Return-Path: Received: from jules.bc.edu (jules.bc.edu [136.167.2.173]) by monet.bc.edu (8.8.7/8.8.7) with ESMTP id MAA137734 for ; Sun, 1 Feb 1998 12:10:08 -0500 From: maiser@efs.mq.edu.au Received: (from root@localhost) by jules.bc.edu (8.8.7/8.8.7) with X.500 id MAA21441 for BAUM@MAIL1.BC.EDU; Sun, 1 Feb 1998 12:10:07 -0500 Received: from sunb.ocs.mq.edu.au (sunb.ocs.mq.edu.au [137.111.1.11]) by jules.bc.edu (8.8.7/8.8.7) with ESMTP id MAA105655 for ; Sun, 1 Feb 1998 12:10:02 -0500 Received: from efs1.efs.mq.edu.au (efs1.efs.mq.edu.au [137.111.64.8]) by sunb.ocs.mq.edu.au (8.8.5/8.8.5) with ESMTP id EAA05675 for ; Mon, 2 Feb 1998 04:09:58 +1100 (EST) Received: from EFS1/SpoolDir by efs1.efs.mq.edu.au (Mercury 1.21); 2 Feb 98 04:09:25 GMT+1000 Received: from SpoolDir by EFS1 (Mercury 1.30); 2 Feb 98 04:09:23 GMT+1000 To: baum@bc.edu Date: Mon, 2 Feb 98 4:09:13 GMT+1000 Subject: Re: Message-ID: <44257D7C3F@efs1.efs.mq.edu.au> From: M P Tomsett To: "RATS Discussion List" Subject: ARCH estimation. Date: Tue, 6 Jan 1998 11:20:27 +0000 (GMT) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: TEXT/PLAIN; charset=US-ASCII X-Mailer: Mercury MTS (Bindery) v1.30 Can anyone tell me the difference between these two methods of estimating a GARCH model? No 1. (from the manual) NONLIN B0 B1 B2 A0 A1 A2 FRML REGRESID = Y-B0-B1*X1-B2*X2 FRML GARCHVAR = A0+A1*U{1}**2+A2*V{1} FRML GARCHLOGL = V(T)=GARCHVAR(T),U(T)=REGRESID(T),$ -0.5*(LOG(V)+U**2/V) No 2. (acquired version) NONLIN V0 A0 A1 B1 FRML RESDID = Y-V0 FRML H = A0+B1*U{1}+A1*R{1}**2 FRML LOGL = (U(T)=H(T)),(R(T)=RESID(T)),$ %LOGDENSITY(U(T),R(T)) My main concern is the calculation of the loglikelihood function. Are the two versions equivalent? Many thanks, Mark. **************************************************************************** Mark Tomsett Department of Economics University of Durham 23-26 Old Elvet DURHAM CITY County Durham **************************************************************************** ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: Re: ARCH estimation. Date: Tue, 6 Jan 1998 16:41:53 -0600 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Win32 (v2.54) (via Mercury MTS (Bindery) v1.30) > Can anyone tell me the difference between these two methods of estimating > a GARCH model? > > No 1. (from the manual) > NONLIN B0 B1 B2 A0 A1 A2 > FRML REGRESID = Y-B0-B1*X1-B2*X2 > FRML GARCHVAR = A0+A1*U{1}**2+A2*V{1} > FRML GARCHLOGL = V(T)=GARCHVAR(T),U(T)=REGRESID(T),$ > -0.5*(LOG(V)+U**2/V) > > No 2. (acquired version) > NONLIN V0 A0 A1 B1 > FRML RESDID = Y-V0 > FRML H = A0+B1*U{1}+A1*R{1}**2 > FRML LOGL = (U(T)=H(T)),(R(T)=RESID(T)),$ > %LOGDENSITY(U(T),R(T)) > Mark: Yes, these are equivalent (except for the obvious difference that the first example includes additional explanatory variables in the residual formula). The %LOGDENSITY function was added with Version 4.2 of RATS (see the RATS 4.2 Manual Supplement), and does the equivalent operation. It is particularly useful for the multivariate case. 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: "John O. Velis, Indiana University" To: "RATS Discussion List" Subject: Phillips Perron Test Date: Wed, 7 Jan 1998 20:58:29 -0500 (EST) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: TEXT/PLAIN; charset=US-ASCII X-Mailer: Mercury MTS (Bindery) v1.30 Greetings. I just have discovered something that I have overlooked since forever. Do any of you know about this? Is there an error in the PPUNIT.SRC file? In the User's Manual, page 6-20, it says that the default setting for the number of lags in the @PPUNIT instrutcion is zero, yet in the actual source file, it is 4. Not that this cannot be corrected by the user, but I jsut wanted to get some clarification on this. I will include the code from the source file as well. I am using UNIX RATS 4.30. * * PPUNIT series start end * Computes one of the Phillips-Perron modifications to the Dickey- * Fuller unit root tests. References: * Phillips, "Time Series Regressions with a Unit Root", Econometrica, * 1987, pp. 277-301 * Phillips and Perron, "Testing for a Unit Root in Time Series * Regressions", Biometrika, 1988. * * Options: * TTEST/[NOTTEST] Computes the regression t test, as opposed to the * T(rho-1) test. * TREND/[NOTREND] With TREND, estimated model includes 1 and t. * By default, only the 1 is included * LAGS=number of lags in spectral estimation window [4] * * Written by Tom Doan, November, 1989 * procedure ppunit series start end procedure ppunit series start end type series series type integer start end * option integer lags 4 option switch trend 0 option switch ttest 0 Thanks. John O. Velis ------------------ Indiana University Kelley School of Business Department of Business Economics and Public Policy 1309 East Tenth Street, BU 451 Bloomington, IN 47405-1701 Phone: (812) 855-9219 Fax: (812) 855-3354 Email: jvelis@indiana.edu ---------- End of message ---------- From: Alfonso.ARPAIA@EUROSTAT.cec.be To: "RATS Discussion List" Subject: Date: Sat, 10 Jan 1998 17:50:17 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii X-Mailer: Mercury MTS (Bindery) v1.30 How can I calculate in CATS the MA representation of a partial VECM ? Someone can help me? Alfonso ---------- End of message ---------- From: Rizwan Tahir To: "RATS Discussion List" Subject: PROBLEM WITH JOHANSEN PROCEDURE Date: Tue, 13 Jan 1998 13:07:14 +0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: TeamWARE Embla 2.02, Final, Build: 64 (via Mercury MTS (Bindery) v1.30) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable I am using johansen.400 procedure (in RATS 4.0).It is not coompletely execu= ting the program and ends with the following message: ** WORK WORK WORK ** ## M4. A memory request for an additional -152 bytes cannot be satisfied The Error Occurred At Location 3606 of JOHANSEN Any help would be appreciated Rizwan ---------- End of message ---------- From: "Cheesman, Fred" To: "RATS Discussion List" Subject: Number of Post-intervention data points required Date: Mon, 12 Jan 98 14:47:31 EST Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Mercury MTS (Bindery) v1.30 Dear Colleagues, I would appreciate advice and references regarding the number of post-intervention data points required to assure valid estimation of a Box-Tiao interrupted time series model. Cheers! Fred Cheesman National Center for State Courts 300 Newport Avenue P.O. Box 8798 Williamsburg, VA 23187-8798 fcheesman@ncsc.dni.us ---------- End of message ---------- From: "Stephen A. De Lurgio" To: "RATS Discussion List" Subject: Re: Number of Post-intervention data points required Date: Wed, 14 Jan 1998 07:25:46 -0600 (CST) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: TEXT/PLAIN; charset=US-ASCII X-Mailer: Mercury MTS (Bindery) v1.30 Dear Mr. Cheesman: The number of points is very much dependent on the duration of the intervention effect. If it is a very gradual effect then more points are needed to distinquish between the intervention and post intervention effects. Thus, as your note implies it is difficult to know a' priori how many points to include. During the intervention period there may be some difficulty in knowing when the intervention stops or even its profile or impact type. Hopefully when we have enough observations to identify r,s, and b, we will know that is true. Good Luck Steve DeLurgio On Mon, 12 Jan 1998, Cheesman, Fred wrote: > > Dear Colleagues, > > I would appreciate advice and references regarding the number of > post-intervention data points required to assure valid estimation of a > Box-Tiao interrupted time series model. Cheers! > > Fred Cheesman > National Center for State Courts > 300 Newport Avenue > P.O. Box 8798 > Williamsburg, VA > 23187-8798 > fcheesman@ncsc.dni.us > ---------- End of message ---------- From: "Cheesman, Fred" To: "RATS Discussion List" Subject: Interrupted Time Series Date: Wed, 14 Jan 98 09:00:31 EST Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Mercury MTS (Bindery) v1.30 Colleagues, Having been totally underwhelmed by the response (read "no response") to my earlier query regarding interrupted time series and in genuine need of advice, let me state my question a little differently. Is there a minimum number of data points required after an intervention occurs in order to validly model the intervention component in a interrupted time series ARIMA model? I would appreciate any guidance and references in regards to this question. Help! Cheers! Fred Cheesman National Center for State Courts 300 Newport Avenue PO Box 8798 Williamsburg, Virginia 23187-8798 fcheesman@ncsc.dni.us ---------- End of message ---------- From: "Manfred Stamer" To: "RATS Discussion List" Subject: Restrictions on BETA in CATS Date: Thu, 15 Jan 1998 19:10:01 GMT+0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Pegasus Mail/Windows (v1.11a) (via Mercury MTS (Bindery) v1.30) Hi, CATS-users, I have a problem with putting restrictions on the BETA matrix using the CATS-menu. If I use one of the two possible menu orders, CATS asks me "Input the number of restrictions for vector 1." After doing so, CATS says "Change the elements of the matrix in the next window. ... " Then I turn to a window with the header " beta'=H'*fi' ". Here I can change the elements of H, but I cannot leave this window anymore, i.e. I cannot execute the restrictions. Does anybody have an idea what the problem is? Thank you. Manfred Manfred Stamer Hohensteiner Strasse 7 D-22049 Hamburg Phone 040 6911607 e-mail stamer2@econ.uni-hamburg.de ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: Re: Restrictions on BETA in CATS Date: Fri, 16 Jan 1998 11:47:32 -0600 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Win32 (v2.54) (via Mercury MTS (Bindery) v1.30) > > I have a problem with putting restrictions on the BETA matrix using > the CATS-menu. > If I use one of the two possible menu orders, CATS asks me > "Input the number of restrictions for vector 1." > After doing so, CATS says > "Change the elements of the matrix in the next window. ... " > Then I turn to a window with the header " beta'=H'*fi' ". Here I can > change the elements of H, but I cannot leave this window anymore, > i.e. I cannot execute the restrictions. > > Does anybody have an idea what the problem is? > Thank you. > Once you've entered the necessary data, you just need to close the window (the window that is used to input the values into the array). You can select File-Close from the file menu, or click on the "close" box at the top of the window (if you are using RATS386, you can also hit to close the window). Once you close the window, RATS will ask you if you want to save the changes--answer yes and then the program will move on to the next step. Sincerely, 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: ls To: "RATS Discussion List" Subject: Re: Restrictions on BETA in CATS Date: Fri, 16 Jan 98 14:22:01 CST Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: Text/plain; charset=US-ASCII Content-Transfer-Encoding: 7BIT X-Mailer: MailBook 95.01.000 (via Mercury MTS (Bindery) v1.30) You cannot leave the window because the specification of the matrix is wrong. T his a problem with CATS. If you specifiy correctly the matrix with the restrict ions you can move forward, but if you do not, you're sort of stuck there. I thi nk that you are not specifing correctly the restrictions, that's your problem. ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: Re: Restrictions on BETA in CATS Date: Fri, 16 Jan 1998 14:44:32 -0600 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Win32 (v2.54) (via Mercury MTS (Bindery) v1.30) > You cannot leave the window because the specification of the matrix is wrong. T > his a problem with CATS. If you specifiy correctly the matrix with the restrict > ions you can move forward, but if you do not, you're sort of stuck there. I thi > nk that you are not specifing correctly the restrictions, that's your problem. > I think you are thinking of something slightly different. I'm pretty sure CATS will always let you close the window, regardless of the information you put in. If there is a problem with the specification (which it won't know until you've closed the window), it will give you an error message and send you back to that step. Again, though, I don't believe there's any situation in which CATS won't at least let you close the window, which I think is the step Manfred was missing. 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: "Cheesman, Fred" To: "RATS Discussion List" Subject: XLS Speadsheets Date: Fri, 16 Jan 98 16:10:53 EST Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Mercury MTS (Bindery) v1.30 Are there any plans for a version of RATS which will read XLS format spreadsheets? Fred Cheesman National Center for State Courts ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: Re: XLS Speadsheets Date: Mon, 19 Jan 1998 10:46:54 -0600 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Win32 (v2.54) (via Mercury MTS (Bindery) v1.30) > > Are there any plans for a version of RATS which will read XLS format > spreadsheets? > Fred: RATS already supports XLS files--I believe that was introduced with Version 4.10 or 4.20. Note that we only support XLS through the "Version 4.0" format--we currently do not support Excel 5.0 and later formats, which involved multiple pages per file. If you have such a file, you can easily use Excel to save a page as an XLS 4.0 format file. Sincerely, Tom Maycock -- +-----------------------------+-----------------------------------------+ | 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: Luca Cazzulani To: "RATS Discussion List" Subject: looking for Fuganti Date: Wed, 21 Jan 1998 10:48:45 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: Universita' Bocconi - Milano (Italy) X-Mailer: Windows Eudora Pro Version 2.2 (16) (via Mercury MTS (Bindery) v1.30) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable I would like to get in touch with Mr Fuganti. I know he's on this mailing list (I hope he still is). I beg your pardon for this annoying message, but it's the only way I have to find this person Gent Dott Fuganti, Circa un mese fa aveva risposto ad alcuni miei dubbi sulle reti neurali. Avrei bisogno qualche informazione circa la reperibilit=E0 di informazioni sull'argomento qui in Bocconi. L'indirizzo Giovanni@onewaybbs.com non mi sembra pi=F9 valido.. per cui le sarei grato se mi fornisse il suo indirizzo mail corrente. Grazie