From: Sune Karlsson <stsk@HHS.SE>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re:
Date: Thu, 01 Aug 1996 11:23:34 +0100
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David Montgomery wrote:
>
> Dear Rats Users,
>
> The %lngamma defined in rats does not help at all and this function
> will not work for negative values. I need to calculate the gamma function
> for large negative values from -170 to -500. If anyone has a program that
> does this or if anyone is an expert on the gamma function then please
> contact because I need the help!!
>
> Thanks
>
> David Montgomery
I wrote (translated from the Fortran function in Numerical Recipes) this
replacement function a while back. It does negative arguments and uses a
slightly better algorithm than the one implemented in RATS at the time. I do
believe the current version of RATS is using the same algorithm (actually,
number of digits in the constants defined in the proc) so most of the stuff
can be commented away and replaced by a call to %lngamma.
Call as
@gammln(x=argument,Ret=result)
/Sune
procedure gammln
option real x
option real *RetVal
/* the only local needed when using %lngamma is xx */
local vector cof
local real ser stp tmp xx y
local int j
if x > 0 ; comp xx = x
else ; comp xx = 1 - x
/*
comp tmp = %lngamma(xx)
to use the internal version and remove the stuff below
*/
comp cof = || 76.18009172947146, -86.50532032941677, 24.01409824083091, $
-1.231739572450155, 0.1208650973866179e-2, -0.5395239384953e-5 ||
comp stp = 2.5066282746310005
comp y = xx, tmp = xx + 5.5, tmp = (xx+0.5)*log(tmp)-tmp, $
ser = 1.000000000190015
do j = 1, 6
comp y = y + 1.0, ser = ser + cof(j)/y
end do j
comp tmp = tmp + log( stp * ser/xx )
/*
Remove up to this point if you are using the internal version
The stuff below is still needed to take care of negative arguments
*/
if x > 0 {
comp RetVal = tmp
}
else {
if %frac(x) == 0.0 ; comp RetVal = %na
else ; comp RetVal = log(%pi / sin( %pi*xx ) ) - tmp
}
if .not.%valid(RetVal) ; disp '* GAMMLN: Complex valued result or pole'
end procedure gammln
--
----------------------------------------------------------------------
Sune Karlsson Internet: STSK@HHS.SE
Stockholm School of Economics Phone: + 46 8 736 92 39
Box 6501, 113 83 Stockholm, Sweden Fax: + 46 8 34 81 61
---------- End of message ----------
From: Robert Ingenito <frbsfdoe!RIngenito@sanf.frb.org>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Stock and Watson
Date: Fri, 2 Aug 1996 16:53:26 +1000
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Hello everyone:
James Stock and Mark Watson recently published an article titled
"EVIDENCE ON STRUCTURAL INSTABILITY IN MACROECONOMIC TIME SERIES
RELATIONS" in the Journal of Business and Economic Statistics
(January, 1996). I would like to program into RATS the statistical
test for time-varying parameters they describe (Nyblom's statistic) in
section 2.1 (page 13). Before I go ahead and do the programming, I
was wondering if anyone else has done so, and if so I may I see a copy
of the code?
Thanks,
Robert Ingenito
Senior Research Associate
Federal Reserve Bank of San Francisco 101 Market Street
San Francisco, California 94806
(415) 974-3206
ringenito@sanf.frb.org
---------- End of message ----------
From: Wai Lee <lee_wai@jpmorgan.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: problems with WinRATS
Date: 2 Aug 96 13:43:25
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Hi everybody:
I am experiencing different problems with WinRATS-16 and -32. I am posting
this so as to get a sense that whether these problems are common, or they just
happen to me. I appreciate if you would respond DIRECTLY TO ME, so as not to
overwhem this post list.
I have been using DOS version of RATS for 4 years, and recently ugrade to
WinRATS-32. I had problem (only sometimes) in reading in data . For example,
there are 1000 obs in the data file without any missing data. But the STAT
results shows that there are only, say, 150 usable obs, and 850 missing. When
I quit the windows version and use dos version coming along with the new
package, everything just works perfect.
Now, I purchased another WinRATS-16 for use in office. This time, the error
message
"RATSW.EXE: Floating Point: Square Root of Negative Number"
happens again and again when estimating a GARCH model, and it forces
termination of the application every time. According to RATS technical
support, this may have nothing to do with square root of negative no. as that
will give us a NA as response. Furthermore, the data reading problem happens
again. This time, LINREG works perfect, successfully detects the correct no.
of obs, usable obs., and missing data. But when I use MAXIMIZE, it reports
that there are 3000 obs, only 24 usable, and some 2976 obs are skipped. But
when I use "PRINT / the variables" to check, the data have absolutely no
problem at all. At this point, I try to do something else, such as following
the "Troubleshooting ARCH Models" on p.5-32 of the model in printing the
variance and likelihood value, and another error:
"Application Error: RATSW caused a General Protection Fault in module RATSW.EXE
at 0049:2056"
and again forces termination of application.
