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From: Stuart Glosser <glossers@uwwvax.uww.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Estimating ARFIMA Models
Date: Wed, 2 Feb 2000 12:00:41 -0600
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What procedures are available in Rats for estimating ARFIMA models?

Thanks in advance.

Stuart Glosser
Dept. of Economics
University of Wisconsin at Whitewater
Whitewater, WI 53190



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From: "Christopher F. Baum" <baum@bc.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Estimating ARFIMA Models
Date: Wed, 02 Feb 2000 13:17:04 -0500
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If you use the search "ARFIMA or GPH" among Software Components on IDEAS 
(http://ideas.uqam.ca/ideas/) you will find several RATS modules for ARFIMA.

Kit Baum
Boston College Economics

--On Wed, Feb 2, 2000 12:00 -0600 Stuart Glosser <glossers@uwwvax.uww.edu>
wrote:

> What procedures are available in Rats for estimating ARFIMA models?
> 
> Thanks in advance.
> 
> Stuart Glosser
> Dept. of Economics
> University of Wisconsin at Whitewater
> Whitewater, WI 53190
> 
> 



-----------------------------------------------------------------
Kit Baum    baum@bc.edu    http://fmwww.bc.edu/ec-v/baum.fac.html

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From: Feng Zhu <feng.zhu@yale.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Estimating ARFIMA Models
Date: Thu, 3 Feb 2000 10:37:58 -0500 (EST)
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You could check the RATS home page and there are procedures for estimating
ARFIMA models.

Feng Zhu


On Wed, 2 Feb 2000, Stuart Glosser wrote:

> What procedures are available in Rats for estimating ARFIMA models?
> 
> Thanks in advance.
> 
> Stuart Glosser
> Dept. of Economics
> University of Wisconsin at Whitewater
> Whitewater, WI 53190
> 
> 


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From: "Michele Gambera" <Michele.Gambera@chi.frb.org>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Static Forecasting
Date: Tue, 8 Feb 2000 15:27:17 -0600
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Hi,

I estimate a linear equation and would like to obtain the one-step-ahead, static
forecast.  Since STEPS requires the name of the equation, is it correct to think
that I need to specify a name for my linear regression using  EQUATION and
estimate it with SUR (that is, I cannot use LINREG to obtain my forecast)?

Example:

This one works:

EQUATION firsteq serie1
# constant serie1{1 TO 4} serie2{1} serie3{1}
SUR 1
# firsteq
STEPS(PRINT) 1 1 1999:4
# firsteq fore1

I have to do a number of these regressions, because I use this as a benchmark
against a simple VAR model.
Writing the program would then be easier if I could simply use:

LINREG serie1 1987:1 1999:3
# constant serie1{1 TO 4} serie2{1} serie3{1}
STEPS(PRINT) 1 1 1999:4
# ??? fore1

but I do not know what I should put into STEPS instead of the question marks.

As an alternative, I could write a procedure, but the equations I test have a
variable number of regressors,
and I don't know how to write a procedure that can take, say, from 2 to 6
variables.

Any ideas?

Thanks,
Michele



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From: "Estima" <tomm@estima.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Static Forecasting
Date: Tue, 8 Feb 2000 16:33:16 -0600
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> I estimate a linear equation and would like to obtain the one-step-ahead, static
> forecast.  Since STEPS requires the name of the equation, is it correct to think
> that I need to specify a name for my linear regression using  EQUATION and
> estimate it with SUR (that is, I cannot use LINREG to obtain my forecast)?

