, one for each country.  I
could easily just stack them 'by hand' (i.e. not in RATS) to make one big,
pooled file.  I know there is a an entire chapter (12) on panel data, but I
am not sure how to tell RATS to read these data in.  I want something like
this:

country one:
- - - - - - - - - - - -
obs   x1  x2 x3
1     x11 x21 x31
2     x12 x22 x32
3     x13 x23 x33
.
.
.
T    x1T x2T x3T
- - - - - - - - - - - -
country two:
- - - - - - - - - - - -
obs   x1  x2 x3
1     x11 x21 x31
2     x12 x22 x32
3     x13 x23 x33
.
.
.
T    x1T x2T x3T
- - - - - - - - - - - -
etc.

How does one get RATS to read the data in like this?


Furthermore, after I do the probit estimate, I would like to compute the
ex-post (i.e. the 'fitted') probabilities through time of getting a '1' for
the dependent variables:  i.e. mathematically,

Prob(y(t)=1) = PHI(beta1*x1(t)+beta2*x2(t)+beta3*x3(t)),

where PHI is the nomral CDF, betai is the coefficient estimate and xi(t) is
the value of the exogenous variable i at time t.

Will the parameter 'probs' after the PRBIT instruction give me a time
series of this value?   But how would one seperate these probabilities by
country, if the original estimate was done with a stacked data set?

If not, can I just use the coefficient estimates, multiply them by the
observations, sum them and put them inside the nomral CDF to get the
probability?

Sorry for so long an email, but I think the answers should be pretty
short...if any one can help, I would be quite grateful.

Thanks a lot and have a nice weekend.

Sincerely,

John Velis



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

From: Yuen Phui Ling Hazel <fbap8383@nus.edu.sg>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: Error Message
Date: Mon, 7 Aug 2000 20:23:14 +0800 
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Hi, 
Can someone please help to "decode" the following error message?  

## SX23. Expected Variable/Element of Type INTEGER, Got Expression Instead
>>>>DO ii = <<<<


One of my series has unavailable values for the first few entries, & I'm
running a 3 variable VAR system.

Thanks very much.

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

From: Hong-Jen Lin <hl7@acsu.buffalo.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: Error Message
Date: Mon, 7 Aug 2000 22:16:21 -0400 (EDT)
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On Mon, 7 Aug 2000, Yuen Phui Ling Hazel wrote:

> Hi, 
> Can someone please help to "decode" the following error message?  
> 
> ## SX23. Expected Variable/Element of Type INTEGER, Got Expression Instead
> >>>>DO ii = <<<<
> 

You must use an already announced variale but you put an expression after
the command.

> 
> One of my series has unavailable values for the first few entries, & I'm
> running a 3 variable VAR system.
> 
> Thanks very much.
> 


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

From: hdaouk <hdaouk@indiana.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: SWARCH
Date: Tue, 8 Aug 2000 01:11:37 -0500 (EST)
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Dear users,

I might not be the first one asking for this, but I am looking for a
SWARCH code in RATS (I would rather stay away from GAUSS).

Any help would be appreciated. Thank you.

Hazem Daouk
Finance Department
Kelley School of Business
Indiana University
Bloomington, IN 47405
U.S.A.

Voice:  (1)(812)857-6662
Fax:    (1)(812)855-5875
EMail:  hdaouk@indiana.edu


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

From: Ballayram <ballay@ufl.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Short-Run estimates in CATS
Date: Wed, 09 Aug 2000 11:26:29 -0400
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Hi Every-One,
Can someone kindly help me with the following problem?
I am estimating a crop supply function Y=f(X1, X2,X3,X4). Ideally, I
would like the long-run and short-run elasticities and speed of
adjustment of the SR to the LR. Since all variables in the model are
I(1), I decided to use the Cointegration approach, specifically the
Johansen's method using Cats in Rats software.
     After deciding on the number of cointegration relation in the
model, I ask CATS for the short run matrices. Invariably, and even when
there is only one long-run or cointegrating relationship, CATS give 5
short-run matrices.
     My question is this: Which of these 5 short-run relationship should
I report? Note: 1) some of the short-run relationships have signs
contrary to a priori expectations,and some have insignificant T stats;
2) As far as I am aware, CATS do not perform cross-equation
restrictions.
    Your thoughts on this will be gratefully appreciated.
Ballayram


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

From: "Monia Ben Kaabia" <mben@aragob.es>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Short-Run estimates in CATS
Date: Thu, 10 Aug 2000 09:26:58 -0500
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Dear ballayram;
For this problem may be beter to use the Microfit or Pcgive Package to
do cross restricction in the long run matrix as well as in the short run
matrix. I Write a paper about demand system and I calculate the shor and
the long run elasticities and speed of adjustment of the SR to the LR.
So I think you can use the same approach to estimate your system. 

