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From: "clecourt" <clecourt@mailsc.univ-lille2.fr>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: fractionally integrated unit roots tests 
Date: Wed, 01 Jul 1998 12:44:56 +0200
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Dear all,
I search how, in RATS, I could construct unit roots tests with a
fractionally integrated process (in order to estimate the exponent d). I
know that it refers to ARFIMA models Could you help me, please?
Sincerely,
C. LECOURT  
        \\\|||||///
        \\  - -  //
         (  @ @  )
+------oOOo-(_)-oOOo---- +----------------------------------------+
|   Christelle Lecourt   | Centres de Recherche:    MEDE ET CADRE |      
|       Economiste       | Tel: 0032 (0)85/25.04.06               |
| UNIVERSITE DE LILLE II | e-Mail: clecourt@mailsc.univ-lille2.fr |
+---------------Oooo-----+----------------------------------------+
        oooO   (   )
       (   )    ) /
        \ (    (_/
         \_)

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

From: Karen Seto <seto@crsa.bu.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: unbalanced panels in RATS
Date: Wed, 1 Jul 1998 09:24:05 -0400 (EDT)
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Hi,

Does anyone have a procedure which allows RATS to estimate unbalanced 
panels? Currently I am using TSP to estimate them, but would prefer to keep 
my data in RATS. Many thanks in advance.

Karen Seto

________________
Karen C. Seto
Center for Energy and Environmental Studies,
Department of Geography
Boston University
675 Commonwealth Avenue
Boston, MA  02215
617-353-7554 (voice)
617-353-5986 (fax)

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

From: KHL2288@UTARLG.UTA.EDU
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Multivariate GARCH
Date: Wed, 01 Jul 1998 15:15:31 -0500 (CDT)
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Dear RATS users,
I am trying to estimate multivariate GARCH model using Rob Trevor's sample
program. First, I'd like to know if it is possible to save residuals from the
Maximum Likelihood Estimation as separate series. For example, with Linreg
instruction we can save the residuals as a new series by giving the series name after the instruction: Linreg y / resid. So, If I am estimating a trivarite
GARCH model, can I save the residuals for each dependent variables as 3 separateseries?
My second question is about ROBUSTERRORS Option for the Maximize instruction.
According to the RATS manual, I am supposed have different standard errors with
the ROBUSTERRORS Option, but I had the same values of standard errors of the 
coefficient estimates with or without the ROBUSTERRORS Option. Would anybody help me out?
Lastly, does anybody have a sample program for Multivariate GARCH paramerizationof Ding and Engle(1994; UCSD working paper), especially model 15 which is latelyused by Santis and Gerard(1997;JF)?

Many Thanks in advance.

Sincerely,

Kyong Lee
Dept. of Economics
University of Texas at Arlington

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

From: "Estima" <estima@estima.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Multivariate GARCH
Date: Wed, 1 Jul 1998 15:54:17 -0600
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> Dear RATS users,
> I am trying to estimate multivariate GARCH model using Rob Trevor's sample
> program. First, I'd like to know if it is possible to save residuals from the
> Maximum Likelihood Estimation as separate series. For example, with Linreg
> instruction we can save the residuals as a new series by giving the series name after the instruction: Linreg y / resid. So, If I am estimating a trivarite
> GARCH model, can I save the residuals for each dependent variables as 3 separateseries?

This is already being done as part of the estimation process. Look 
closely at the log-likelihood function, which should be something 
like:

FRML LOGL = $
 H11(T)= H11F(T)   , H22(T)=H22F(T) , H12(T)=H12F(T) , $
 U1(T) = RESID1(T) , U2(T) = RESID2(T) , $
 H = ||H11(T)|H12(T),H22(T)|| , $
 U = ||U1(T),U2(T)||, $
 %LOGDENSITY(H,U)

Note the terms like "U1(t) = RESID1(t)". This stores the value of
the residual formula 1 at entry T into the series U1 at entry T. 

This formulation is actually vital to the whole process, because it 
allows you to reference lagged residuals (using the series) in the 
variance formula without running into problems with self-referential 
formulas. For example, you probably have a variance formula that 
looks like:

FRML H11F  = VC11 + VA11 * H11{1} + VB11 * U1{1}**2

As a result of all this, once the estimation is complete, you'll have 
a set of series containing the final estimates of the residuals and 
the variances (e.g., U1, U2, H11, H12, etc.).


> My second question is about ROBUSTERRORS Option for the Maximize instruction.
> According to the RATS manual, I am supposed have different standard errors with
> the ROBUSTERRORS Option, but I had the same values of standard errors of the 
> coefficient estimates with or without the ROBUSTERRORS Option. Would anybody help me out?

Are you using the BHHH method? If so, ROBUSTERRORS alone has no 
effect (see page 14-155).

Sincerely,
Tom Maycock
Estima
 

------------------------------------------------------------
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|   P.O. Box 1818             |  Support: (847) 864-1910   |
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|                             |  http://www.estima.com     |
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---------- End of message ----------

From: Marco Hell <marco.hell@ki.comcity.de>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: fractionally integrated unit roots tests
Date: Wed, 01 Jul 1998 23:18:25 +0200
Errors-to: <rats-l-owner@efs.mq.edu.au>
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There are several ways to estimate the d from (1-L)^d of an ARFIMA-model:

a) Geweke-Porter-Hudak-method

Reference: Geweke and Porter-Hudak, "The Estimation and Application of Long
Memory Time Series Models",Journal of Time Series Analysis,1983,page 221-238

b) Robinson's average periodogram long memory estimator

Reference: Lobato and Robinson (1996), Average periodogram estimation method

of long memory, Journal of Econometrics, 1993, 303-324

c) Robinson's gaussian semiparametric estimator

Reference: Robinson,P.M.,1995, Gaussian Semiparametric estimation of long
range dependence, Annals of Statistics 23, 1630-1661

d) R/S-analysis

Reference: Lo,A.W. (1991): Long-term-memory in stock market prices;
Econometrica 59, 1279-1313

You can find a zip-file with rats-procedures of a)-c) at
http://fmwww.bc.edu/EC-V/baum.fac.html in the net.

Marco Hell
Christian-Albrechts-University of Kiel

clecourt wrote:

> Dear all,
> I search how, in RATS, I could construct unit roots tests with a
> fractionally integrated process (in order to estimate the exponent d). I
> know that it refers to ARFIMA models Could you help me, please?
> Sincerely,
> C. LECOURT
>         \\\|||||///
>         \\  - -  //
>          (  @ @  )
> +------oOOo-(_)-oOOo---- +----------------------------------------+
> |   Christelle Lecourt   | Centres de Recherche:    MEDE ET CADRE |
> |       Economiste       | Tel: 0032 (0)85/25.04.06               |
> | UNIVERSITE DE LILLE II | e-Mail: clecourt@mailsc.univ-lille2.fr |
> +---------------Oooo-----+----------------------------------------+
>         oooO   (   )
>        (   )    ) /
>         \ (    (_/
>          \_)





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

From: David S Montgomery <dmontgom@hawaii.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: fractionally integrated unit roots tests 
Date: Wed, 1 Jul 1998 14:27:58 -1000
Errors-to: <rats-l-owner@efs.mq.edu.au>
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You can find a procedure that will estimate an ARFIMA model on my home
page at http://www2.hawaii.edu/~dmontgom.

This procedure is based on Sowell.

If you have any problems then let me know.

Thanks,

David Monatgomery


On Wed, 1 Jul 1998, clecourt wrote:

> Dear all,
> I search how, in RATS, I could construct unit roots tests with a
> fractionally integrated process (in order to estimate the exponent d). I
> know that it refers to ARFIMA models Could you help me, please?
> Sincerely,
> C. LECOURT  
>         \\\|||||///
>         \\  - -  //
>          (  @ @  )
> +------oOOo-(_)-oOOo---- +----------------------------------------+
> |   Christelle Lecourt   | Centres de Recherche:    MEDE ET CADRE |      
> |       Economiste       | Tel: 0032 (0)85/25.04.06               |
> | UNIVERSITE DE LILLE II | e-Mail: clecourt@mailsc.univ-lille2.fr |
> +---------------Oooo-----+----------------------------------------+
>         oooO   (   )
>        (   )    ) /
>         \ (    (_/
>          \_)
> 


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

From: jtebeka@oddo.fr
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: =?iso-8859-1?Q?R=E9f._:_Multivariate_GARCH?=
Date: Thu, 2 Jul 1998 09:13:04 +0200
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I am looking for a copy of the paper of Ding and Engle(1994; UCSD working
paper). Is there anyone who can help me ?
Jacques.