Nope, just use the DEFINE option on LINREG, as shown below:

> 
> Writing the program would then be easier if I could simply use:
> 
> LINREG serie1 1987:1 1999:3
> # constant serie1{1 TO 4} serie2{1} serie3{1}
> STEPS(PRINT) 1 1 1999:4
> # ??? fore1

LINREG(define=myeqn) serie1 1987:1 1999:3
# constant serie1{1 TO 4} serie2{1} serie3{1}
STEPS(PRINT) 1 1 1999:4
# myeqn fore1

Also, just because you've defined an equation with the EQUATION 
command doesn't mean that you have to use SUR. You can always 
estimate an existin equation using LINREG--just use the EQUATION 
option to tell LINREG which equation to estimate:

EQUATION firsteq serie1
# constant serie1{1 TO 4} serie2{1} serie3{1}
linreg(equation=firstreg)

You can even use LINREG if you create the equation using SYSTEM, 
VARIABLES, LAGS, etc. (of course, you can only estimate one equation 
per LINREG):

system 1 to 4
variables s1 s2 s3 s4
lags 1 to 4
deterministic constant
end(system)

linreg(equation=1)

Or, if you wanted estimate the whole system by looping over some 
LINREG's rather than using ESTIMATE:

do I=1,4
 linreg(equation=I)
end do

As for writing a procudure, you can use the ENTER(VARYING), which 
allows you to supply a supplementary card listing the variables when 
you call the procedure. Lots of procedurs shipped with RATS or 
available on our web site do that. See MIXED.SRC and MIXVAR.SRC for 
two examples included with RATS, or something like RLINREG.SRC on the 
web site. In some cases, you can just pass on the variable returned 
by ENTER on the supplementary card of your LINREG command. However, 
if you actually need to determine which variables/lags are supplied 
on the supplementary card, be sure to see the description of the 
ENTRIES option on page 5-26 of the manual and the relevant question 
on the RATS FAQ on the web page (and see the usage in RLINREG.SRC).

Sincerely,
Tom Maycock
Estima



> but I do not know what I should put into STEPS instead of the question marks.
> 
> As an alternative, I could write a procedure, but the equations I test have a
> variable number of regressors,
> and I don't know how to write a procedure that can take, say, from 2 to 6
> variables.
> 
> Any ideas?
> 
> Thanks,
> Michele
> 
> 


--
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|   P.O. Box 1818             |           (847) 864-8772   |
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|   USA                       |  Fax:     (847) 864-6221   |
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From: Simon.Van-Norden@hec.ca
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Static Forecasting
Date: Tue, 08 Feb 2000 17:37:17 -0500
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Would the following produce what you're after?

	LINREG serie1 1987:1 1999:3
	# constant serie1{1 TO 4} serie2{1} serie3{1}
	PRJ fore1 1999:4 1999:4


SvN

Michele Gambera wrote:
> 
> Hi,
> 
> I estimate a linear equation and would like to obtain the one-step-ahead, static
> forecast.  Since STEPS requires the name of the equation, is it correct to think
> that I need to specify a name for my linear regression using  EQUATION and
> estimate it with SUR (that is, I cannot use LINREG to obtain my forecast)?
> 
> Example:
> 
> This one works:
> 
> EQUATION firsteq serie1
> # constant serie1{1 TO 4} serie2{1} serie3{1}
> SUR 1
> # firsteq
> STEPS(PRINT) 1 1 1999:4
> # firsteq fore1
> 
> I have to do a number of these regressions, because I use this as a benchmark
> against a simple VAR model.
> Writing the program would then be easier if I could simply use:
> 
> LINREG serie1 1987:1 1999:3
> # constant serie1{1 TO 4} serie2{1} serie3{1}
> STEPS(PRINT) 1 1 1999:4
> # ??? fore1
> 
> but I do not know what I should put into STEPS instead of the question marks.
> 
> As an alternative, I could write a procedure, but the equations I test have a
> variable number of regressors,
> and I don't know how to write a procedure that can take, say, from 2 to 6
> variables.
> 
> Any ideas?
> 
> Thanks,
> Michele

-- 
Simon van Norden, Prof. agr�g�, www.hec.ca/pages/simon.van-norden
Service de l'enseignement de la finance, �cole 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

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From: Ricardo Chaves Lima <rcl@netpe.com.br>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: ARFIMA
Date: Wed, 09 Feb 2000 01:17:07 -0200
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Dear all

Does anyone have a procedure to calculation "d" in the ARFIMA
model. Thanks.