Mille Luca Cazzulani ---------- End of message ---------- From: Luca Cazzulani To: "RATS Discussion List" Subject: Looking for Fuganti Date: Wed, 21 Jan 1998 10:56:30 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: Universita' Bocconi - Milano (Italy) X-Mailer: Windows Eudora Pro Version 2.2 (16) (via Mercury MTS (Bindery) v1.30) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear reader, I would like to get in touch with Mr Fuganti. I know he's on this mailing list (I hope he still is). I beg your pardon for this annoying message, but it's the only way I have to get in touch with this person Gent Dott Fuganti, Circa un mese fa aveva risposto ad alcuni miei dubbi sulle reti neurali. Avrei bisogno qualche informazione circa la reperibilit=E0 di informazioni sull'argomento qui in Bocconi. L'indirizzo Giovanni@onewaybbs.com non mi sembra pi=F9 valido.. per cui le sarei grato se mi fornisse il suo indirizzo mail corrente. Grazie Mille Luca Cazzulani ---------- End of message ---------- From: jtebeka@oddo.fr To: "RATS Discussion List" Subject: MONTEVAR.PRG Date: Thu, 22 Jan 1998 10:29:01 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-type: text/plain; charset=us-ascii X-Mailer: Mercury MTS (Bindery) v1.30 I have a question concerning the montevar program (it calculates impulse response function with error bands). When i have an estimate of 0.003 for a the response of x to a choc of y ( after n months for example). Does it mean that when y increase of 1%, x increase of 0.3% ? Thanks for your help. Jacques. ---------- End of message ---------- From: N.Nomikos@city.ac.uk To: "RATS Discussion List" Subject: t-distribution Multivariate GARCH Date: Thu, 22 Jan 1998 23:10:20 +0000 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Win32 (v2.52) (via Mercury MTS (Bindery) v1.30) Dear colleagues, I am working with multivariate BEKK models (I use the code provided by Rob Trevor). Does anybody know how I can estimate the multivariate Log-Likelihood function conditional on the assumption that the error terms follow a Student's t distribution. I would appreciate any guidance in regards to this question. Thanks a lot for your help Nikos Nomikos Department of Shipping, Trade & Finance City University Business School London, UK. ---------- End of message ---------- From: Rob Trevor To: "RATS Discussion List" Subject: [ADMIN] Some Statistics Date: Fri, 23 Jan 1998 10:30:48 +1100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" X-Mailer: Mercury MTS (Bindery) v1.30 Hi Thought some of you might be interested to know that there are now 444 subscribers to RATS-L. The breakdown by top domain name is .ar 1 .at 2 .au 21 .be 6 .br 3 .ca 19 .ch 8 .co 3 .com 40 .cz 1 .de 23 .dk 5 .edu 99 .es 8 .fi 12 .fr 13 .gov 6 .hk 2 .ie 2 .in 2 .int 1 .is 3 .it 12 .jp 26 .kr 7 .mx 1 .my 5 .net 18 .nl 5 .no 1 .nz 6 .org 7 .pe 6 .pt 2 .sa 3 .se 8 .sg 3 .th 1 .tr 6 .tw 8 .uk 35 .us 3 So we have a very international list. Hope it continues to serve your purposes in 98. Rob Trevor rats-l-owner@efs.mq.edu.au ---------- End of message ---------- From: Rob Trevor To: "RATS Discussion List" Subject: Re: t-distribution Multivariate GARCH Date: Fri, 23 Jan 1998 10:33:24 +1100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" X-Mailer: Mercury MTS (Bindery) v1.30 At 10:10 AM +1100 23/1/98, N.Nomikos@city.ac.uk wrote: > ... >I am working with multivariate BEKK models (I use the code >provided by Rob Trevor). > >Does anybody know how I can estimate the multivariate >Log-Likelihood function conditional on the assumption that the error >terms follow a Student's t distribution. I would appreciate any >guidance in regards to this question. > ... Yes, you can. I don't have the code handy at the moment, but the only trick I recall using is to code the degrees of freedom parameter the way Bollerslev did in his original Student-t paper. Good luck Rob ----------------------------------------------------------------------- Rob Trevor Associate Professor Centre for Studies in Money, Banking and Finance Macquarie University, NSW, AUSTRALIA 2109 Internet: robt@efs.mq.edu.au VOICE: +61 (2) 9850-8447 FAX: +61 (2) 9850-7281 or +61 (2) 9418-1847 ----------------------------------------------------------------------- ---------- End of message ---------- From: Joseph Buongiorno To: "RATS Discussion List" Subject: Re: [ADMIN] Some Statistics Date: Thu, 22 Jan 1998 17:40:13 -0600 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" X-Mailer: Mercury MTS (Bindery) v1.30 Could you, please, remove me from the RATS-L discussion list? Thank you, J.B. Joseph Buongiorno, Professor Forest Ecology and Management University of Wisconsin 1630 Linden Drive Madison, WI 53706, U.S.A. Phone: (608)262-0091 Fax: (608)262-9922 ---------- End of message ---------- From: "Mark Benfold" To: "RATS Discussion