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

From: "Wai Lee" <lee_wai@jpmorgan.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: R=?iso-8859-1?Q?=E9f._:_Multivariate_GARCH?=
Date: Thu, 2 Jul 1998 08:13:42 -0400
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
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--0__=cE1zbJe3BJqbrUIMwDBQGI7uZswD6kRjqQUCqsV5zBA4iaHnTpoN871D
Content-type: text/plain; charset=us-ascii
Content-Disposition: inline

I believe that it will be more effective to write to the authors instead of
to RATS-L.

Anyway, Engle sent me a copy of the paper as well as papers coauthored with
others some time ago upon receiving my request.  The Ding and Engle was
dated 1994, and I am not sure if there is a revised version, or published
somewhere already.  Feel free to email me directly if you do not get prompt
response from the authors, and I will send a copy to you.

W. Lee





jtebeka @ oddo.fr on 07/02/98 03:13:04 AM

Please respond to RATS-L@efs.mq.edu.au

To:   RATS-L @ efs.mq.edu.au
cc:   (Wai Lee)
Subject:  R
--0__=cE1zbJe3BJqbrUIMwDBQGI7uZswD6kRjqQUCqsV5zBA4iaHnTpoN871D
Content-type: text/plain; charset=iso-8859-1
Content-Disposition: inline
Content-transfer-encoding: quoted-printable


=E9f. : Multivariate GARCH



=

--0__=cE1zbJe3BJqbrUIMwDBQGI7uZswD6kRjqQUCqsV5zBA4iaHnTpoN871D
Content-type: text/plain; charset=us-ascii
Content-Disposition: inline





I am looking for a copy of the paper of Ding and Engle(1994; UCSD working
paper). Is there anyone who can help me ?
Jacques.





--0__=cE1zbJe3BJqbrUIMwDBQGI7uZswD6kRjqQUCqsV5zBA4iaHnTpoN871D--


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

From: "Marc Bremer" <bremerm@ucla.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: How can I implement the Newey-West correction in RATS?
Date: Thu, 2 Jul 1998 06:06:51 +0900
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Sirs:
I would like to calculate the standard error of a times series with the
Newey-West correction (for four lags).  How might this be done in RATS?
Would you suggest some references on this?
Thanks in advance.
Marc Bremer
bremerm@ucla.edu



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

From: "Estima" <estima@estima.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Estima closed for holiday
Date: Thu, 2 Jul 1998 16:14:51 -0600
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Dear RATS Users:

Our offices will be closed Friday, July 3rd, for the July 4th 
holiday here in the US. We will re-open Monday morning, 9am Central 
time.

Thanks, and have a great weekend.

Sincerely,
Tom Maycock
Estima


------------------------------------------------------------
|   Estima                    |  Sales:   (800) 822-8038   |
|   P.O. Box 1818             |  Support: (847) 864-1910   |
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|   USA                       |  estima@estima.com         |
|                             |  http://www.estima.com     |
------------------------------------------------------------

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

From: "Christopher F Baum" <baum@bc.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: fractionally integrated unit roots tests 
Date: Fri, 03 Jul 1998 09:45:10 -0400
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Check out the GPH.SRC on Estima webpage. There are a broader set of tests
for fractional integration, implemented as RATS procedures, on Statistical
Software Components archive at 
http://ideas.uqam.ca/ideas/data/bocbocode.html
Search for 'baum' on this page.

Kit Baum
SSC maintainer

--On Wed, Jul 1, 1998 12:44 +0200 clecourt <clecourt@mailsc.univ-lille2.fr>
wrote: 

> Dear all,
> I search how, in RATS, I could construct unit roots tests with a
> fractionally integrated process (in order to estimate the exponent d). I
> know that it refers to ARFIMA models Could you help me, please?
> Sincerely,
> C. LECOURT  
>         \\\|||||///
>         \\  - -  //
>          (  @ @  )
> +------oOOo-(_)-oOOo---- +----------------------------------------+
> |   Christelle Lecourt   | Centres de Recherche:    MEDE ET CADRE |      
> |       Economiste       | Tel: 0032 (0)85/25.04.06               |
> | UNIVERSITE DE LILLE II | e-Mail: clecourt@mailsc.univ-lille2.fr |
> +---------------Oooo-----+----------------------------------------+
>         oooO   (   )
>        (   )    ) /
>         \ (    (_/
>          \_)



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

From: WOO KAI YIN <hkwoo@hkabc.net>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: about unit root testing
Date: Sat, 04 Jul 1998 02:46:35 +0800
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Dear RATS users,

I appreciate the procedure URADF.src to  perform ADF unit root test.
However, there is a main drawback. It cannot adjust the usable
obverations with the lagged terms such that the usable observation of
every ADF regression is the same:

cal 70 1 4
all 97:4

compute maxlag=20
set trend = t-(79:1-70:1) 
do i=1,maxlag
linreq dx 79:1-(maxlag+1-i) 97:4
# constant trend x{1} dx{1 to maxlag+1-i}
...
....

end do i

(It is with reference to another example provided by Dr.Tufte and I feel
thankful for his help here)

Then, the usable observation for every ADF regression is always 76, from
79:1 to 97:4. 

Anybody knows how to amend URADF.src (the criterion of REDUCTION) such 
that the no. of usable observation would be kept constant, please??

Kevin
Senior Lecturer in Economics,
Hong Kong Shue Yan College

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

From: "Nesrin Okay" <okay@boun.edu.tr>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Threshold models
Date: Sat, 4 Jul 1998 15:31:23 +0300
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
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Hello Alejondro, Ihave the same problem, I'll appreciate if you can send me
anything you find.
sincerely,

Nesrin Okay, Ph.D.
Bogazici University
Management and Finance Dept.
Bebek, 80815, Istanbul, Turkey

----------
> From: Alejandro Arrieta Herrera <aarrieta@sbs.gob.pe>
> To: RATS Discussion List <RATS-L@efs.mq.edu.au>
> Subject: Threshold models
> Date: 23 June 1998 Tuesday 11:15
> 
> Dear RATS users,
> 
> I am interested in the RATS's programation  of threshold models (TAR and
> TARCH, mainly). Any help is welcome.
> 
> Sincerely,
> 
> Alejandro Arrieta

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

From: WOO KAI YIN <hkwoo@hkabc.net>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: request for help
Date: Mon, 06 Jul 1998 02:40:50 +0800
Errors-to: <rats-l-owner@efs.mq.edu.au>
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Dear RATS users,

display 6/2 
The answer is 3. 

But display 6/7 
the answer is 0

But display 6/7.0
the answer is 0.85714 which is correct.

Why does it appear like that?

So, since %nobs = 70 not 70.0. As I type display 1/%nobs it must be
zero. Anybody can tell me how to solve my problem, please??

Thanks a lot!