Ricardo Chaves Lima
Universidade FEderal de Pernabuco - Brazil
rcl@netpe.com.br


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From: "wan" <wan@mail.tku.edu.tw>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: ARFIMA
Date: Wed, 9 Feb 2000 12:06:36 +0800
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you may use the OX arfima package to do this!!

> -----Original Message-----
> From: Maiser@EFS01.efs.mq.edu.au [mailto:Maiser@EFS01.efs.mq.edu.au]On
> Behalf Of Ricardo Chaves Lima
> Sent: Wednesday, February 09, 2000 11:17 AM
> To: RATS Discussion List
> Subject: ARFIMA
> 
> 
> Dear all
> 
> Does anyone have a procedure to calculation "d" in the ARFIMA
> model. Thanks.
> 
> Ricardo Chaves Lima
> Universidade FEderal de Pernabuco - Brazil
> rcl@netpe.com.br
> 

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From: "Christopher F. Baum" <baum@bc.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: ARFIMA
Date: Wed, 09 Feb 2000 08:56:36 -0500
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This question just appeared last week on the list. There are procedures
linked to the RATS website, and there are several relevant procedures in
the Boston College Statistical Software Components archive at IDEAS
(http://ideas.uqam.ca).

Kit Baum
SSC-IDEAS


--On Wed, Feb 9, 2000 1:17 -0200 Ricardo Chaves Lima <rcl@netpe.com.br>
wrote:

> Dear all
> 
> Does anyone have a procedure to calculation "d" in the ARFIMA
> model. Thanks.
> 
> Ricardo Chaves Lima
> Universidade FEderal de Pernabuco - Brazil
> rcl@netpe.com.br
> 



-----------------------------------------------------------------
Kit Baum    baum@bc.edu    http://fmwww.bc.edu/ec-v/baum.fac.html

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From: "Christopher F. Baum" <baum@bc.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: ARFIMA
Date: Wed, 09 Feb 2000 09:04:33 -0500
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That is also an excellent suggestion. Ox and its ARFIMA addon work very
well, and Ox has the Sowell-type ML estimator of ARFIMA, which to my
knowledge is not available in general form (arbitrary p and q) for RATS.

Kit Baum

--On Wed, Feb 9, 2000 12:06 +0800 wan <wan@mail.tku.edu.tw> wrote:

> you may use the OX arfima package to do this!!
> 
>> -----Original Message-----
>> From: Maiser@EFS01.efs.mq.edu.au [mailto:Maiser@EFS01.efs.mq.edu.au]On
>> Behalf Of Ricardo Chaves Lima
>> Sent: Wednesday, February 09, 2000 11:17 AM
>> To: RATS Discussion List
>> Subject: ARFIMA
>> 
>> 
>> Dear all
>> 
>> Does anyone have a procedure to calculation "d" in the ARFIMA
>> model. Thanks.
>> 
>> Ricardo Chaves Lima
>> Universidade FEderal de Pernabuco - Brazil
>> rcl@netpe.com.br
>> 



-----------------------------------------------------------------
Kit Baum    baum@bc.edu    http://fmwww.bc.edu/ec-v/baum.fac.html

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Dear Fellow RATS users,

How to print a constant as a series?
Thank you


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To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: (none)
Date: Sat, 12 Feb 2000 00:20:48 -0500
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**Use the command set as follows:

set x = 5

**then print using

print / x

>===== Original Message From RATS Discussion List <RATS-L@efs.mq.edu.au> =====
>Dear Fellow RATS users,
>
>How to print a constant as a series?
>Thank you



From ???@??? Mon Feb 14 13:47:51 2000
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From: Ying-Man Chung <y_mchung@yahoo.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE:geometric average
Date: Sun, 13 Feb 2000 02:50:10 -0800 (PST)
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Dear RATS users,

Let time series data be X which is the end of month
data for the money supply.