Similar problems have occurred on three computers, with different programs and
data. Particularly frustrating is those error that force termination of RATS,
which can happen even when I just try to use the mouse to click on the scroll
bar!
I appreciate if anyone could give advice on this, or share your experience with
me. I have wasted all my time in the last 3 days just to get RATS to run
properly. Thank you very much in advance.
--------------------------------------------------------------
Wai Lee
Assistant Vice President
Capital Markets Research
J.P. Morgan Investment Management Inc.
522 Fifth Avenue
New York, NY10036
U.S.A.
Tel 212-837-1916
Fax 212-944-2371
Email LEE_WAI@JPMORGAN.COM
---------- End of message ----------
From: David Montgomery <dmontgom@hawaii.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject:
Date: Sat, 10 Aug 1996 03:14:26 -1000
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Dear Rats users,
Does anyone have a program that solves for the roots of a
polynomial. I only need one that will solve for the roots of a polynomial
up to an order 3. General root findings would also be great.
ax^3 + bx^2 + cx + d = 0
Thanks,
David Montgomery
---------- End of message ----------
From: David Montgomery <dmontgom@hawaii.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: mle standard errors
Date: Sun, 11 Aug 1996 16:46:23 -1000
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Dear Rats Users,
Does anyone have a code that they have written that calculates the
standard errors for maximum likilihood estimation by calculating the second
derivitive of the likilihood function.
Thanks in advance
David Montgomery
---------- End of message ----------
From: "F.Y.Kumah" <F.Kumah@kub.nl>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re:
Date: Mon, 12 Aug 1996 10:24:10 MET
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Dear David,
Sorry to inform about Gauss on a Rats network, but it's all in the
advance of research. I think Gauss can solve for the roots of
polynomials of any order. You may try it - it's pretty straight
forward.
Best Regards
Francis
> Dear Rats users,
>
> Does anyone have a program that solves for the roots of a
> polynomial. I only need one that will solve for the roots of a polynomial
> up to an order 3. General root findings would also be great.
> ax^3 + bx^2 + cx + d = 0
>
> Thanks,
>
> David Montgomery
>
>
**~~**~~**~~**~~**~~**~~**~~**~~**~~****~~**~~**~~**~~**
Francis Y. Kumah
CentER for Economic Research
P. O. Box 90153
5000 LE Tilburg
The Netherlands
Phone (+31) 13 - 4668 221
Fax (+31) 13 - 4663 066
My Home Page:
http://cwis.kub.nl/~few5/center/phd_stud/kumah/home.HTM
**~~**~~**~~**~~**~~**~~**~~**~~**~~****~~**~~**~~**~~**
---------- End of message ----------
From: lmahens@vnet3.vub.ac.be (Luc M.A. Hens)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Estima is unreachable
Date: Tue, 13 Aug 1996 10:18:52 +0200
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Hi there
I've been trying for several days to reach Estima by e-mail or to get to
their home page, but it appears I can't get in. The e-mail (to
<ESTIMA@ESTIMA.COM> was bounced after 4 days of trying, and I get "no
entry" messages when I point my Web browser to either
<http://homepage.interaccess.com/~estima/> or <http://ww.estima.com>.
Does anyone know what's wrong?
Luc Hens
===================================================
Luc M.A. Hens
assistant professor of economics
Vesalius College, Vrije Universiteit Brussel
Pleinlaan 2, B-1050 Brussels Belgium
phone +32-2-629 20 61 fax +32-2-629 20 60
e-mail lmahens@vnet3.vub.ac.be
My homepage : http://bedr.vub.ac.be/Luc_Hens.html
VUB's homepage : http://www.vub.ac.be/VUB-home.html
===================================================
---------- End of message ----------
From: fleiber@spacelab.net (Frank Leiber)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Estima is unreachable
Date: Tue, 13 Aug 1996 07:05:48 -0400
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Luc M.A. Hens wrote:
>
> Hi there
>
> I've been trying for several days to reach Estima by e-mail or to get to
> their home page, but it appears I can't get in. The e-mail (to
> <ESTIMA@ESTIMA.COM> was bounced after 4 days of trying, and I get "no
> entry" messages when I point my Web browser to either
> <http://homepage.interaccess.com/~estima/> or <http://ww.estima.com>.
>
> Does anyone know what's wrong?