Kevin
Dept of Economics,
HKSYC

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

From: Juergen Jerger <jergerju@vwl.uni-freiburg.de>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: request for help
Date: Mon, 6 Jul 1998 09:23:43 +0200 (MESZ)
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
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> 
> So, since %nobs = 70 not 70.0. As I type display 1/%nobs it must be
> zero. Anybody can tell me how to solve my problem, please??
> 

display 1.0/%nobs
will solve this problem

********************************************************************
Juergen Jerger                 Phone: +(0)761-203-2325
Universitaet Freiburg          Fax:   +(0)761-203-2405
Platz der Alten Synagoge       email:jergerju@vwl.uni-freiburg.de
79085 Freiburg
GERMANY
*******************************************************************


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

From: Pizzoli Paolo <akros.pizzoli@agora.stm.it>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: (no subject)
Date: Mon, 06 Jul 1998 10:59:22 -0700
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Estima wrote:
> 
> Dear RATS Users:
> 
> Our offices will be closed Friday, July 3rd, for the July 4th
> holiday here in the US. We will re-open Monday morning, 9am Central
> time.
> 
> Thanks, and have a great weekend.
> 
> Sincerely,
> Tom Maycock
> Estima
> 
> ------------------------------------------------------------
> |   Estima                    |  Sales:   (800) 822-8038   |
> |   P.O. Box 1818             |  Support: (847) 864-1910   |
> |   Evanston, IL 60204-1818   |  Fax:     (847) 864-6221   |
> |   USA                       |  estima@estima.com         |
> |                             |  http://www.estima.com     |
> ------------------------------------------------------------
Please, could you cancel my e-mail address from your Rats Discussion
List? Thank you very much.

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

From: John Kling <jkling@wsu.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: =?iso-8859-1?Q?R=E9f?= . : Multivariate GARCHDate: Thu, 2  Jul 
Date: Mon, 6 Jul 1998 08:00:57 -0700 (PDT)
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Ding works for the Frank Russell Company in Tacoma, Washington.

At 12:15 AM 7/2/98, you wrote:
>
>
>
>I am looking for a copy of the paper of Ding and Engle(1994; UCSD working
>paper). Is there anyone who can help me ?
>Jacques.
>
>
>


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

From: WOO KAI YIN <hkwoo@hkabc.net>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: request for help
Date: Tue, 07 Jul 1998 01:22:55 +0800
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Juergen Jerger wrote:
> 
> >
> > So, since %nobs = 70 not 70.0. As I type display 1/%nobs it must be
> > zero. Anybody can tell me how to solve my problem, please??
> >
> 
> display 1.0/%nobs
> will solve this problem
> 
> ********************************************************************
> Juergen Jerger                 Phone: +(0)761-203-2325
> Universitaet Freiburg          Fax:   +(0)761-203-2405
> Platz der Alten Synagoge       email:jergerju@vwl.uni-freiburg.de
> 79085 Freiburg
> GERMANY
> *******************************************************************
Dear Dr. Jerger,

Thank you.

Kevin

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

From: "Estima" <estima@estima.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: request for help
Date: Mon, 6 Jul 1998 12:58:05 -0600
Errors-to: <rats-l-owner@efs.mq.edu.au>
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> Juergen Jerger wrote:
> > 
> > >
> > > So, since %nobs = 70 not 70.0. As I type display 1/%nobs it must be
> > > zero. Anybody can tell me how to solve my problem, please??
> > >
> > 
> > display 1.0/%nobs
> > will solve this problem
> > 

See page 31 in Chapter 1 of the RATS manual for details on 
integer-valued vs. real-valued calculations.

Tom Maycock
Estima


------------------------------------------------------------
|   Estima                    |  Sales:   (800) 822-8038   |
|   P.O. Box 1818             |  Support: (847) 864-1910   |
|   Evanston, IL 60204-1818   |  Fax:     (847) 864-6221   |
|   USA                       |  estima@estima.com         |
|                             |  http://www.estima.com     |
------------------------------------------------------------

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

From: M.Haroutounian@city.ac.uk
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: (Fwd) Neural Networks
Date: Thu, 9 Jul 1998 12:55:52 +0000
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Dear Dear RATS users,


I am a PhD student at City University in London. I am examining 
non-linear prediction of security returns with moving average rules.
I want to use the single-layer feedforward network regression model 
with lagged buy and sell signals.
Is it possible to use neural networks in RATS, and in case yes, 
could you, please, help me to find out the procedure.

Thanx,
Maria
 


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

From: Laurent Sebastien <S.Laurent@ulg.ac.be>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: FIGARCH
Date: Thu, 09 Jul 1998 15:06:10 +0200
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Dear all,
Does anyone have a procedure which allows RATS to estimate FIGARCH Models ?

        \\\|||||///
        \\  - -  //
         (  @ @  )
+------oOOo-(_)-oOOo---------+-----------------------------------------+
|      Laurent Sebastien     |                                         |
|          Assistant         |    Tel:   0032 (0)4/366.31.26           |
|  FACULTE ECONOMIE, GESTION |    Fax:   0032 (0)4/366.28.51           |
|     ET SCIENCES SOCIALES   | MailTo:   S.Laurent@ulg.ac.be           |
|     UNIVERSITE DE LIEGE    |   http://www.egss.ulg.ac.be/Econometrie |
+---------------Oooo---------+-----------------------------------------+
        oooO   (   )
       (   )    ) /
        \ (    (_/
         \_)

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

From: "Estima" <estima@estima.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: (Fwd) Neural Networks
Date: Thu, 9 Jul 1998 10:13:48 -0600
Errors-to: <rats-l-owner@efs.mq.edu.au>
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> 
> I am a PhD student at City University in London. I am examining 
> non-linear prediction of security returns with moving average rules.
> I want to use the single-layer feedforward network regression model 
> with lagged buy and sell signals.
> Is it possible to use neural networks in RATS, and in case yes, 
> could you, please, help me to find out the procedure.
> 

Neural Network modeling is one of the new features that was added to 
RATS with Version 4.3. Further info is available on our Web site, or 
contact us if you have questions.

Sincerely,
Tom Maycock
Estima
 

------------------------------------------------------------
|   Estima                    |  Sales:   (800) 822-8038   |
|   P.O. Box 1818             |  Support: (847) 864-1910   |
|   Evanston, IL 60204-1818   |  Fax:     (847) 864-6221   |
|   USA                       |  estima@estima.com         |
|                             |  http://www.estima.com     |
------------------------------------------------------------

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

From: Simon.Van-Norden@hec.ca (Simon.Van-Norden)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Code for Unobserved Components Models?
Date: Thu, 09 Jul 1998 14:59:27 -0400
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I want to estimate some simple state-space unobserved components models
for US output, along the lines of Watson (1986).

Does anyone have any procedures or examples of programs for this kind of
thing?
I think I want to somehow use KALMAN and MAXIMIZE, but I'm not really
sure how to approach the problem.

Thanks

SvN

--
Simon van Norden        Professeur invité
simon.van-norden@hec.ca or svn@alum.mit.edu or http://www.hec.ca/~p280
(514)340-6781 or fax (514)340-5632 or cell (514)993-0466
Service de l'enseignement de la finance, Ecole des H.E.C.
3000 Cote-Sainte-Catherine, Montreal QC, CANADA   H3T 2A7



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

From: WOO KAI YIN <hkwoo@hkabc.net>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: [Fwd: Code for Unobserved Components Models?]
Date: Fri, 10 Jul 1998 12:06:43 +0800
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This is a multi-part message in MIME format.

--------------6AA9EBB2308
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Dear RATs users,

I have similar problems as Prof. Van-Norde. If anybody has any
procedures or method for estimation, could you be kind enough to send me
a copy, please??

Thank you.

Kai-yin Woo
Senior Lecturer,
Dept of Economics,
Hong Kong Shue Yan College

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From: Simon.Van-Norden@hec.ca (Simon.Van-Norden)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Code for Unobserved Components Models?
Date: Thu, 09 Jul 1998 14:59:27 -0400
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I want to estimate some simple state-space unobserved components models
for US output, along the lines of Watson (1986).

Does anyone have any procedures or examples of programs for this kind of
thing?
I think I want to somehow use KALMAN and MAXIMIZE, but I'm not really
sure how to approach the problem.