I now want to generate a new time series data Y, which
is formed as a geometric average of data x.  

would you like to let me know the Rats command to
perform it, please?


Thanks a lot.

regards,

Sarah,
SYC
__________________________________________________
Do You Yahoo!?
Talk to your friends online with Yahoo! Messenger.
http://im.yahoo.com

From ???@??? Mon Feb 14 13:47:59 2000
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From: Christopher F Baum <baum@bc.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE:geometric average
Date: Sun, 13 Feb 2000 09:05:24 -0500
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The geometric mean is just the exp[ average [ ln(x) ] ]. Log the series
with the LOG command. I presume you want a moving average, so use FILTER to
specify the moving average, and apply EXP to the output of the FILTER. 

Kit Baum
Boston College Economics

--On Sun, Feb 13, 2000 2:50 -0800 Ying-Man Chung <y_mchung@yahoo.com> wrote:

> Dear RATS users,
> 
> Let time series data be X which is the end of month
> data for the money supply.
> 
> I now want to generate a new time series data Y, which
> is formed as a geometric average of data x.  
> 
> would you like to let me know the Rats command to
> perform it, please?
> 
> 
> Thanks a lot.
> 
> regards,
> 
> Sarah,
> SYC
> __________________________________________________
> Do You Yahoo!?
> Talk to your friends online with Yahoo! Messenger.
> http://im.yahoo.com





From ???@??? Tue Feb 15 21:49:02 2000
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From: "Alejandro Jara" <ajara@ucla.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: X-11 seasonal adjustment
Date: Tue, 15 Feb 2000 01:33:07 -0800
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Dear friends,
does anybody knows how to seasonally adjust a series using
the X-11 method...if you have a procedure or know how to do it
I'd really appreciate your help,
thanks,
alejandro jara

From ???@??? Wed Feb 16 07:12:46 2000
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From: "Iacoviello,M  (pg)" <M.Iacoviello@lse.ac.uk>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: X-11 seasonal adjustment
Date: Tue, 15 Feb 2000 12:10:18 -0000
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Hello

I know that the procedure is fairly easy to apply if you use the econometric
software E-Views. I would be very happy to know if Rats does it too, because
so far I have always transferred my non seasonally adjusted series back and
forth between Rats and E-views

Matteo



*********************************************************

Matteo Iacoviello
LSE - Department of Economics
Houghton Street
WC2A 2AE 
London - UK
0044 - 171 - 9556216

*********************************************************



> -----Original Message-----
> From:	Alejandro Jara [SMTP:ajara@ucla.edu]
> Sent:	15 February 2000 09:33
> To:	RATS Discussion List
> Subject:	X-11 seasonal adjustment
> 
> Dear friends,
> does anybody knows how to seasonally adjust a series using
> the X-11 method...if you have a procedure or know how to do it
> I'd really appreciate your help,
> thanks,
> alejandro jara

From ???@??? Wed Feb 16 07:13:24 2000
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From: Stuart Glosser <glossers@uwwvax.uww.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: X-11 seasonal adjustment
Date: Tue, 15 Feb 2000 08:04:33 -0600
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>> Dear friends,
>> does anybody knows how to seasonally adjust a series using
>> the X-11 method...if you have a procedure or know how to do it
>> I'd really appreciate your help,
>> thanks,


>
>I know that the procedure is fairly easy to apply if you use the econometric
>software E-Views. I would be very happy to know if Rats does it too, because
>so far I have always transferred my non seasonally adjusted series back and
>forth between Rats and E-views
>
>>

Check out http://www.estima.com/x11info.htm. It explains the EZ-X11 program
written by estima.