>
> Luc Hens
>
> ===================================================
> Luc M.A. Hens
> assistant professor of economics
> Vesalius College, Vrije Universiteit Brussel
> Pleinlaan 2, B-1050 Brussels Belgium
> phone +32-2-629 20 61 fax +32-2-629 20 60
> e-mail lmahens@vnet3.vub.ac.be
> My homepage : http://bedr.vub.ac.be/Luc_Hens.html
> VUB's homepage : http://www.vub.ac.be/VUB-home.html
> ===================================================
Luc;
How about adding a "w" to
http://ww.estima.com
and make it
http://www.estima.com
Good luck!
Frank
---------- End of message ----------
From: PANICCIA@WIDER.UNU.EDU
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: conditional pdf
Date: Tue, 13 Aug 1996 15:33:16 +0200
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Hi there,
did someone write a RATS-procedure for computing a non-parametric
estimate of the "conditional" pdf of two series
Cheers
__________________________________________________
Renato Paniccia'
research fellow
United Nations University
World Institute for Development Economics Research
Katajanokanlaituri 6B, 00160
Helsinki FINLAND
PHONE.(direct) +358-0-61.59.92.11
FAX +358-0-61.59.93.33
E-MAIL paniccia@wider.unu.edu
---------- End of message ----------
From: "Estima" <estima@estima.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Estima is unreachable
Date: Tue, 13 Aug 1996 15:27:37 -0600
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Luc:
As far as I know, we basically haven't had any e-mail or Web site
problems--the flow of e-mail messages and web hits has been pretty
constant. There was a power outage about a week ago that affected our
Internet Service Provider--I believe our Web page was off-line for a
few hours about a week ago. E-mail might have also been affected, but
again, only for a few hours.
If you still can't get through, let me know. You may have some sort of
firewall or router problem on your end.
Thanks,
Tom Maycock
Estima
--
+-----------------------------+-----------------------------------------+
| Estima | |
| P.O. Box 1818 | Voice: (847) 864-8772 |
| Evanston, IL 60204-1818 | Fax: (847) 864-6221 |
| U.S.A | BBS: (847) 864-8816 |
| e-mail: estima@estima.com | CompuServe: 73140,2202 |
|-----------------------------------------------------------------------|
| Web Site: http://www.estima.com |
| RATS Internet Mailing List: New members can join by sending e-mail to |
| MAISER@EFS.MQ.EDU.AU with the message: SUBSCRIBE RATS-L |
+-----------------------------------------------------------------------+
---------- End of message ----------
From: lmahens@vnet3.vub.ac.be (Luc M.A. Hens)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Estima is unreachable
Date: Wed, 14 Aug 1996 11:20:17 +0200
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Hi Tom
Everything seems to be back to normal again. I checked with our Webmaster,
but he didn't know about any local problems. Anyhow, the problem seems to
be fixed.
Did you get my ORDPROBIT.SRC procedure? I ran it on a different computer
and it still made the computer "hang" after a couple of seconds. None of
the "DISPLAY(UNIT=SCREEN) I AM AT É" lines I added appeared. I am
currently stripping the procedure back down to its essentials, to see where
the problem may lie. Any suggestions are welcome.
Luc
>Luc:
>
>As far as I know, we basically haven't had any e-mail or Web site
>problems--the flow of e-mail messages and web hits has been pretty
>constant. There was a power outage about a week ago that affected our
>Internet Service Provider--I believe our Web page was off-line for a
>few hours about a week ago. E-mail might have also been affected, but
>again, only for a few hours.
>
>If you still can't get through, let me know. You may have some sort of
>firewall or router problem on your end.
>
>
>Thanks,
>Tom Maycock
>Estima
>
>--
>+-----------------------------+-----------------------------------------+
>| Estima | |
>| P.O. Box 1818 | Voice: (847) 864-8772 |
>| Evanston, IL 60204-1818 | Fax: (847) 864-6221 |
>| U.S.A | BBS: (847) 864-8816 |
>| e-mail: estima@estima.com | CompuServe: 73140,2202 |
>|-----------------------------------------------------------------------|
>| Web Site: http://www.estima.com |
>| RATS Internet Mailing List: New members can join by sending e-mail to |
>| MAISER@EFS.MQ.EDU.AU with the message: SUBSCRIBE RATS-L |
>+-----------------------------------------------------------------------+
===================================================
Luc M.A. Hens
assistant professor of economics
Vesalius College, Vrije Universiteit Brussel
Pleinlaan 2, B-1050 Brussels Belgium
phone +32-2-629 20 61 fax +32-2-629 20 60
e-mail lmahens@vnet3.vub.ac.be
My homepage : http://bedr.vub.ac.be/Luc_Hens.html
VUB's homepage : http://www.vub.ac.be/VUB-home.html
===================================================
---------- End of message ----------
From: David Montgomery <dmontgom@hawaii.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Information Matrix
Date: Wed, 21 Aug 1996 20:35:42 -1000
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Dear Rats Users,
I am looking for anyone that has written a code that calculates the
information matrix or the Cramer-Rao lower bound to estimate the standard
errors for the coefficients from MLE for arma models. Thanks.