Thanks

SvN

--
Simon van Norden        Professeur invit=E9
simon.van-norden@hec.ca or svn@alum.mit.edu or http://www.hec.ca/~p280
(514)340-6781 or fax (514)340-5632 or cell (514)993-0466
Service de l'enseignement de la finance, Ecole des H.E.C.
3000 Cote-Sainte-Catherine, Montreal QC, CANADA   H3T 2A7




--------------6AA9EBB2308--


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

From: "clecourt" <clecourt@mailsc.univ-lille2.fr>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: test of iid : test of Brock, Dechert and Scheinkman (B.D.S,  1987)
Date: Fri, 10 Jul 1998 11:20:42 +0200
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Dear all,
Does anyone have a procedure which allows RATS to estimate this type of test?
Thanks,
Christelle.
        \\\|||||///
        \\  - -  //
         (  @ @  )
+------oOOo-(_)-oOOo---- +----------------------------------------+
|   Christelle Lecourt   | Centres de Recherche:    MEDE ET CADRE |      
|       Economiste       | Tel: 0032 (0)85/25.04.06               |
| UNIVERSITE DE LILLE II | e-Mail: clecourt@mailsc.univ-lille2.fr |
+---------------Oooo-----+----------------------------------------+
        oooO   (   )
       (   )    ) /
        \ (    (_/
         \_)

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

From: "David R.Tufte" <drtef@jazz.ucc.uno.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: test of iid : test of Brock, Dechert and Scheinkman (B.D.S,  19
Date: Fri, 10 Jul 1998 13:30:09 -0500
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------ =_NextPart_000_01BDAC12.2A330F20
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No, but there is batch program written in BASIC available. I could e-mail it to you.

Somewhere, I do have a program for generating Grosberger-Procaccio plots if you want that.

David Tufte
Assistant Professor
Department of Economics and Finance
University of New Orleans
New Orleans, LA 70148

drtef@uno.edu

(504) 280-7094
(504) 280-6397 (fax)


-----Original Message-----
From:	clecourt [SMTP:clecourt@mailsc.univ-lille2.fr]
Sent:	Friday, July 10, 1998 4:21 AM
To:	RATS Discussion List
Subject:	test of iid : test of Brock, Dechert and Scheinkman (B.D.S,  1987)

Dear all,
Does anyone have a procedure which allows RATS to estimate this type of test?
Thanks,
Christelle.
        \\\|||||///
        \\  - -  //
         (  @ @  )
+------oOOo-(_)-oOOo---- +----------------------------------------+
|   Christelle Lecourt   | Centres de Recherche:    MEDE ET CADRE |      
|       Economiste       | Tel: 0032 (0)85/25.04.06               |
| UNIVERSITE DE LILLE II | e-Mail: clecourt@mailsc.univ-lille2.fr |
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AAAAAMAAAAAAAABGAAAAAFKFAAC3DQAAHgAlgAggBgAAAAAAwAAAAAAAAEYAAAAAVIUAAAEAAAAE
AAAAOC4wAAMAJoAIIAYAAAAAAMAAAAAAAABGAAAAAAGFAAAAAAAACwAvgAggBgAAAAAAwAAAAAAA
AEYAAAAADoUAAAAAAAADADCACCAGAAAAAADAAAAAAAAARgAAAAARhQAAAAAAAAMAMoAIIAYAAAAA
AMAAAAAAAABGAAAAABiFAAAAAAAAHgBBgAggBgAAAAAAwAAAAAAAAEYAAAAANoUAAAEAAAABAAAA
AAAAAB4AQoAIIAYAAAAAAMAAAAAAAABGAAAAADeFAAABAAAAAQAAAAAAAAAeAEOACCAGAAAAAADA
AAAAAAAARgAAAAA4hQAAAQAAAAEAAAAAAAAAHgA9AAEAAAAFAAAAUkU6IAAAAAADAA00/TcAAJDK


------ =_NextPart_000_01BDAC12.2A330F20--


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

From: bertrand gordon <bfg1@is4.nyu.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Expert in Cats for rats
Date: Sun, 12 Jul 1998 19:14:09 -0400 (EDT)
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
X-Mailer: Windows Eudora Light Version 1.5.2 (via Mercury MTS (Bindery) v1.30)
Mime-Version: 1.0
Content-Type: text/plain; charset="us-ascii"

Dear Rats Users,
    I am looking for an Experienced Cats For Rats User in the New York City
Area [New York University; Columbia University ect.].
    I have completed an article on the U.S. current account in which I
Utilized the "Cats for Rats program". I am now in the process of looking for
an experienced user of that program to reread and make comment or
recommendations on my analysis, procedure and conclusion. 
    Payment will be arranged.  


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

From: bertrand gordon <bfg1@is4.nyu.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Expert in Cats for rats
Date: Sun, 12 Jul 1998 19:15:56 -0400 (EDT)
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
X-Mailer: Windows Eudora Light Version 1.5.2 (via Mercury MTS (Bindery) v1.30)
Mime-Version: 1.0
Content-Type: text/plain; charset="us-ascii"

Dear Rats Users,
    I am looking for an Experienced Cats For Rats User in the New York City
Area [New York University; Columbia University ect.].
    I have completed an article on the U.S. current account in which I
Utilized the "Cats for Rats program". I am now in the process of looking for
an experienced user of that program to reread and make comment or
recommendations on my analysis, procedure and conclusion. 
    Payment will be arranged.  
    
    Phone { 718 } 856-2008


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

From: "Louis Gagnon, Ph.D." <gagnonl@qsilver.queensu.ca>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: RATS Graph into LaTEX
Date: Sun, 12 Jul 1998 21:39:34 -0400
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
Organization: Queen's University
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MIME-Version: 1.0
Content-Type: text/plain; charset=us-ascii
Content-Transfer-Encoding: 7bit

I have had moderate success by capturing the image of the graph on srean with
HyperSnap DX, retrievable from the TuCows site. The image can be saved in just
about any graphics format and then imported into Word or other environments. The
only limitation of this process is the image quality which is not a high as one
would like.

Hope this helps.

Louis Gagnon

Roman von Ah wrote:

> Graphs from Rats
>
> Unfortunately you will get the same results with other programs. WinWord for
> exple. lets you import just about any picture format. If you create any of
> those formats with the help of Rats you will run into similar problems as
> you observe with Latex.
>
> The only way I can deal with that is by:
> - transforming Rats graphs into one of the provided other formats
> - read those graphs into a specialized graphic-editing software
> - save them under some image format it may actually be the same as provided
> by Rats
> - link the result into Winword (in your case Latex)
>
> Regards Roman von Ah
>
> arturo jose galindo wrote:
>
> > Hi everyone.
> >
> > I am trying to include a RATS graph in a LaTeX document, but I have been
> > completely unsuccesful. LaTex, as far as I know, supports EPS, PS, BMP
> > and WMF graphs, but even if I save the RATS graph as a EPS or a WMF I
> > can't include it in the LaTeX document. The EPS files are simply not
> > read. The WMF file is read, and the data appears nicely, but captions
> > are completely messed up.
> > I am including the graphs using the following LaTex command:
> >
> > \special{wmf:<path+filename> x=n y=n}
> >
> > Does any one have any suggestion? Thanks,
> >
> > Arturo Galindo
> > Doctoral Student
> > Department of Economics
> > University of Illinois at Urbana-Champaign
> > Email: agalindo@uiuc.edu



--
_______________________________________________________________________

Louis Gagnon, Ph.D.
Associate Professor of Finance
School of Business
Queen's University
Kingston, Ontario
K7L 3N6
Phone: (613) 545-6707
Fax:   (613) 545-6589
http://qsilver.queensu.ca/~gagnonl



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

From: WOO KAI YIN <hkwoo@hkabc.net>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: ASCII data
Date: Mon, 13 Jul 1998 12:09:57 +0800
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
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Content-Type: text/plain; charset=us-ascii
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Dear RATS users,

Anybody knows whether data in RATS format can be changed into data in
ASCII??? I feel grateful if you could give me sincere help.


Thank you.

Kevin

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

From: ParisonC@bot.or.th
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: ASCII data
Date: Mon, 13 Jul 1998 13:09:31 +0700
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
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Content-Type: multipart/alternative;

This message is in MIME format. Since your mail reader does not understand
this format, some or all of this message may not be legible.