--Stuart Glosser




From ???@??? Wed Feb 16 07:13:26 2000
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From: Marius Ooms <ooms@few.eur.nl>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: X-11 seasonal adjustment
Date: Tue, 15 Feb 2000 15:14:02 +0100
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Dear All,

X-11/12 is a free executable! 
It is available from the Census Bureau
last version Feb 2000:
  http://ftp.census.gov/pub/ts/x12a/final/pc/Readme
See also
 http://www.eur.nl/few/ei/links/#CensusX12a
Fortran code is also free.

X12-Arima for GiveWin gives a nice Windows interface
 around X12-arima, ilustrating its MANY options and tests and it is not confined
to
 a maximum of 600 observations (as the old X11 executable used (with a shell) in
other packages)
see,
http://www.timberlake.co.uk/software/x12arima/x12arima.htm#X-12-ARIMA

Regards,
-- 
Marius Ooms                  mailto:ooms@few.eur.nl
Econometric Institute, Erasmus University Rotterdam
Editor Econometric Links   The Econometrics Journal
http://www.eur.nl/few/ei/links

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From: "Estima" <tomm@estima.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: X-11 seasonal adjustment
Date: Tue, 15 Feb 2000 11:04:02 -0600
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> Dear friends,
> does anybody knows how to seasonally adjust a series using
> the X-11 method...if you have a procedure or know how to do it
> I'd really appreciate your help,

As someone else noted, we do offer a stand-alone EZ-X11 software 
package for seasonally adjusting data using the X11 procedure.

However, you can now also obtain a special version of WinRATS-32 that 
includes the X11 procedure as a built-in instruction. You'll need to 
own (or purchase) the latest version of WinRATS-32 (4.31), and 
purchase EZ-X11 for $150. Upon request, we can include a special 
version of WinRATS that implements X11 as a new instruction. This is 
particularly handy for applying the X11 procedure to a large number 
of series, because you can do it in a loop.

If you're not in a hurry, you might want to wait a while--it may be a 
cheaper add-on in the upcoming Version 5.

Sincerely,
Tom Maycock
Estima

--
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|   Estima                    |  Sales:   (800) 822-8038   |
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From: "Bob Shain" <bshain@mtppi.org>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Panel ECM Model in RATS Anyone?
Date: Tue, 15 Feb 2000 13:35:33 -0500
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I've really not seen this in any language though I've seen a parameter
calculation for the cointegration vector-- but just thought I would ask.


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From: "Estima" <tomm@estima.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Just testing--please ignore
Date: Tue, 15 Feb 2000 13:08:22 -0600
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Just a test message to verify the instructions on un-subscribing from 
the list are correct...

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From ???@??? Wed Feb 16 07:14:29 2000
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From: "Michele Gambera" <Michele.Gambera@chi.frb.org>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Panel ECM Model in RATS Anyone?
Date: Tue, 15 Feb 2000 13:10:59 -0600
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Peter Pedroni at Indiana University: ppedroni@indiana.edu
wrote panel cointegration routines in RATS.
He has been doing a lot of innovative research in the field.
Best,
Michele



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From: "Bob Shain" <bshain@mtppi.org>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: Panel ECM Model in RATS Anyone?
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Yes, I have it, but theres no ECM version of it  --  at least not yet. 

-----Original Message-----
From: Maiser@EFS01.efs.mq.edu.au [mailto:Maiser@EFS01.efs.mq.edu.au]On
Behalf Of Michele Gambera
Sent: Tuesday, February 15, 2000 2:11 PM
To: RATS Discussion List
Subject: Re: Panel ECM Model in RATS Anyone?


Peter Pedroni at Indiana University: ppedroni@indiana.edu
wrote panel cointegration routines in RATS.
He has been doing a lot of innovative research in the field.
Best,
Michele


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From: "John P. Burkett" <burkett@uriacc.uri.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: regression line in scatter plot
Date: Thu, 17 Feb 2000 04:01:31 +0000
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I have forgotten how to superimpose a simple regression line on a
scatter plot.
It would be easy if the data could be plotted with dots or symbols and
the fitted values with lines,
but SCATTER seems to apply one STYLE to all supplemental cards.
Can someone remind me what to do?