List" Subject: Mark Benfold/GB/GARTMORE is out of the office. Date: Wed, 28 Jan 1998 12:56:14 +0000 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii X-Mailer: Mercury MTS (Bindery) v1.30 I will be out of the office from 29/01/97 until 01/02/98. I will respond to your message when I return. My colleague Claire Thomas should be able to help you in my absence. ============================================================================= Gartmore Investment Management plc is an appointed representative of Gartmore Investment Ltd (GIL) which is regulated by IMRO and the Personal Investment Authority. GIL represents only the NatWest and Gartmore Marketing Group for life assurance, pensions, unit trusts, other regulated collective investment schemes and investment services. ---------- End of message ---------- From: "Mark Benfold" To: "RATS Discussion List" Subject: Erroneous E-mail Date: Wed, 28 Jan 1998 14:27:29 +0000 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii X-Mailer: Mercury MTS (Bindery) v1.30 My apologies for the erroneous e-mail circulated by a mail server fault within our company. Mark Benfold ============================================================================= Gartmore Investment Management plc is an appointed representative of Gartmore Investment Ltd (GIL) which is regulated by IMRO and the Personal Investment Authority. GIL represents only the NatWest and Gartmore Marketing Group for life assurance, pensions, unit trusts, other regulated collective investment schemes and investment services. ---------- End of message ---------- From: "Skip Kreger" To: "RATS Discussion List" Subject: Iterative Chow Test Date: Thu, 29 Jan 1998 09:57:30 -0600 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: multipart/alternative; X-Mailer: Microsoft Outlook Express 4.71.1712.3 (via Mercury MTS (Bindery) v1.30) This is a multi-part message in MIME format. ------=_NextPart_000_0023_01BD2C9C.5018E110 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable I would like to perform an iterative (automated) Chow Test on an ARIMA = model to check parameter stability. I have no theoretical break point, = so I want to test the entire series. I'd like to set it up to run = automatically -- I've seen PCGive do this with regression results, but I = haven't seen such a procedure elsewhere. Has anybody tried this or have = any suggestions? Skip Krueger University of North Texas ------=_NextPart_000_0023_01BD2C9C.5018E110 Content-Type: text/html; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable
I would like to perform an iterative = (automated)=20 Chow Test on an ARIMA model to check parameter stability.  I have = no=20 theoretical break point, so I want to test the entire series.  I'd = like to=20 set it up to run automatically -- I've seen PCGive do this with = regression=20 results, but I haven't seen such a procedure elsewhere.  Has = anybody tried=20 this or have any suggestions?
 
Skip Krueger
University of North Texas
------=_NextPart_000_0023_01BD2C9C.5018E110-- ---------- End of message ---------- From: "Skip Kreger" To: "RATS Discussion List" Subject: iterative chow test Date: Thu, 29 Jan 1998 11:00:48 -0600 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: multipart/alternative; X-Mailer: Microsoft Outlook Express 4.71.1712.3 (via Mercury MTS (Bindery) v1.30) This is a multi-part message in MIME format. ------=_NextPart_000_000C_01BD2CA5.27E66B00 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable I would like to perform an iterative (automated) Chow Test on an ARIMA = model to check parameter stability. I have no theoretical break point, = so I want to test the entire series. I'd like to set it up to run = automatically -- I've seen PCGive do this with regression results, but I = haven't seen such a procedure elsewhere. And I'm not sure if I can = perform this function on ARIMA results, as the usual way is to do an F = test between the restricted and unrestricted samples using the residual = sum of squares. Has anybody tried this or have any suggestions? =20 Skip Krueger University of North Texas ------=_NextPart_000_000C_01BD2CA5.27E66B00 Content-Type: text/html; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable
I would like to perform an iterative = (automated)=20 Chow Test on an ARIMA model to check parameter stability.  I have = no=20 theoretical break point, so I want to test the entire series.  I'd = like to=20 set it up to run automatically -- I've seen PCGive do this with = regression=20 results, but I haven't seen such a procedure elsewhere. And I'm not sure = if I=20 can perform this function on ARIMA results, as the usual way is to do an = F test=20 between the restricted and unrestricted samples using the residual sum = of=20 squares. Has anybody tried this or have any suggestions?