------ =_NextPart_001_01BDAE5F.7BAC2F90
Content-Type: text/plain;
	charset="windows-874"
Content-Transfer-Encoding: quoted-printable

Yes.  You have to use Ratsdata.  When you open ratsdata, you open the
file.  Then you select the series you want to export to ascii by
highlighting.  Afterwards, you select export and highlight Labelled
ascii.

> ----------
> From: 	WOO KAI YIN[SMTP:hkwoo@hkabc.net]
> Sent: 	13 =A1=C3=A1=AE=D2=A4=C1 2541 11:09
> To: 	RATS Discussion List
> Subject: 	ASCII data
>=20
> Dear RATS users,
>=20
> Anybody knows whether data in RATS format can be changed into data in
> ASCII??? I feel grateful if you could give me sincere help.
>=20
>=20
> Thank you.
>=20
> Kevin
>=20

------ =_NextPart_001_01BDAE5F.7BAC2F90
Content-Type: text/html;
	charset="windows-874"
Content-Transfer-Encoding: quoted-printable

<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 3.2//EN">
<HTML>
<HEAD>
<META HTTP-EQUIV=3D"Content-Type" CONTENT=3D"text/html; =
charset=3Dwindows-874">
<META NAME=3D"Generator" CONTENT=3D"MS Exchange Server version =
5.0.1458.49">

</HEAD>
<BODY>
<P><B><FONT COLOR=3D"#008080" SIZE=3D2 =
FACE=3D"Haettenschweiler">Yes.&nbsp; You have to use Ratsdata. =
</FONT></B><B><FONT COLOR=3D"#008080" SIZE=3D1 =
FACE=3D"Haettenschweiler"></FONT></B><B> <FONT COLOR=3D"#008080" =
SIZE=3D2 FACE=3D"Haettenschweiler">When you open ratsdata, you open the =
file.&nbsp; Then you select the series you want to export to ascii by =
highlighting.&nbsp; Afterwards, you select export and highlight =
Labelled ascii.</FONT></B><B></B></P>
<BR>
<UL><P><FONT SIZE=3D1>----------</FONT>
<BR><B><FONT SIZE=3D1>From:</FONT></B> &nbsp; <FONT SIZE=3D1>WOO KAI =
YIN[SMTP:hkwoo@hkabc.net]</FONT>
<BR><B><FONT SIZE=3D1>Sent:</FONT></B> &nbsp; <FONT SIZE=3D1>13 =
=A1=C3=A1=AE=D2=A4=C1 2541 11:09</FONT>
<BR><B><FONT SIZE=3D1>To:</FONT></B> &nbsp;&nbsp;&nbsp; <FONT =
SIZE=3D1>RATS Discussion List</FONT>
<BR><B><FONT SIZE=3D1>Subject:</FONT></B> =
&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <FONT SIZE=3D1>ASCII data</FONT>
<BR>
<BR><FONT SIZE=3D4 FACE=3D"Cordia New">Dear RATS users,</FONT>
<BR>
<BR><FONT SIZE=3D4 FACE=3D"Cordia New">Anybody knows whether data in =
RATS format can be changed into data in</FONT>
<BR><FONT SIZE=3D4 FACE=3D"Cordia New">ASCII??? I feel grateful if you =
could give me sincere help.</FONT>
<BR>
<BR>
<BR><FONT SIZE=3D4 FACE=3D"Cordia New">Thank you.</FONT>
<BR>
<BR><FONT SIZE=3D4 FACE=3D"Cordia New">Kevin</FONT>
<BR>
</P>
</UL>
</BODY>
</HTML>
------ =_NextPart_001_01BDAE5F.7BAC2F90--

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

From: monia <monia@mizar.csic.es>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Expert in Cats for rats
Date: Mon, 13 Jul 1998 08:27:15 +0200
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
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Mime-Version: 1.0
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    I m experienced user of Cats program for Rats.







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

From: "Estima" <estima@estima.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: ASCII data
Date: Mon, 13 Jul 1998 10:43:35 -0600
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
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> 
> Anybody knows whether data in RATS format can be changed into data in
> ASCII??? I feel grateful if you could give me sincere help.
> 

You can read the data into RATS and then write it to a text file 
in any of several layouts using the COPY command and the appropriate 
FORMAT and ORG options.

Sincerely,
Tom Maycock
Estima
 

------------------------------------------------------------
|   Estima                    |  Sales:   (800) 822-8038   |
|   P.O. Box 1818             |  Support: (847) 864-1910   |
|   Evanston, IL 60204-1818   |  Fax:     (847) 864-6221   |
|   USA                       |  estima@estima.com         |
|                             |  http://www.estima.com     |
------------------------------------------------------------

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

From: Charlotte Mack <cym@econ.lsa.umich.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: RATS Graph into LaTEX
Date: Mon, 13 Jul 1998 14:51:33 -0400 (EDT)
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
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> > arturo jose galindo wrote:
> >
> > > Hi everyone.
> > >
> > > I am trying to include a RATS graph in a LaTeX document, but I have been
> > > completely unsuccesful. LaTex, as far as I know, supports EPS, PS, BMP
> > > and WMF graphs, but even if I save the RATS graph as a EPS or a WMF I
> > > can't include it in the LaTeX document. The EPS files are simply not
> > > read. The WMF file is read, and the data appears nicely, but captions
> > > are completely messed up.
> > > I am including the graphs using the following LaTex command:
> > >
> > > \special{wmf:<path+filename> x=n y=n}
> > >
> > > Does any one have any suggestion? Thanks,
> > >

My method for using RATS graphs in LaTeX documents is simply to
convert them to so-called ps files using GRAFEDIT.  Notwithstanding
what that program says, this is evidently eps.  I then can use the
file in my paper in the usual way for LaTeX, except that it might be
necessary to rotate the picture to get it rightsideup.

Hope this helps,

********************************************
 Charlotte Mack    
 University of Michigan  -- Economics Dept.                     
 E-mail: cym@umich.edu
********************************************

On Sun, 12 Jul 1998, Louis Gagnon, Ph.D. wrote:

> I have had moderate success by capturing the image of the graph on srean with
> HyperSnap DX, retrievable from the TuCows site. The image can be saved in just
> about any graphics format and then imported into Word or other environments. The
> only limitation of this process is the image quality which is not a high as one
> would like.
> 
> Hope this helps.
> 
> Louis Gagnon
> 
> Roman von Ah wrote:
> 
> > Graphs from Rats
> >
> > Unfortunately you will get the same results with other programs. WinWord for
> > exple. lets you import just about any picture format. If you create any of
> > those formats with the help of Rats you will run into similar problems as
> > you observe with Latex.
> >
> > The only way I can deal with that is by:
> > - transforming Rats graphs into one of the provided other formats
> > - read those graphs into a specialized graphic-editing software
> > - save them under some image format it may actually be the same as provided
> > by Rats
> > - link the result into Winword (in your case Latex)
> >
> > Regards Roman von Ah
> >


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

From: Luca Cazzulani <luca.cazzulani@uni-bocconi.it>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: unsubscribe
Date: Tue, 14 Jul 1998 12:36:37 +0100
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unsubscribe


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

From: rkraeussl@wiwi.uni-bielefeld.de
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: unsubscribe
Date: Tue, 14 Jul 1998 17:35:31 GMT+0100
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---------- End of message ----------

From: M.Haroutounian@city.ac.uk
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Forecasting GARCH
Date: Sun, 12 Jul 1998 11:42:43 +0000
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
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Dear RATS users,

Can you help to find the way how to use FORECAST  function 
(dynamic forecasting) with GARCH(1,1) model.