--
John P. Burkett
Department of Economics
University of Rhode Island
10 Chafee Road, Suite 3
Kingston, RI 02881-0808

phone (401) 874-4122
fax   (401) 874-2858



--------------9CF044A4742CBD1E247FAE47
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<!doctype html public "-//w3c//dtd html 4.0 transitional//en">
<html>
I have forgotten how to superimpose a simple regression line on a scatter
plot.
<br>It would be easy if the data could be plotted with dots or symbols
and the fitted values with lines,
<br>but SCATTER seems to apply one STYLE to all supplemental cards.
<br>Can someone remind me what to do?
<pre>--&nbsp;
John P. Burkett
Department of Economics
University of Rhode Island
10 Chafee Road, Suite 3
Kingston, RI 02881-0808

phone (401) 874-4122
fax&nbsp;&nbsp; (401) 874-2858</pre>
&nbsp;</html>

--------------9CF044A4742CBD1E247FAE47--


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From: Sebastian.SCHICH@oecd.org
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: regression line in scatter plot
Date: Thu, 17 Feb 2000 09:16:28 +0100
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Dear John,
underneath one example. Define the regression line first ("fitted_usge_1").
Then draw one scatterplot (containing the dots) on top of another
(containing the line). I have not checked it as it is shown below, but it
works fine as part of a multipanel graph.

LINREG(NOPRINT) dlcpi_usge_1 start end-12
#constant dlyr_usge_1
PRJ fitted_usge_1
...
SCATTER(VMAX=0.06,VMIN=-0.06,HMAX=0.07,HMIN=-0.03,$
   SUBHEADER='1 YEAR', HEADER = 'United States and Germany',$
   STYLE=SYMBOL) 1
# dlcpi_usge_1 dlyr_usge_1 start end-12
SCATTER(VMAX=0.06,VMIN=-0.06,HMAX=0.07,HMIN=-0.03,$
   SUBHEADER='1 YEAR',HEADER = 'United States and Germany',$
   STYLE=LINE) 1
# fitted_usge_1 dlyr_usge_1 start end-12

Good luck, 
Sebastian


-----Original Message-----
From: John P. Burkett [mailto:burkett@uriacc.uri.edu]
Sent: Thursday, February 17, 2000 5:02 AM
To: RATS Discussion List
Subject: regression line in scatter plot



--------------9CF044A4742CBD1E247FAE47
Content-Type: text/plain; charset=us-ascii
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I have forgotten how to superimpose a simple regression line on a
scatter plot.
It would be easy if the data could be plotted with dots or symbols and
the fitted values with lines,
but SCATTER seems to apply one STYLE to all supplemental cards.
Can someone remind me what to do?

--
John P. Burkett
Department of Economics
University of Rhode Island
10 Chafee Road, Suite 3
Kingston, RI 02881-0808

phone (401) 874-4122
fax   (401) 874-2858



--------------9CF044A4742CBD1E247FAE47
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<!doctype html public "-//w3c//dtd html 4.0 transitional//en">
<html>
I have forgotten how to superimpose a simple regression line on a scatter
plot.
<br>It would be easy if the data could be plotted with dots or symbols
and the fitted values with lines,
<br>but SCATTER seems to apply one STYLE to all supplemental cards.
<br>Can someone remind me what to do?
<pre>--&nbsp;
John P. Burkett
Department of Economics
University of Rhode Island
10 Chafee Road, Suite 3
Kingston, RI 02881-0808

