From: tanhb@econ.upm.edu.my (Tan Hui Boon)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: HEGY test
Date: Fri, 4 Jul 1997 09:51:29 -0800
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Hi,

Does anybody know how to conduct the HEGY test on monthly data? 
Thanks in advance.

Hui Boon Tan
Faculty of Economics and Management
Universiti Putra Malaysia

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

From: Norman Morin <nmorin@weber.ucsd.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: HEGY test
Date: Fri, 4 Jul 1997 10:27:55 -0700
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At 9:51 AM -0800 on 7/4/97, Tan Hui Boon wrote:
>Does anybody know how to conduct the HEGY test on monthly data?
>Thanks in advance.

The article is in the Journal of Econometrics special issue on
seasonal methods from a few years ago.  One of the authors is
Joe Beaulieu.

--Norm

                       Norman J. Morin
                     nmorin@weber.ucsd.edu
-------------------------------------------------------------
Department of Economics * University of California, San Diego
        9500 Gilman Drive * La Jolla, CA  92023-0508
-------------------------------------------------------------



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

From: Carl Bonham <Bonham@hawaii.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: HEGY test
Date: Sat, 5 Jul 1997 11:46:15 -1000
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I wrote a program (not a procedure) to do this a few years ago.  I will
post it on my web page as soon as I get a chance, and will send mail to the
group to let you know it has been posted.

Carl Bonham

>At 9:51 AM -0800 on 7/4/97, Tan Hui Boon wrote:
>>Does anybody know how to conduct the HEGY test on monthly data?
>>Thanks in advance.
>The article is in the Journal of Econometrics special issue on
>seasonal methods from a few years ago.  One of the authors is
>Joe Beaulieu.
>
>--Norm
>
>                       Norman J. Morin
>                     nmorin@weber.ucsd.edu
>-------------------------------------------------------------
>Department of Economics * University of California, San Diego
>        9500 Gilman Drive * La Jolla, CA  92023-0508
>-------------------------------------------------------------


=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A
Carl Bonham from home
(808) 941 9864
Bonham@hawaii.edu
http://www2.hawaii.edu/~bonham/
=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A=8A



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From: Christopher F Baum <baum@bc.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: statistics on the PowerMacintosh platform
Date: Sun, 06 Jul 1997 15:26:54 +0000
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Date: Thu, 26 Jun 97 09:54:15 -0700
From: EvangeList <evangelist@apple.com>
To: "Macway" <macway-post@private.lists.apple.com>
Subject: Followup - MINITAB (and Other Statistical Packages)
Message-ID: <199706261657.JAA09258@scv3.apple.com>

This follow-up message is from:

Christopher F Baum, <baum@fmrisc.bc.edu>

MINITAB has its following, although one of my colleagues suggests that 
a program that appears to do statistical calculations in 
single-precision floating point math is not to be trusted. But I would 
point out that three very important statistical packages are available 
for Mac, and have put significant resources recently into Mac versions:

Stata, from StataCorp (www.stata.com) which performs beautifully with 1 
million observation datasets on PowerMac, as long as you have the 
RAM... faster than a bandit! Separate version for PowerMac and 68K Mac.

RATS, from Estima (www.estima.com), a well-known econometrics package, 
which after several years' hiatus in Mac development is forging ahead 
to a beta test of a new version, which will be PowerMac native as well 
as 68K compatible

SAS, from SAS Institute: one of our research institutes has migrated 
their entire mainframe computing enterprise (using Census tapes and 
other huge datasets) to the PowerMac version of SAS, and are quite 
happy.

To say nothing of TSP, MicroTSP, MATLAB, Mathematica 3.0, SPSS... If 
someone tells you that Macs are not for serious statistical 
computation, show them how wrong they are!

Kit Baum
Faculty Technology Coordinator, Economics  

________________
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<http://www.evangelist.macaddict.com/>

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---------------------------------------------------------------------
Christopher F Baum    Boston College Econ, Chestnut Hill MA 02167 USA         
baum@bc.edu  fax 617 552 2308  http://fmwww.bc.edu/EC-V/baum.fac.html


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

From: "Estima" <estima@estima.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RATS news
Date: Thu, 10 Jul 1997 10:10:28 -0600
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Dear RATS Users:

Two bits of news:

1) All the orders for updates to Version 4.3 for DOS/Windows were 
shipped out as of last week. All the DOS/Windows maintenance contract 
updates have also been shipped. If you think you placed an order for 
an update (or have a maintenance contract), and haven't received your 
update, please let us know.

2) Work on the Mac version is proceeding fairly well. Lots of minor 
problems need to be fixed, but we now have version that can run 
programs, generate graphs, etc. Still probably a couple of weeks away 
from a beta release. Stay tuned.

Thanks,
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: John Cline <jcline@glinx.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: RATS news
Date: Thu, 10 Jul 1997 21:23:49 -0300
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>2) Work on the Mac version is proceeding fairly well. Lots of minor
>problems need to be fixed, but we now have version that can run
>programs, generate graphs, etc. Still probably a couple of weeks away
>from a beta release. Stay tuned.
>
>Thanks,
>Tom Maycock

Hurrah Tom,

My wife and I will be glad to be Mac Beta testers.  Jan is a researcher in
Sociology and I am in Economics, Community Development and Business.  We
paid for this upgrade in the spring of 1995 and would be glad to further
progress.