________________________________________________________________________________
David Montgomery Phone: 808-949-8882
454 Namahana St #304 Fax: 808-949-8882
Honolulu, HI 96815 VDO Phone: dmontgom@hawaii.edu
Graduate Student
Dept of Econimics, Unversity of Hawaii
Home Page: http://www2.hawaii.edu/~dmontgom/
---------- End of message ----------
From: pgallagh@ozemail.com.au (Economic Group RBA)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Bernanke Style Structural VAR w/bounds
Date: Mon, 26 Aug 1996 09:55:40 +1000
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Does anyone do estimations of structural VARs with probability bounds using
RATS, or is it a necessity to use GAUSS? Any assistance on this will be
greatly appreciated.
Economic Analysis Department Email enquiries:
Economic Group PH: +612 551 8817
Reserve Bank of Australia FAX: +612 551 8000
---------- End of message ----------
From: "SangSub Lee" <slee@bsn01.bsn.usf.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Bernanke Style Structural VAR w/bounds
Date: Sun, 25 Aug 1996 20:17:30 -0500
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Organization: USF College of Business
X-mailer: Pegasus Mail for Windows (v2.23) (via Mercury MTS (Bindery) v1.30)
Refer to the paper by Sims and Zha (95).
It discusses how the ordinary Bayesian error bounds in Rats
manual can be extended to Bernanke type strucutral VAR models
just-identified or overidentified.
I got the Rats program used by Sims and Zha from Zha.
Let me know if you want it.
You can also modify the program easily in order
to incorporate the Bernanke.src procedure in Rats into the program.
IWoops. Actually, You also have to modify Bernake procedure a liitle bit
too to make it fit. If you know the Bernanke Proc. you will understand
what I mean after you have read their paper. )
Sang-Sub Lee
assistant professor
Dep't of Economics
University of South Florida
Tampa, FL 33620-5500
Tel: (813) 974-6554
Fax: (813) 974-6510
e-mail: slee@bsn01.bsn.usf.edu
---------- End of message ----------
From: Hameed Abid <iw94@jove.acs.unt.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: VECM Simulation
Date: Mon, 26 Aug 1996 11:03:58 -0500 (CDT)
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Folks,
I'm trying to simulate a VECM with cointegration constraints to
analyze impulse responses and variance decompositions. I have used EVIEWS
for this purpose but I recently came across a review of EVIEWS in Journal
of Applied Econometrics that it uses choleski decomposition and doesn't
impose long-run constraints from cointegration. Consequently,impulse
reposenes are not correct. So my question is before I embark on writing
the procedure myself,has anyone written a procedure in Rats or GAUSS to
simulate a VECM with cointegration constraints. If you would like to share
your procedure or give me some hints on setting this up in RATS or GAUSS
your help would be appreciated.
Thanks,
Abid Hameed
Oklahoma State University.
---------- End of message ----------
From: Wai Lee <lee_wai@jpmorgan.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: GARCH by GMM
Date: 27 Aug 96 9:48:24
Errors-to: <rats-l-owner@efs.mq.edu.au>
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When we do not have enough data, or when MLE estimation of GARCH is too
sensitive to initial values, one may want to estimate GARCH by GMM. There are
several articles which have done this.
Has anyone used NLSYSTEM to estimate a univariate GARCH(1,1) in RATS? Without
an explicit formula for the function value, how can we avoid self-referencing
FRML?
Wai Lee
LEE_WAI@JPMORGAN.COM
---------- End of message ----------
From: "Estima" <estima@estima.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: I(2) Cointegration procedure
Date: Wed, 28 Aug 1996 15:25:11 -0600
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Dear RATS Users:
Good news for CATS users:
Clara Jorgensen of the University of Copenhagen has recently written
a new procedure that adds support for I(2) models to the current
version of the CATS cointegration package.
Her work has the full support of the authors of CATS, and Clara has
graciously made this procedure available to all CATS users free of
charge.
You can download the files from our Web site (www.esitma.com) or from
our dial-up BBS.
Please note that you must have a copy of CATS (and RATS Version 4.2)
to make use of the procedure.
Let me know if you have any questions.
Sincerely,
Tom Maycock
Estima
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| Estima | |
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