phone (401) 874-4122
fax&nbsp;&nbsp; (401) 874-2858</pre>
&nbsp;</html>

--------------9CF044A4742CBD1E247FAE47--

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From: "Estima" <tomm@estima.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: regression line in scatter plot
Date: Thu, 17 Feb 2000 09:29:45 -0600
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> SCATTER(VMAX=0.06,VMIN=-0.06,HMAX=0.07,HMIN=-0.03,$
>    SUBHEADER='1 YEAR', HEADER = 'United States and Germany',$
>    STYLE=SYMBOL) 1
> # dlcpi_usge_1 dlyr_usge_1 start end-12
> SCATTER(VMAX=0.06,VMIN=-0.06,HMAX=0.07,HMIN=-0.03,$
>    SUBHEADER='1 YEAR',HEADER = 'United States and Germany',$
>    STYLE=LINE) 1
> # fitted_usge_1 dlyr_usge_1 start end-12
> 

You need to enclose the above in an SPGRAPH block in order for the 
two graphs to overlay. If you just want one graph on the page, you 
can do:

spgraph(hfield=1,vfield=1)
...scatter commands...
spgraph(done)

Just make sure that you use exactly the same options on both graphs 
(except for STYLE) so that all the headers, scales, etc. are the same-
-the graphs should then overlay seamlessly.

Version 5 will include an OVERLAY option on SCATTER, basically like 
the that has been available on GRAPH since 4.2, which will make this 
much easier.

Sincerely,
Tom Maycock
Estima

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From: "Holloway, James" <jholloway@treasury.gov.au>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Cusum tests
Date: Fri, 18 Feb 2000 08:02:55 +1100
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I wish to run the cusum and cusum of squares stability tests - does anyone
have these procedures ?

From ???@??? Fri Feb 18 10:40:12 2000
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From: Jim Lee <jlee@falcon.tamucc.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Cusum tests
Date: Thu, 17 Feb 2000 16:07:35 -0600
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Talking about free lunch, I think the best program on earth to run CUSUM-type
tests is an Excel program written by Ted Bos.  It can be downloaded from:

http://bos.business.uab.edu/cusum/index.htm

"Holloway, James" wrote:

> I wish to run the cusum and cusum of squares stability tests - does anyone
> have these procedures ?

--
Jim Lee
Texas A&M University-Corpus Christi
6300 Ocean Drive
Corpus Christi, Texas 78412
Phone: 361.825.5831



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From: ParisonC@bot.or.th
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: Cusum tests
Date: Fri, 18 Feb 2000 13:57:51 +0700
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Try E-views
Parisun Chantahanom
 <<...OLE_Obj...>> 

-----���ۂ�絎թ���-----
���:	Jim Lee [SMTP:jlee@falcon.tamucc.edu]
揤��׏�:	18 �������� 2543 5:08
���:	RATS Discussion List
��׏�:	Re: Cusum tests

Talking about free lunch, I think the best program on earth to run
CUSUM-type
tests is an Excel program written by Ted Bos.  It can be downloaded from:

http://bos.business.uab.edu/cusum/index.htm

"Holloway, James" wrote:

> I wish to run the cusum and cusum of squares stability tests - does anyone
> have these procedures ?

--
Jim Lee
Texas A&M University-Corpus Christi
6300 Ocean Drive
Corpus Christi, Texas 78412
Phone: 361.825.5831


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From: "Holloway, James" <jholloway@treasury.gov.au>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: Cusum tests
Date: Fri, 18 Feb 2000 18:56:54 +1100
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Thanks - very easy to use

> -----Original Message-----
> From:	Jim Lee [SMTP:jlee@falcon.tamucc.edu]
> Sent:	Friday, 18 February 2000 9:08
> To:	RATS Discussion List
> Subject:	Re: Cusum tests
> 
> Talking about free lunch, I think the best program on earth to run
> CUSUM-type
> tests is an Excel program written by Ted Bos.  It can be downloaded from:
> 
> http://bos.business.uab.edu/cusum/index.htm
> 
> "Holloway, James" wrote:
> 
> > I wish to run the cusum and cusum of squares stability tests - does
> anyone
> > have these procedures ?
> 
> --
> Jim Lee
> Texas A&M University-Corpus Christi
> 6300 Ocean Drive
> Corpus Christi, Texas 78412
> Phone: 361.825.5831
> 