We will be glad to edit your manual as a fee for service as well.

Our Mac is an LC III, 36meg ram, two harddrives (1/2 gig, 100 Meg external)
co-processor chip and system 7.6

Cheers,

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: Axel Schimmelpfennig <Axel.Schimmelpfennig@ifw.uni-kiel.de>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Problem with CATS
Date: Fri, 11 Jul 1997 15:42:07 +0200
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Hi everybody!
I have played around with CATS a little bit and finally come up with a
nice model. Now I would like to graph my results. I do not need a
time-series graph, however, but I would like to plot a fitted variable
and its actual values against another variable. What I need is a way to
extract the fitted series from CATS. So far I have tried Graphics/Save
the Data, but the results looked fairly strange. The residuals I got
were standardized and the actual values looked way off. Then I tried to
compute the fitted variable using the estimated parameters. The
resulting series is always above the actual series by some constant. My
guess is that I put in wrong values for the linear trend (1,2,3,...) or
that there is something about the "centered" dummies that CATS uses. Can
somebody help me?
Thanks,
Axel Schimmelpfennig

--
Axel Schimmelpfennig

Institut fuer Weltwirtschaft (Kiel Institute of World Economics)
Duesternbrooker Weg 120, D-24100 Kiel
phone: ++49/+431/8814-245; fax: ++49/+431/8814-521 /-500
http://www.uni-kiel.de:8080/ifw/

"The swiftest traveller is the one that goes afoot." (H.D. Thoreau)


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

From: Wai Lee <lee_wai@jpmorgan.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Mac
Date: 11 Jul 97 10:53:24 EDT
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I have been considering buying myself a Mac AND Mac version of RATS (I am using 
PC and RATS4.2), but 
with the big boss of Apple resigning, market share drops to < 4%, bad news 
followed by bad news ..........

Mac users: Should I still get a Mac?

I appologize as this is not exactly a RATS-related question, but I appreciate 
any comments sent directly to me (NOT RATS-L discussion list please, not to 
fill everyone's mailbox).  Thanks.

W. Lee


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

From: John Cline <jcline@glinx.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Mac
Date: Fri, 11 Jul 1997 22:46:39 -0300
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>I have been considering buying myself a Mac AND Mac version of RATS (I am
>using
>PC and RATS4.2), but
>with the big boss of Apple resigning, market share drops to < 4%, bad news
>followed by bad news ..........
>
>Mac users: Should I still get a Mac?
>
>I appologize as this is not exactly a RATS-related question, but I appreciate
>any comments sent directly to me (NOT RATS-L discussion list please, not to
>fill everyone's mailbox).  Thanks.

I suggest you evaluate the Mac not the market since one really has little
to do with the product.  The stock market is a world in its own.  I have
used Apple products since the early 80's and the products continue to be
the best.

For list users,  does anyone have a generic economic model I could use to
determine community economic losses due to industry moving etc.

If you so choose contact me off list at my email.

TIA

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: Alfonso.ARPAIA@EUROSTAT.cec.be
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: 
Date: Sun, 13 Jul 1997 18:10:39 +0200
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I am a newuser of CATS 
How can I test if some coefficients of the cointegrating vector(s) are zero? 
Any help would be greatly appreciated
Alfonso

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

From: Axel Schimmelpfennig <Axel.Schimmelpfennig@ifw.uni-kiel.de>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: test for zeroes in the CI-vectors
Date: Mon, 14 Jul 1997 09:01:39 +0200
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Alfonso.ARPAIA@EUROSTAT.cec.be wrote:

> I am a newuser of CATS
> How can I test if some coefficients of the cointegrating vector(s) are
> zero?
> Any help would be greatly appreciated
> Alfonso

check out Harris, Richard (1995), Using Cointegration Analysis in
Econometric Modelling. London: Prentice Hall. This is a fairly nice
introduction that is not too technical.
To test for zeroes in the CI-vector you have to put restrictions on the
beta-matrix which contains the CI-vectors. The CATS-manual by Juselius
and Hansen tells you how to do this.

--
Axel Schimmelpfennig

Institut fuer Weltwirtschaft (Kiel Institute of World Economics)
Duesternbrooker Weg 120, D-24100 Kiel
phone: ++49/+431/8814-245; fax: ++49/+431/8814-521 /-500
http://www.uni-kiel.de:8080/ifw/

"The swiftest traveller is the one that goes afoot." (H.D. Thoreau)


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

From: Petri Kangas <petkang@utu.fi>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Multivariate GARCH-M???
Date: Mon, 14 Jul 1997 14:56:26 +0300
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I=B4m new user of RATS. How can I do multivariate GARCH-M? I=B4m trying=
 to
estimate bivariate and trivariate CAPM with time-varying covariances.
Could someone give me a hint how it=B4s done. I=B4ve tried it using the
examples given in the manual and example files (from estima home page),
but it=B4s not working. How should the residual formula be defined when=
 I
try for example bivariate GARCH-M?
--=20
Petri Kangas
Assistant
Department of Economics			=09
University of Turku							 =09
FIN-20014  TURKU  FINLAND
e-mail: petkang@utu.fi
tel: +358-2-333 5884
fax: +358-2-333 5893

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

From: "Philippe PROTIN" <PROTIN@esa.upmf-grenoble.fr>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Multivariate GARCH-M???
Date: Tue, 15 Jul 1997 09:51:02 +0200
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Hi Petri,

I attached to this message a RATS program which performs estimation 
of a bivariate GARCH-M model for the CAPM with time-varying 
covariances.