 
Skip Krueger
University of North = Texas
------=_NextPart_000_000C_01BD2CA5.27E66B00-- ---------- End of message ---------- From: WOO KAI YIN To: "RATS Discussion List" Subject: RATS disscusion Date: Fri, 30 Jan 1998 02:58:17 +0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Mozilla 3.0 (Win95; I) (via Mercury MTS (Bindery) v1.30) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Dear Sir, I want to ask whether RATS can retrieve data from some econometric packages, such as EViews or TSP. Regards, Kevin Woo ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: Re: RATS disscusion Date: Thu, 29 Jan 1998 13:30:42 +0000 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: Estima MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Windows (v2.54) (via Mercury MTS (Bindery) v1.30) > From: WOO KAI YIN > To: "RATS Discussion List" > Subject: RATS disscusion > Date: Fri, 30 Jan 1998 02:58:17 +0800 > Reply-to: "RATS Discussion List" > Dear Sir, > > I want to ask whether RATS can retrieve data from some econometric > packages, such as EViews or TSP. > > > Regards, > > Kevin Woo > > Dear Kevin, RATS can read ascii text and various spreadsheet files like Lotus, Excel, etc. If these files can be used in TSP & EViews, then there should not be any problems. Regards. Saravanan, 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: John Cline To: "RATS Discussion List" Subject: Re: RATS disscusion Date: Thu, 29 Jan 1998 22:06:11 -0400 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" X-Mailer: Mercury MTS (Bindery) v1.30 Hi, I would like to know if there will be a new RATS version for Mac users that has been promised several times over the past three years. Just a small request since I pre paid for a new version in 1995. John Cline 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: Pierre.SLADDEN@DG2.cec.be To: "RATS Discussion List" Subject: Re: RATS disscusion Date: Fri, 30 Jan 1998 08:44:56 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii X-Mailer: Mercury MTS (Bindery) v1.30 With WinRATS 4.3 (32bits version) comes RATSData (16bits component->some problems) who permits the data import from different origins (TSP, Lotus, ...). The Unix version of RATS 4.3 has an interface to access directly FAME databases (update mode available). Regards, Pierre Sladden European Commission DG2 - Brussels ---------- End of message ---------- From: Vicente.Esteve@uv.es (Vicente Esteve) To: "RATS Discussion List" Subject: Re: iterative chow test Date: Fri, 30 Jan 1998 13:12:10 +0100 (MET) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" X-Mailer: (via Mercury MTS (Bindery) v1.30) Mierda >------=_NextPart_000_000C_01BD2CA5.27E66B00 >Content-Type: text/plain; > charset="iso-8859-1" > >I would like to perform an iterative (automated) Chow Test on an ARIMA model to check parameter stability. I have no theoretical break point, so I want to test the entire series. I'd like to set it up to run automatically -- I've seen PCGive do this with regression results, but I haven't seen such a procedure elsewhere. And I'm not sure if I can perform this function on ARIMA results, as the usual way is to do an F test between the restricted and unrestricted samples using the residual sum of squares. Has anybody tried this or have any suggestions? > >Skip Krueger >University of North Texas >------=_NextPart_000_000C_01BD2CA5.27E66B00 >Content-Type: text/html; > charset="iso-8859-1" > > > > >http-equiv=3DContent-Type> > > > >
>
I would like to perform an iterative = >(automated)=20 >Chow Test on an ARIMA model to check parameter stability.  I have = >no=20 >theoretical break point, so I want to test the entire series.  I'd = >like to=20 >set it up to run automatically -- I've seen PCGive do this with = >regression=20 >results, but I haven't seen such a procedure elsewhere. And I'm not sure = >if I=20 >can perform this function on ARIMA results, as the usual way is to do an = >F test=20 >between the restricted and unrestricted samples using the residual sum = >of=20 >squares. Has anybody tried this or have any suggestions?