	I have done the programming for our paper
in Rats. I'd be happy to send you the
routines, if you think these might be helpful.

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

From: Ballayram <ballay@ufl.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Short-Run estimates in CATS
Date: Thu, 10 Aug 2000 09:40:09 -0400
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Hello Monia Ben Kaabia,
 Thank you for responding to my email.
I do not have access to the microfit or PCGIVE softwares. I only recently
purchased Rats/Cats.
I would appreciate if you'd email  me the Rats routine (and if possible a
copy of you paper on demand system) which you mentioned.
With best regards,
Ballayram


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

From: =?iso-8859-1?q?slim=20skandes?= <slim_skander@yahoo.fr>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: request for  a program
Date: Fri, 11 Aug 2000 00:26:07 +0200 (CEST)
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Best regards

I m a student in PARIS X university (France).I want to
apply the white test for heteroskedasticity .I found
the code on www.estima.com but AS i m beggining with
RATS i couldn't apply it .
can someone of the dear Rats users help me

thank you





___________________________________________________________
Do You Yahoo!?
Achetez, vendez! =C0 votre prix! Sur http://encheres.yahoo.fr

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

From: =?iso-8859-1?q?slim=20skandes?= <slim_skander@yahoo.fr>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: help
Date: Fri, 11 Aug 2000 00:26:20 +0200 (CEST)
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Best regards

I m a student in PARIS X university (France).I want to
apply the white test for heteroskedasticity .I found
the code on www.estima.com but AS i m beggining with
RATS i couldn't apply it .
can someone of the dear Rats users help me

thank you





___________________________________________________________
Do You Yahoo!?
Achetez, vendez! =C0 votre prix! Sur http://encheres.yahoo.fr

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

From: Woo Kai Yin <kywoo@start3.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE:fractional integration parameters and simulation
Date: Wed, 16 Aug 2000 09:05:14 +0800
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Dear Rats users,

I know that there are RATS programs to imlement estimation for
fractional integration parameters. But I also wish to get the codes to
simulate the critical values since for example, the distribution of the
parameters estimated from GPH (1983) is non-standard. 

I would be grateful for your help. 
Thanks.

regards,

Kai-yin Woo
Senior Lecturer,
HOng Kong Shue Yan College,
HOng Kong.

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

From: baum <baum@bc.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: fractional integration parameters and simulation
Date: Wed, 16 Aug 2000 11:38:43 -0400
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There are some procedures at Estima's web site. There are also some procedures 
for long memory estimators in the SCC-IDEAS archive that I maintain at 
http://ideas.repec.org -- search among Software Components for 'long memory'.

Kit Baum
SSC-IDEAS archive maintainer

>===== Original Message From "RATS Discussion List" <RATS-L@efs.mq.edu.au> 
=====
>Dear Rats users,
>
>I know that there are RATS programs to imlement estimation for
>fractional integration parameters. But I also wish to get the codes to
>simulate the critical values since for example, the distribution of the
>parameters estimated from GPH (1983) is non-standard.
>
>I would be grateful for your help.
>Thanks.
>
>regards,
>
>Kai-yin Woo
>Senior Lecturer,
>HOng Kong Shue Yan College,
>HOng Kong.



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

From: Woo Kai Yin <kywoo@start3.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: fractional integration parameters and simulation
Date: Thu, 17 Aug 2000 18:39:47 +0800
Errors-to: <rats-l-owner@efs.mq.edu.au>
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baum wrote:
> 
> There are some procedures at Estima's web site. There are also some procedures
> for long memory estimators in the SCC-IDEAS archive that I maintain at
> http://ideas.repec.org -- search among Software Components for 'long memory'.
> 
> Kit Baum
> SSC-IDEAS archive maintainer
> 
> >===== Original Message From "RATS Discussion List" <RATS-L@efs.mq.edu.au>
> =====
> >Dear Rats users,
> >
> >I know that there are RATS programs to imlement estimation for
> >fractional integration parameters. But I also wish to get the codes to
> >simulate the critical values since for example, the distribution of the
> >parameters estimated from GPH (1983) is non-standard.
> >
> >I would be grateful for your help.
> >Thanks.
> >
> >regards,
> >
> >Kai-yin Woo
> >Senior Lecturer,
> >HOng Kong Shue Yan College,
> >HOng Kong.
Dear Baum,