From ???@??? Wed Feb 23 20:45:14 2000
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From: Katja Gerling <kgerling@ifw.uni-kiel.de>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: dynamic fixed effects model
Date: Wed, 23 Feb 2000 09:42:18 +0100
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Hi!
I am currently estimating a dynamic model with panel data and I want to
implement fixed individual effects. Now I'm wondering whether to do this
via defining a constant (dummy) for each cross section of my panel or by
using the panel instruction in RATS which subtracts the mean from each
time series. Both ways yield rather different results (which is not the
case for static models). Can anybody give me an advice?
Thanks, Katja


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From: Price SG <S.G.Price@city.ac.uk>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: dynamic fixed effects model
Date: Wed, 23 Feb 2000 10:02:59 +0000 (GMT)
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> I am currently estimating a dynamic model with panel data and I want to
> implement fixed individual effects. Now I'm wondering whether to do this
> via defining a constant (dummy) for each cross section of my panel or by
> using the panel instruction in RATS which subtracts the mean from each
> time series. Both ways yield rather different results (which is not the
> case for static models). Can anybody give me an advice?

Assuming this is a panel with T approx equal to N ...

Before you do ANYTHING with a dynamic panel read Pesaran and Smith
Journal of Econometrics vol 68 pp 79-113, and also Pesaran Shin and Smith
Pooled mean group estimation of dynamic heterogeneous panels
Forthcoming JASA (may be out by now) and available from Pesaran's
website.  The issue is that bias is a serious problem if the underlying
parameters are heterogeneous.  Luckily, there are solutions.

Assuming this is a panel with T small N large, there are different issues
which are well documented in stndard texts, eg Baltagi.



*******************************************************************
 Prof Simon Price         email:      s.g.price@city.ac.uk 
 Department of Economics
 City University          Tel (work): +44 (0)171 477 8000 ext 4503
 Northampton Square       Fax (work): +44 (0)171 477 8580
 London EC1V 0HB UK       
 URL http://www.city.ac.uk/~sm344
*******************************************************************





From ???@??? Mon Feb 28 21:40:41 2000
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From: Reto.Casserini@student.unisg.ch
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Generating ARFIMA(p,d,q)-series
Date: Sun, 27 Feb 2000 17:44:35 +0100
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Dear RATS-Users

I found a source-file on the estima-site (arfsim.src) for generating
ARFIMA(0,d,0)-series. Has anyone written a procedure for
generating general ARFIMA(p,d,q)-series?

Reto Casserini
Institute for Financial Analysis
http://www.stud.unisg.ch/~rcasserini/intro.htm



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From: Christopher F Baum <baum@bc.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Generating ARFIMA(p,d,q)-series
Date: Mon, 28 Feb 2000 07:29:00 -0500
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I do not know of any general routine for this purpose, since depending on
the degree of the MA polynomial the generation of such series is difficult.
But for the general AR polynomial and a MA(1) form, RATS procedures are
available in the SSC-IDEAS archive at

http://ideas.uqam.ca/ideas/data/Softwares/bocbocodeR022701.html

RATS routines of mine for Geweke/Porter-Hudak estimation (in two variants)
and Robinson semiparametric estimation can also be found in that archive;
use 'search' 'among software components'.

Kit Baum
Boston College Economics

--On Sun, Feb 27, 2000 17:44 +0100 Reto.Casserini@student.unisg.ch wrote:

> Dear RATS-Users
> 
> I found a source-file on the estima-site (arfsim.src) for generating
> ARFIMA(0,d,0)-series. Has anyone written a procedure for
> generating general ARFIMA(p,d,q)-series?
> 
> Reto Casserini
> Institute for Financial Analysis
> http://www.stud.unisg.ch/~rcasserini/intro.htm
> 
>