Thank you,
Maria 

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

From: szuniga@entelchile.net (SERGIO ZUNIGA  JARA)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: Forecasting GARCH
Date: Thu, 16 Jul 1998 10:36:58 -0300
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
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Dear Maria:
	Look the following book respect arch-garch models with examples:
WALTER ENDERS, "RATS HANDBOOK FOR ECONOMETRIC TIME SERIES", WILEY 1996
Regards,

        \\\|||||///
         \\  - -  //
         (  @ @  )
+--oOOo-(_)-oOOo-- +------------------------------------------+
|   Sergio Zuniga       |  U. Catolica de Norte - Chile |      
| Tel: 56-51-327248  |  szuniga@entelchile.net |
+------------------------------+----------------------------------------+
         

----------
> De: M.Haroutounian@city.ac.uk
> A: RATS Discussion List <RATS-L@efs.mq.edu.au>
> Asunto: Forecasting GARCH
> Fecha: Domingo 12 de Julio de 1998 08:42 AM
> 
> Dear RATS users,
> 
> Can you help to find the way how to use FORECAST  function 
> (dynamic forecasting) with GARCH(1,1) model.
> 
> Thank you,
> Maria 

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

From: WOO KAI YIN <hkwoo@hkabc.net>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE:impulse response and variance decomposition
Date: Mon, 20 Jul 1998 14:39:10 +0800
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
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Dear RATS users,

Anybody knows any RATS procedures can perform impulse reponse and
variance decomposition of VECM, please? Can CATS procedure perform so?
CATS can perform estimation of VECM but not innovative accounting???

I feel appreciation if anybody can help me!!

Regards,

Kevin
Senior Lecturer,
Hong KOng Shue Yan College

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

From: mark.astley@bankofengland.co.uk (Mark Astley)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: RE:impulse response and variance decomposition
Date: Mon, 20 Jul 98 12:29:46 +0100 (BST)
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
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Have a look at the end part of Chapter 6 in the Walter Enders Book 
"RATS Handbook for Econometric Time Series" 




Mark S Astley
Structural Economic Analysis Division
Bank of England
Threadneedle Street
London EC2R 8AH
tel 0171 601 3551
mark.astley@bankofengland.co.uk





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

From: Jan <jan511@chinyi.ncit.edu.tw>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Stability tests for GMM
Date: Wed, 22 Jul 1998 17:38:58 +0800
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
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Dear Rats Users,

I am interested in performing stability tests for GMM, such as work of
Wright (1997) in Oxford Bulletin of Economics and Statistics, Vol. 59.
Does anyone have a proc to implement such a test?   Any assistance would
be greatly appreciated.

Best Regards,

Yin-Ching Jan
National Chin-Yi Institute of Technology
Tel:(886-4)3924505-7645
e-mail:jan511@chinyi.ncit.edu.tw



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

From: mark.astley@bankofengland.co.uk (Mark Astley)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Forecast
Date: Thu, 23 Jul 98 12:27:48 +0100 (BST)
Errors-to: <rats-l-owner@efs.mq.edu.au>
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I'm been doing some forecasting in a basic VAR using the "forecast" 
command.  But I've come across a couple of problems.

First the resulting forecasts for one of the variables looks a bit 
counterintuitive.  So I was wondering if it is possible to impose that 
that variable follows a particular path (ie is constant) over the 
forecast horizon & work out the implications for the other variables.  
The only way I've been able to think of so far is to use the 
matrix/paths option - but the problem with that is that its a bit of a 
"trial and error" approach (you have to recursively change the shock 
paths until you get what you want) .  So I was wondering if there was 
a more direct/simple way of doing this.  Does anyone have any 
suggestions?

My second problem is that my forcasts in the first forecast seem to 
"jump" quite a lot (and unrealistically) from the last 
in-sample observation.  So I was wondering if it was possible to make 
sure that my forecasts were consistent with the actual data.  My first 
way of trying to d this was to start the forecasts in the last period of 
actual data - based upon the premise that RATS would use the data 
that was actually available rather than generating its own forecast for 
that period.  Unfortunetely, that wasnt the case.  Does anyone have 
any suggestions on how I can impose this restriction? (again I 
thought about "fixing it" using the INPUT option, is there a better 
method?).     

Thanks in advance.

Mark S Astley  

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

From: mark.astley@bankofengland.co.uk (Mark Astley)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Please disregard my previous e-mail (Forecasts)
Date: Thu, 23 Jul 98 13:59:36 +0100 (BST)
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I've solved my problems - using CNDITION.SRC - see p8-28 of manual. 

Sorry for any inconvenience.


MSA


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

From: EW Tallman <ew.tallman@atl.frb.org>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Forecast
Date: Thu, 23 Jul 1998 14:31:23 -0400
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The application that you want to do (both in fact) can be done in a straightforward
manner from the conditional forecasting procedure in RATS referred to as CNDITION.
It is described in example 8.5 on page 8-28.  Its description is brief, but the
program works quickly and accurately.  You Condition the forecasts based on any
assumptions that you want, including the actual path of variables.

I have a more documented version of exactly the same procedure if you are
interested.

Mark Astley wrote:

> I'm been doing some forecasting in a basic VAR using the "forecast"
> command.  But I've come across a couple of problems.
>
> First the resulting forecasts for one of the variables looks a bit
> counterintuitive.  So I was wondering if it is possible to impose that
> that variable follows a particular path (ie is constant) over the
> forecast horizon & work out the implications for the other variables.
> The only way I've been able to think of so far is to use the
> matrix/paths option - but the problem with that is that its a bit of a
> "trial and error" approach (you have to recursively change the shock
> paths until you get what you want) .  So I was wondering if there was
> a more direct/simple way of doing this.  Does anyone have any
> suggestions?
>
> My second problem is that my forcasts in the first forecast seem to
> "jump" quite a lot (and unrealistically) from the last
> in-sample observation.  So I was wondering if it was possible to make
> sure that my forecasts were consistent with the actual data.  My first
> way of trying to d this was to start the forecasts in the last period of
> actual data - based upon the premise that RATS would use the data
> that was actually available rather than generating its own forecast for
> that period.  Unfortunetely, that wasnt the case.  Does anyone have
> any suggestions on how I can impose this restriction? (again I
> thought about "fixing it" using the INPUT option, is there a better
> method?).
>
> Thanks in advance.
>
> Mark S Astley
> Return-Path: <rats-l-owner@efs.mq.edu.au>
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> Date: Thu, 23 Jul 1998 12:27:48 +0100 (BST)
> From: mark.astley@bankofengland.co.uk (Mark Astley)
> Subject: Forecast
> Sender: Maiser@efs1.efs.mq.edu.au
> To: RATS Discussion List <RATS-L@efs.mq.edu.au>
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>
> I'm been doing some forecasting in a basic VAR using the "forecast"
> command.  But I've come across a couple of problems.
>
> First the resulting forecasts for one of the variables looks a bit
> counterintuitive.  So I was wondering if it is possible to impose that
> that variable follows a particular path (ie is constant) over the
> forecast horizon & work out the implications for the other variables.
> The only way I've been able to think of so far is to use the
> matrix/paths option - but the problem with that is that its a bit of a
> "trial and error" approach (you have to recursively change the shock
> paths until you get what you want) .  So I was wondering if there was
> a more direct/simple way of doing this.  Does anyone have any
> suggestions?
>
> My second problem is that my forcasts in the first forecast seem to
> "jump" quite a lot (and unrealistically) from the last
> in-sample observation.  So I was wondering if it was possible to make
> sure that my forecasts were consistent with the actual data.  My first
> way of trying to d this was to start the forecasts in the last period of
> actual data - based upon the premise that RATS would use the data
> that was actually available rather than generating its own forecast for
> that period.  Unfortunetely, that wasnt the case.  Does anyone have
> any suggestions on how I can impose this restriction? (again I
> thought about "fixing it" using the INPUT option, is there a better
> method?).
>
> Thanks in advance.
>
> Mark S Astley




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

From: "Richard G. Anderson" <Richard.G.Anderson@stls.frb.org>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: time series plots with ratio scales
Date: Fri, 24 Jul 1998 15:53:37 -0500
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     July 24, 1998
     
     Does anyone have a proc that will produce a plot with a vertical ratio 
     scale but labeled in the original units? 
     
     or, is there a way to directly address the labels on the vertical axis 
     (with a ratio scale)?
     