Thanks.

regards,

Kai-yin Woo

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

From: "Jan-Egbert Sturm" <j.e.sturm@eco.rug.nl>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Random effects probit model
Date: Mon, 21 Aug 2000 16:14:48 +1000
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Hi,

I would like to estimate a random effects probit model using RATS. 
In LIMDEP this is no problem at all, but as I am using RATS to do 
some other estimations necessary for this project, I would prefer to 
use RATS here as well. If anyone has ever estimated a random 
effects probit model in RATS, then I would very much appreciate it 
if (s)he could send me an example program of how to do it. Thanks 
in advance.

Jan-Egbert Sturm
Visiting Assistant Professor of Economics
Bond University
School of Business
Gold Coast
Queensland 4229
Australia
+61-(0)7-55951429
http://go.to/sturm

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

From: Paulo Parente <paulo.parente@ine.pt>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: F distribution with non-integer DF
Date: Tue, 22 Aug 2000 10:20:59 +0100
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How can I compute the F distribution with non-integer df?
When I used the  %Ftest(.) function to compute F distribution with
non-integer df, I got the following message:

comp a=%Ftest(5.3,5.6,3.7)
display a
## SX22. Expected Type INTEGER, Got REAL Instead
>>>>p a=%Ftest(5.3,5.6,<<<<

	Sincerely


Paulo Parente


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

From: JohnVelis@intesasgr.it
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Hodrick Prescott Filter
Date: Thu, 24 Aug 2000 11:21:31 +0200
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Dear firends:

I know that a few montsh ago there was a brief exchange ragarding the
choice of lambda (the smoothing parameter) used in the HP filter.   I
appologize for not remebering the answer or saving the emails related to
it, so I have to re-ask the question:

When using monthly data, what is the recomended value(s) for lambda?

Thanks again.

-John Velis



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

From: "Lee, Wai" <wai.lee@csam.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: Hodrick Prescott Filter
Date: Thu, 24 Aug 2000 09:35:34 -0400
Errors-to: <rats-l-owner@efs.mq.edu.au>
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You may check the original, Hodrick and Prescott, "Postwar US Business
Cycles: An Empirical Investigation," Journal of Money, Credit, and Banking,
Feb 97, pp.1-16, for the argument/reasons of using 1600 for quarterly, from
which you may come up with your own lamda for monthly.  Eviews uses 14400 as
the default for monthly.  But why should these be used as if it were a
cookbook recipe?

-----Original Message-----
From: JohnVelis@intesasgr.it [mailto:JohnVelis@intesasgr.it]
Sent: Thursday, August 24, 2000 5:22 AM
To: RATS Discussion List
Subject: Hodrick Prescott Filter




Dear firends:

I know that a few montsh ago there was a brief exchange ragarding the
choice of lambda (the smoothing parameter) used in the HP filter.   I
appologize for not remebering the answer or saving the emails related to
it, so I have to re-ask the question:

When using monthly data, what is the recomended value(s) for lambda?

Thanks again.

-John Velis



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From: Simon van Norden <Simon.van-Norden@hec.ca>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Hodrick Prescott Filter
Date: Fri, 25 Aug 2000 12:59:33 -0400
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Actually, I think John is refering to the work by Torben Mark Pedersen wh=
ich was
mentioned on the list last June.  The key recommendations are in Universi=
ty of
Copenhagen Institute of Economics Discussion paper no 9 (1998) which is
forthcoming in JEDC. Below is one of the messages Torben posted to list.

SvN
--=20
Simon van Norden, Prof. agr=E9g=E9, www.hec.ca/pages/simon.van-norden
Service de l'enseignement de la finance, =C9cole des H.E.C.
3000 Cote-Sainte-Catherine, Montreal QC, CANADA   H3T 2A7
simon.van-norden@hec.ca or (514)340-6781 or fax:(514)340-5632