For multivariate GARCH, you should had some more restrective 
parametrization since the number of parameters depend on the number 
of markets. A good parametrization is the BEKK one.

Best wishes

Philippe





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


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

From: "Philippe PROTIN" <PROTIN@esa.upmf-grenoble.fr>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Multivariate GARCH-M???
Date: Tue, 15 Jul 1997 09:51:02 +0200
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@5D4L251%4D%424]./34P,"D@05)#2$Q/1TP@,B`J#0H]
 
end

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From: Alfonso.ARPAIA@EUROSTAT.cec.be
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: 
Date: Thu, 17 Jul 1997 18:26:16 +0200
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I_m new user of RATS. I am using the source var.src. 
Can it handle the Blanchard and Quah procedure for decomposing 
permanent and transitory shocks? Could someone  give me an hint on how doing it? 

I would appreciate your help 

Best Regards 
Alfonso

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From: Xavier CORIN-MICK <s921928@student.ulg.ac.be>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: GARCH....
Date: Mon, 21 Jul 1997 03:37:24 +0200
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Hi...


I am currently programming in "RATS" to test the efficiency of the Belgian
option Market. 

As I use a GARCH model, I have to use the value of "ht" in order to compute
expected future volatility

As this is a recursive process, i would like to know how to display the
value of ht while estimating value of the parameters with RATS. RATS doesn't
display it "by itself'. Could anyone help me ? Here is my GARCH specification :

set h = 0
set u = 0
NONLIN B0 A0 A1 A2 A3 
FRML RESID = Bel20 - B0
FRML HF = (Jours**A3)*(A0 + (A1*H{1}/(Jours{1}**A3)) $
                          +(A2*(U{1}**2)/(Jours{1}**A3)))
FRML LOGL = (H(T)=HF(T)),(U(T)=RESID(T)),-.5*(LOG(H(T))+U(T)*U(T)/H(T))


I use DISPLAY H(T),

but it gives me a value which does not seems adequate...

Thanks in Advance

Xavier CORIN-MICK
University of Liege
Belgium
s921928@student.ulg.ac.be
Xavier CORIN-MICK
xavier.corinmick@advalvas.be


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From: Robert Atra <ratra@ix.netcom.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: piece-wise linear
Date: Thu, 24 Jul 1997 19:01:13 -0700
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I'm trying to write RATS instructions to estimate a piece-wise linear 
function with two to three sections (one to two knots).  I would like it 
to be continuous and for the data to suggest the placement of the knots. 
 If anyone has written this or has suggestions I would appreciate it. 
Thanks.

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

From: Economic Group <pgallagh@ozemail.com.au>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Kalman filter
Date: Fri, 25 Jul 1997 12:18:39 +1000
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I'm estimating a model with time varying parameters using the Kalman
filter.  I've used both the KALMAN command in RATS, and the KFILTER.SRC
program supplied on the Estima homepage.  I can't get these two programs to
give me the same results, even if I use exactly the same model and starting
values for both.

Is there some reason for this?  How can I reconcile the results from these
two procedures?



Economic Analysis Department                           Email enquiries:
Economic Group                                         PH:  +612 9551 8817
Reserve Bank of Australia                              FAX: +612 9551 8833



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

From: John Cline <jcline@glinx.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Community Economic Dev. Model
Date: Fri, 25 Jul 1997 08:29:51 -0300
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Hello,

I am looking for a micro economic development model that evaluates and
demonstrates the effects of the loss of money from a given local economy
such a a town, city, or large municipality.  Attributes would include
income, tax, transfer payments, purchase of services, etc.  I know this may
seem a bit basic or simple, but if anyone on this list has reference,
research, literature or a generic model please contact me.

TIA,

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: "Ellis W. Tallman" <etallman@ipacific.net.au>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Kalman filter
Date: Sat, 26 Jul 1997 08:38:50 -0700
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Economic Group wrote:

> I'm estimating a model with time varying parameters using the Kalman
> filter.  I've used both the KALMAN command in RATS, and the
> KFILTER.SRC
> program supplied on the Estima homepage.  I can't get these two
> programs to
> give me the same results, even if I use exactly the same model and
> starting
> values for both.
>
> Is there some reason for this?  How can I reconcile the results from
> these
> two procedures?

Just to make it more complicated, do you have any interest in using a
GAUSS code for the Kalman Filter?  Tim Petersen and I have one that we
are adapting for our use (mixed Frequency models) but was designed for
time varying parameters.  In the least, it could provide a useful double
check on your results.

Cheers,
Ellis





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