     Thanks
     
     Richard Anderson
     Federal Reserve Bank of St Louis
     
     anderson@stls.frb.org

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

From: WOO KAI YIN <hkwoo@hkabc.net>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re:
Date: Sat, 25 Jul 1998 13:08:07 +0800
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Dear RATS users,

I want to run a var model with reference to Campbell and Shiller 1987,
cointegration and TEST of the present value models, as follows:

sys 1 to 2
vars sb20 sb20{1 to 9}  rarb rarb{1 to 9}
lags 1 to 1
det constant 
end(sys)
estimate(noftests)  82:2 97:4

for the model:

|sb20t|    | a(L) b(L)| | sb20t-1 |  | u1t |
|     |  = |          | |         | +|     |
|rarbt|    | c(L) d(L)| | rarbt-1 |  | u2t |

a(L) ... d(L) is lag-polynomials of order 10.

 

However, I got the error message such that:

To Use Series Number -32763. (-series n1 n2 triples are no longer legal)

What does it mean? And, how can I carry wald restriction test for the
var coefficients, please??

I would be grateful if you could give me sincere help!!!

Regards,

Kai-yin Woo
Senior Lecturer,
Hong Kong Shue Yan College

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

From: "Wai Lee" <lee_wai@jpmorgan.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re:
Date: Mon, 27 Jul 1998 08:15:14 -0400
Errors-to: <rats-l-owner@efs.mq.edu.au>
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The VARIABLES statement is for the list of endogenous variables, and thus
the number of variables should be the same as the number of equations, that
is 2 in your case.  But you have 20 there.

LAGS statement is for the number of lags of each endogenous variables.  Are
you sure you want a 1 lag, or 9 lags?  Check Ch. 8 of manual again for many
good e.g.

Hope this help.

W. Lee





hkwoo @ hkabc.net on 07/25/98 01:08:07 AM

Please respond to RATS-L@efs.mq.edu.au

To:   RATS-L @ efs.mq.edu.au
cc:   (Wai Lee)
Subject:  Re:





Dear RATS users,

I want to run a var model with reference to Campbell and Shiller 1987,
cointegration and TEST of the present value models, as follows:

sys 1 to 2
vars sb20 sb20{1 to 9}  rarb rarb{1 to 9}
lags 1 to 1
det constant
end(sys)
estimate(noftests)  82:2 97:4

for the model:

|sb20t|    | a(L) b(L)| | sb20t-1 |  | u1t |
|     |  = |          | |         | +|     |
|rarbt|    | c(L) d(L)| | rarbt-1 |  | u2t |

a(L) ... d(L) is lag-polynomials of order 10.



However, I got the error message such that:

To Use Series Number -32763. (-series n1 n2 triples are no longer legal)

What does it mean? And, how can I carry wald restriction test for the
var coefficients, please??

I would be grateful if you could give me sincere help!!!

Regards,

Kai-yin Woo
Senior Lecturer,
Hong Kong Shue Yan College





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

From: "Wai Lee" <lee_wai@jpmorgan.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: sorting
Date: Mon, 27 Jul 1998 17:35:17 -0400
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I appreciate if you have any suggestions for the following problem.

I need to form decile portfolios, and I wonder if it will be difficult to
do it in RATS.  Say, I have time series of 100 stocks for 240 months, for
example.  Based on their attributes, say, Price-to-Book, I assign each
stock to one of ten portfolios in each month, with portfolio 10 being the
one with highest P/B ratio etc.

So far, ORDER is the only command I can find for related purpose, and also
the max and min for arrays.  Do I need to write the sorting algorithm from
Numerical Recipes, or there exists some simple techiques/commands in RATS
for the job?

Thanks for your help.

W. Lee



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

From: "Chu-sheng Tai" <tai.13@osu.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: CONVERGENCE PROBLEM
Date: Mon, 27 Jul 1998 23:38:22 -0400
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This is a multi-part message in MIME format.

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Dear RATS users,

I was estimating a GARCH model and encountered a situation where I got =
two completely different results when I defined excess equity returns in =
two different ways.

In the first case, I computed the excess equity returns without =
multiplying them by 100, and in the second case, I multiplied them by =
100. =20
The main problem is that I got convergence in the first case ( but it =
took more than 24 hours), but I did not get convergence in the second =
case, especially the useable observations dropped significantly (please =
see the attached partial outputs).

I wonder if simply multiplying variables by 100 will result in an =
extremely different outcomes.  Would you please help me solving this =
problem?  Thank you very much.

yours,

Irving=20


Followings are partial program and output for each of the two cases.  (I =
apologize for this long outputs.)


*************************************************************************=
***********
****************Case 1: compute excess returns without multiplying them =
by 100 *******************
*************************************************************************=
***********

*compute excess equity returns

set r_msin =3D log(msinds(t)/msinds(t-1))-log(1+(ecjap7d(t-1)/5200))

----------
etc.

COMPUTE GSTART=3D4 , GEND=3D98:02:27
----------
----------
etc.

COMPUTE m0 =3D m1 =3D m2 =3D m3 =3D m4 =3D 0.01
COMPUTE c0 =3D c1 =3D c2 =3D c3 =3D c4 =3D 0.05
COMPUTE d0 =3D d1 =3D d2 =3D d3 =3D d4 =3D 0.01
COMPUTE e0 =3D e1 =3D e2 =3D e3 =3D e4 =3D 0.05
COMPUTE f0 =3D f1 =3D f2 =3D f3 =3D f4 =3D 0.01
COMPUTE VA1 =3D VA2 =3D VA3 =3D VA4 =3D VA5 =3D VA6 =3D VA7 =3D VA8 =3D =
VA9 =3D VA10 =3D 0.85=20
COMPUTE VB1 =3D VB2 =3D VB3 =3D VB4 =3D VB5 =3D VB6 =3D VB7 =3D VB8 =3D =
VB9 =3D VB10 =3D 0.25=20

NLPAR(SUBITERTATION=3D10,CRITERION=3DVALUE,CVCRIT=3D0.000001)
MAXIMIZE(TRACE,METHOD=3DSIMPLEX,RECURSIVE,ITERS=3D30) LOGL GSTART GEND
MAXIMIZE(TRACE,METHOD=3DBFGS,ROBUSTERRORS,RECURSIVE,ITERS=3D100) LOGL =
GSTART GEND

---------- etc.

Estimation by Simplex
Weekly Data From 1988:01:22 To 1998:02:27
Usable Observations    528      Degrees of Freedom   483
Function Value                   21096.07428975

   Variable                     Coeff
*****************************************
1.  M0                        0.010812159
2.  M1                        0.001901283
3.  M2                        0.011235928
4.  M3                        0.007492441
5.  M4                        0.010200325
6.  C0                        0.061755747
7.  C1                        0.080515253
8.  C2                        0.017282199
9.  C3                        0.125678188
10. C4                        0.037357773
11. D0                        0.018324936
12. D1                        0.004894768
13. D2                        0.008070308
14. D3                        0.012660719
15. D4                        0.020039178
16. E0                        0.043180415
17. E1                        0.031623566
18. E2                        0.053881885
19. E3                        0.044197673
20. E4                       -0.160809041
21. F0                        0.010394614
22. F1                        0.009570023
23. F2                       -0.001066234
24. F3                        0.018879765
25. F4                        0.022096128
26. VA1                       0.752441128
27. VA2                       0.751404340
28. VA3                       0.891653175
29. VA4                       0.975231723
30. VA5                       0.964578069
31. VA6                       0.929300651
32. VA7                       0.929679164
33. VA8                       0.953200257
34. VA9                       0.950175168
35. VA10                      0.501938284
36. VB1                       0.129092791
37. VB2                       0.074852993
38. VB3                       0.083674852
39. VB4                       0.074344616
40. VB5                       0.154107701
41. VB6                       0.249633620
42. VB7                       0.250223397
43. VB8                       0.235528674
44. VB9                       0.279303705
45. VB10                      0.121365372

-----------etc.