> From:=20
>         "Torben Mark Pedersen" <TMP@OEM.DK>
>                                                                        =
      19/06/00 10:04 AM
>=20
>  Subject:=20
>         HP-filtering
>      To:=20
>         "RATS Discussion List" <RATS-L@efs.mq.edu.au>
>=20
>=20
>=20
>=20
> I have computed the following optimal values of the smoothing parameter=
 of the HP-filter
> (lambda)  when filtering log of US real GDP for the period 1947-97 for =
quarterly, annual, and
> monthly time series and for hte following combination of cycle length:
>=20
> There is some uncertainty about the estimates since there is some uncer=
tainty about the true
> spectral shape of the US real GDP series. I would personally use the lo=
wer numbers in the
> following ranges:
>=20
> cycles      Quarterly        =20
>=20
> 3 years    19-22
> 4 years    60-68
> 5 years    150-160
> 6 years    315-335
> 7 years    585-610
> 8 years    1005-1040
> 9 years    1620-1665
> 10 years  2450-2505
> 12 years  5215-5315
> 16 years  16130-16410
>=20
>=20
> cycles      Annual        =20
>=20
> 3 years    .09-.1
> 4 years    .3-.5
> 5 years    .7-1
> 6 years    1.3-1.8
> 7 years    2.2-3.1
> 8 years    3.7-4.9
> 9 years    5.9-7.6
> 10 years  9-11.2
> 12 years  18.9-22.2
> 16 years  60.9-67.6
>=20
>=20
> cycles      Monthly       =20
>=20
> 3 years    1620-1665
> 4 years    5210-5310
> 5 years    12725-12950
> 6 years    25900-26400
> 7 years    49400-50400
> 8 years    82800-84800
> 9 years    130500-134000
> 10 years  201000-207750
> 12 years  427500-447000
> 16 years  1378000-1482500
>=20
> The technique for computing the optimal value is found in=20
> http://www.econ.ku.dk/tmp/manuscripts.htm#Slutzky=20
> which will be published in the Journal of Economic Dynamics and Control=
 later this year.
>=20
>=20
>=20
>=20
>=20
>=20
>=20
>=20
> Torben Mark Pedersen, specialkonsulent
> =D8konomiministeriet
> Ved Stranden 8
> 1061 K=F8benhavn K.
> Tlf.: 33 92 41 68
> E-mail: tmp@oem.dk
> URL: http://www.econ.ku.dk/tmp/default.htm
>=20
> Torben Mark Pedersen
> Ministry of Economic Affairs
> Ved Stranden 8
> DK-1061 Copenhagen K.
> Denmark
> Tel: +45  33 92 41 68
> E-mail: tmp@oem.dk
> URL: http://www.econ.ku.dk/tmp/default.htm
>=20
>=20
>=20





"Lee, Wai" wrote:
>=20
> You may check the original, Hodrick and Prescott, "Postwar US Business
> Cycles: An Empirical Investigation," Journal of Money, Credit, and Bank=
ing,
> Feb 97, pp.1-16, for the argument/reasons of using 1600 for quarterly, =
from
> which you may come up with your own lamda for monthly.  Eviews uses 144=
00 as
> the default for monthly.  But why should these be used as if it were a
> cookbook recipe?
>=20
> -----Original Message-----
> From: JohnVelis@intesasgr.it [mailto:JohnVelis@intesasgr.it]
> Sent: Thursday, August 24, 2000 5:22 AM
> To: RATS Discussion List
> Subject: Hodrick Prescott Filter
>=20
> Dear firends:
>=20
> I know that a few montsh ago there was a brief exchange ragarding the
> choice of lambda (the smoothing parameter) used in the HP filter.   I
> appologize for not remebering the answer or saving the emails related t=
o
> it, so I have to re-ask the question:
>=20
> When using monthly data, what is the recomended value(s) for lambda?
>=20
> Thanks again.
>=20
> -John Velis
>=20
> - NOTICE -
>=20
> This message may contain confidential, proprietary or legally privilege=
d
> information and is intended only for the use of the addressee named abo=
ve.
> No confidentiality or privilege is waived or lost by any mistransmissio=
n.
> If you are not the intended recipient of this message you are hereby
> notified that you must not use, disseminate, copy it in any form or tak=
e
> any action in reliance on it.  If you have received this message in err=
or
> please delete it and any copies of it and notify CREDIT SUISSE ASSET MA=
NAGEMENT
> immediately.
>=20
> Any views expressed in this message are those of the individual sender,
> except where the message specifically states otherwise and the sender i=
s
> authorized to state them to be the views of CREDIT SUISSE ASSET MANAGEM=
ENT.
>=20
> CREDIT SUISSE GROUP, CREDIT SUISSE FIRST BOSTON, and each legal entity =
in
> the CREDIT SUISSE FIRST BOSTON or CREDIT SUISSE ASSET MANAGEMENT  busin=
ess
> units of CREDIT SUISSE FIRST BOSTON reserve the right to monitor all e-=
mail
> communications through its networks.

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