>
 
>
Skip Krueger
>
University of North = >Texas
> >------=_NextPart_000_000C_01BD2CA5.27E66B00-- > *********************************************** Vicente Esteve Instituto de Economia Internacional Facultad de Ciencias Economicas y Empresariales Universidad de Valencia P.O. Box 22006, 46071 Valencia, Spain Phone: 34-6-3828358 Fax: 34-6-3828354 e-mail: vicente.esteve@uv.es ************************************************ ---------- End of message ---------- From: monia@mizar.csic.es (monia) To: "RATS Discussion List" Subject: Date: Fri, 30 Jan 1998 15:53:14 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Windows Eudora Version 1.4.4 (via Mercury MTS (Bindery) v1.30) Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" I want to ask whether RATS can calculate directely the rank matrices like for exemple m=RANK(A). where A is m*n matrix I would appreciate the infomation. thanks Monia Monia Ben Kaabia Unidad de Economia Araria Servicio de Investigacion Agroalimentaria Diputacion General de Aragon Apdo. 727 E-50080-Zaragoza (Spain) Tel: ++ 34-976-576361 Fax: ++ 34-976-575501 monia@mizar.csic.es ---------- End of message ---------- From: monia@mizar.csic.es (monia) To: "RATS Discussion List" Subject: Rank matrix Date: Fri, 30 Jan 1998 15:53:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Windows Eudora Version 1.4.4 (via Mercury MTS (Bindery) v1.30) Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" I want to ask whether RATS can calculate directely the rank matrices like for exemple m=RANK(A). where A is m*n matrix I would appreciate the infomation. thanks Monia Monia Ben Kaabia Unidad de Economia Araria Servicio de Investigacion Agroalimentaria Diputacion General de Aragon Apdo. 727 E-50080-Zaragoza (Spain) Tel: ++ 34-976-576361 Fax: ++ 34-976-575501 monia@mizar.csic.es ---------- End of message ---------- From: WOO KAI YIN To: "RATS Discussion List" Subject: Inquiry about unit root test Date: Sat, 31 Jan 1998 01:38:08 +0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Mozilla 3.0 (Win95; I) (via Mercury MTS (Bindery) v1.30) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Dear Sir, I want to know whether RATS procedures can perform a unit root test so called "DF-GLS" developed by Elliott, Rothenberg and Stock, EFFicient tests for an Autoregressive unit root, Econometrica, vol64,no4, July,1996. Regards, Kevin ---------- End of message ---------- From: WOO KAI YIN To: "RATS Discussion List" Subject: Inquiry about data series Date: Sat, 31 Jan 1998 01:45:01 +0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Mozilla 3.0 (Win95; I) (via Mercury MTS (Bindery) v1.30) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Dear Sir, I want to know whether RATS can save my data in a RATS file and then I can obtain the data as I load the file. Also, how can I check the names of data series in my file in RATS ? Thank you! Regards, Kevin ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: Re: Inquiry about unit root test Date: Fri, 30 Jan 1998 11:58:15 +0000 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: Estima MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Windows (v2.54) (via Mercury MTS (Bindery) v1.30) > From: WOO KAI YIN > To: "RATS Discussion List" > Subject: Inquiry about unit root test > Date: Sat, 31 Jan 1998 01:38:08 +0800 > Reply-to: "RATS Discussion List" > Dear Sir, > > I want to know whether RATS procedures can perform a unit root test so > called "DF-GLS" developed by Elliott, Rothenberg and Stock, EFFicient > tests for an Autoregressive unit root, Econometrica, vol64,no4, > July,1996. > > Regards, > > Kevin > > Dear Kevin, RATS can perform Dickey-Fuller unit root test. But offhand, we don not have any root test that goes by the name of DF-GLS. Regards. Saravanan, 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: "Estima" To: "RATS Discussion List" Subject: Re: Inquiry about data series Date: Fri, 30 Jan 1998 12:08:22 +0000 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: Estima MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Windows (v2.54) (via Mercury MTS (Bindery) v1.30) > From: WOO KAI YIN > To: "RATS Discussion List" > Subject: Inquiry about data series > Date: Sat, 31 Jan 1998 01:45:01 +0800 > Reply-to: "RATS Discussion List" > Dear Sir, > > I want to know whether RATS can save my data in a RATS file and then I > can obtain the data as I load the file. Also, how can I check the names > of data series in my file in RATS ? Thank you! > > Regards, > > Kevin > > Dear Kevin, You could save the series as a .rat file using copy or dedit instructions. If you have RATSDATA, you could export the data to a .rat format. Also, you can see the various variables using RATSDATA. Regards, Saravanan, 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: "Estima" To: "RATS Discussion List" Subject: Re: Rank matrix Date: Fri, 30 Jan 1998 12:08:22 +0000 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: Estima MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Windows (v2.54) (via Mercury MTS (Bindery) v1.30) > From: monia@mizar.csic.es (monia) > To: "RATS Discussion List" > Subject: Rank matrix > Date: Fri, 30 Jan 1998 15:53:49 +0100 > Reply-to: "RATS Discussion List" > I want to ask whether RATS can calculate directely the rank matrices like > for exemple m=RANK(A). where A is m*n matrix > I would appreciate the infomation. > > thanks > Monia > Monia Ben Kaabia > Unidad de Economia Araria > Servicio de Investigacion Agroalimentaria > Diputacion General de Aragon > Apdo. 727 > E-50080-Zaragoza (Spain) > Tel: ++ 34-976-576361 > Fax: ++ 34-976-575501 > monia@mizar.csic.es > > > Dear Monia, We do not have a %rank function to calculate the rank matrix of any given matrix A(m,n). Regards,. Saravanan, 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: "Estima" To: "RATS Discussion List" Subject: Re: RATS disscusion Date: Fri, 30 Jan 1998 15:59:40 +0000 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: Estima MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Windows (v2.54) (via Mercury MTS (Bindery) v1.30) > Hello John, Again, I will make no promises as to when a new version of MacRATS will be available. We have several options available. I can refund the $100 you paid for a Mac version of CATS. You can upgrade your current version of RATS to a Windows application and have CATS for a PC or you can continue to wait. The choice, as in the past, is yours. I wish I could give you more information but obviously, I have no idea when. Let me know how you wish to handle this. Regards, Susan Bessonny > I would like to know if there will be a new RATS version for Mac users that > has been promised several times over the past three years. Just a small > request since I pre paid for a new version in 1995. > > John Cline > > 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 > > > > -- +-----------------------------+-----------------------------------------+ | 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: "David Montgomery" To: "RATS Discussion List" Subject: EQUATION instuction ARMA models with a trend and a lag Date: Fri, 30 Jan 1998 13:36:48 -1000 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: multipart/alternative; X-Mailer: Microsoft Outlook Express 4.72.2106.4 (via Mercury MTS (Bindery) v1.30) This is a multi-part message in MIME format. ------=_NextPart_000_001F_01BD2D84.1D4F2120 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear Rats Users, I would like to create a sample realization for an ARMA process with the = following ADF specification. y(t) =3D constant + B1*(trend) + y(t-1) + B2*dy(t-1) + B3*dy(t-2) + = B4*dy(t-3) + B5*dy(t-4) + e(t) The following code uses the equation command for the ARMA specification. = I used the MORE option to add a distributed lag. I believe the order = for setting the coefficients in this case is that the constant is first, = then the lag in levels, followed by the trend and the distributed lags. = The problem is that I am not getting a time series that I believe fits = this type of a model. If any body has a code that will do a better job = or can tell me what I am doing wrong, I would be most appreciative. SET TREND =3D T DIFFERENCE Y / DY EQUATION(MORE) ROLLING Y 1 # TREND DY{1 4} ASSOCIATE ROLLING # 3.2 1.0 .03 .2 .07 .03 .04 SIMULATE 1 400 6 # ROLLING Y _________________________________________________________________________= _ David Montgomery Ph.D. Candidate Department of Economics University of Hawaii at Manoa http://www2.hawaii.edu/~dmontgom ------=_NextPart_000_001F_01BD2D84.1D4F2120 Content-Type: text/html; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable
Dear Rats=20 Users,
 
I would = like to create a=20 sample realization for an ARMA process with the following ADF=20 specification.
 
y(t) =3D = constant +=20 B1*(trend) + y(t-1) + B2*dy(t-1) + B3*dy(t-2) + B4*dy(t-3) + B5*dy(t-4) = +=20 e(t)
 
 
The following code uses the equation = command for=20 the ARMA specification.  I used the MORE option to add a = distributed=20 lag.  I believe the order for setting the coefficients in this case = is that=20 the constant is first, then the lag in levels, followed by the trend and = the=20 distributed lags.  The problem is that I am not getting a time = series that=20 I believe fits this type of a model.  If any body has a code that = will do a=20 better job or can tell me what I am doing wrong, I would be most=20 appreciative.
 
 
 
 
SET TREND = =3D=20 T
DIFFERENCE Y / DY
 
EQUATION(MORE) ROLLING Y=20 1
# TREND DY{1 4}
 
ASSOCIATE = ROLLING
#=20 3.2 1.0 .03 .2 .07 .03 .04
 
SIMULATE 1 = 400 6
#=20 ROLLING Y
 
 
____________________________________________________________= ______________
 
David=20 Montgomery
Ph.D.=20 Candidate
Department = of=20 Economics
University = of Hawaii at=20 Manoa
------=_NextPart_000_001F_01BD2D84.1D4F2120-- ---------- End of message ----------