Non-Linear Optimization, Iteration 73. Subiterations 1
 Old Function =3D 2.118968e+004   New Function =3D 2.118970e+004
 New Coefficients:
      1.106402      -1.927998    1182.470631     -11.221498   =
14791.024790
    388.245503   -2609.479117  437978.555022    1320.299261 =
-461052.408283
    369.771542   -3013.607767  561065.976317    1590.089163 =
-448351.381129
     17.685576     152.431432 -205813.132826    -499.205793  =
109730.728625
     -1.135786     -14.311792   81903.192402     371.091983  =
108517.273715
      0.992586      -0.057068       0.957251       0.983057       =
0.973864
      0.924469       0.921408       0.939931       0.939025       =
0.228139
      0.043098       0.039731       0.050530       0.051017       =
0.127341
      0.196460       0.201657       0.238944       0.301134       =
0.051377


Estimation by BFGS
Iterations Taken    73
Weekly Data From 1988:01:22 To 1998:02:27
Usable Observations    528      Degrees of Freedom   483
Function Value                   21189.70438379

   Variable                     Coeff       Std Error      T-Stat     =
Signif
*************************************************************************=
******
1.  M0                             1.1064       0.6439      1.71818  =
0.08576467
2.  M1                            -1.9280      27.8640     -0.06919  =
0.94483588
3.  M2                          1182.4706    3014.6683      0.39224  =
0.69488159
4.  M3                           -11.2215       6.5517     -1.71276  =
0.08675751
5.  M4                         14791.0248   23621.4775      0.62617  =
0.53120444
6.  C0                           388.2455      34.6328     11.21035  =
0.00000000
7.  C1                         -2609.4791    1519.6681     -1.71714  =
0.08595405
8.  C2                        437978.5550  249256.3125      1.75714  =
0.07889373
9.  C3                          1320.2993     869.1244      1.51911  =
0.12873373
10. C4                       -461052.4083 1296320.6353     -0.35566  =
0.72209346
11. D0                           369.7715      34.4692     10.72759  =
0.00000000
12. D1                         -3013.6078    1487.0252     -2.02660  =
0.04270317
13. D2                        561065.9763  256372.1448      2.18848  =
0.02863447
14. D3                          1590.0892     902.3238      1.76222  =
0.07803285
15. D4                       -448351.3811 1340159.7182     -0.33455  =
0.73796403
16. E0                            17.6856       8.4669      2.08879  =
0.03672658
17. E1                           152.4314     477.4047      0.31929  =
0.74950523
18. E2                       -205813.1328   90870.5512     -2.26490  =
0.02351853
19. E3                          -499.2058     593.3715     -0.84130  =
0.40017768
20. E4                        109730.7286  548640.3488      0.20000  =
0.84147679
21. F0                            -1.1358       4.9506     -0.22942  =
0.81854078
22. F1                           -14.3118     187.7785     -0.07622  =
0.93924697
23. F2                         81903.1924   50208.8030      1.63125  =
0.10283723
24. F3                           371.0920     261.3823      1.41973  =
0.15568665
25. F4                        108517.2737  386409.5216      0.28083  =
0.77883705
26. VA1                            0.9926  3.2338e-003    306.94536  =
0.00000000
27. VA2                           -0.0571       0.7554     -0.07555  =
0.93977965
28. VA3                            0.9573       0.0488     19.60427  =
0.00000000
29. VA4                            0.9831  5.2205e-003    188.30596  =
0.00000000
30. VA5                            0.9739  3.0247e-003    321.97498  =
0.00000000
31. VA6                            0.9245  1.5109e-003    611.85331  =
0.00000000
32. VA7                            0.9214  1.5720e-003    586.15325     =
NA
33. VA8                            0.9399  7.2182e-003    130.21642  =
0.00000000
34. VA9                            0.9390  7.3702e-003    127.40794  =
0.00000000
35. VA10                           0.2281       0.2699      0.84533  =
0.39792579
36. VB1                            0.0431       0.0120      3.57769  =
0.00034664
37. VB2                            0.0397       0.0163      2.43259  =
0.01499122
38. VB3                            0.0505       0.0142      3.57025  =
0.00035664
39. VB4                            0.0510       0.0209      2.43918  =
0.01472068
40. VB5                            0.1273  5.4528e-003     23.35358  =
0.00000000
41. VB6                            0.1965       0.0194     10.13110  =
0.00000000
42. VB7                            0.2017       0.0170     11.84821  =
0.00000000
43. VB8                            0.2389  7.7310e-003     30.90727  =
0.00000000
44. VB9                            0.3011       0.0163     18.49680  =
0.00000000
45. VB10                           0.0514       0.0196      2.61920  =
0.00881357



*************************************************************************=
***********
****************Case 2: compute excess returns by multiplying them  by =
100 **********************
*************************************************************************=
***********

*compute excess equity returns

set r_msin =3D =
(log(msinds(t)/msinds(t-1))-log(1+(ecjap7d(t-1)/5200)))*100

----------
etc.
=20
COMPUTE GSTART=3D4 , GEND=3D98:02:27

----------
----------
etc.
=20
COMPUTE m0 =3D m1 =3D m2 =3D m3 =3D m4 =3D 0.01
COMPUTE c0 =3D c1 =3D c2 =3D c3 =3D c4 =3D 0.05
COMPUTE d0 =3D d1 =3D d2 =3D d3 =3D d4 =3D 0.01
COMPUTE e0 =3D e1 =3D e2 =3D e3 =3D e4 =3D 0.05
COMPUTE f0 =3D f1 =3D f2 =3D f3 =3D f4 =3D 0.01
COMPUTE VA1 =3D VA2 =3D VA3 =3D VA4 =3D VA5 =3D VA6 =3D VA7 =3D VA8 =3D =
VA9 =3D VA10 =3D 0.85=20
COMPUTE VB1 =3D VB2 =3D VB3 =3D VB4 =3D VB5 =3D VB6 =3D VB7 =3D VB8 =3D =
VB9 =3D VB10 =3D 0.25=20
=20
NLPAR(SUBITERTATION=3D10,CRITERION=3DVALUE,CVCRIT=3D0.000001)
MAXIMIZE(TRACE,METHOD=3DSIMPLEX,RECURSIVE,ITERS=3D30) LOGL GSTART GEND
MAXIMIZE(TRACE,METHOD=3DBFGS,ROBUSTERRORS,RECURSIVE,ITERS=3D100) LOGL =
GSTART GEND
=20
---------- etc.

Estimation by Simplex
Weekly Data From 1988:01:22 To 1998:02:27
Usable Observations     10      Degrees of Freedom   -35
 Total Observations    528      Skipped/Missing      518
Function Value                     -73.42365513

   Variable                     Coeff
*****************************************
1.  M0                        0.009185838
2.  M1                        0.009924196
3.  M2                        0.008948882
4.  M3                        0.010367144
5.  M4                        0.012066314
6.  C0                        0.053810470
7.  C1                        0.059277889
8.  C2                        0.044099621
9.  C3                        0.049787864
10. C4                        0.036704313
11. D0                        0.010664474
12. D1                        0.010011599
13. D2                        0.007056215
14. D3                        0.010683077
15. D4                        0.011249667
16. E0                        0.050988881
17. E1                        0.067392408
18. E2                        0.055285068
19. E3                        0.049970327
20. E4                       -0.002794719
21. F0                        0.010057723
22. F1                        0.012584350
23. F2                        0.010381980
24. F3                        0.010332469
25. F4                        0.009999176
26. VA1                       0.680543966
27. VA2                       0.671104645
28. VA3                       1.015670025
29. VA4                       0.824916518
30. VA5                       0.980679765
31. VA6                       0.835249847
32. VA7                       0.864872661
33. VA8                       0.805108962
34. VA9                       0.834710783
35. VA10                      0.731076708
36. VB1                       0.251258684
37. VB2                       0.219865499
38. VB3                       0.208446334
39. VB4                       0.199224648
40. VB5                       0.282768222
41. VB6                       0.214822323
42. VB7                       0.239195733
43. VB8                       0.264181294
44. VB9                       0.079003518
45. VB10                      0.038579394


Non-Linear Optimization, Iteration 1. Subiterations 11
 Old Function =3D -6.719387e+003  New Function =3D -6.719387e+003
 New Coefficients:
      NA             NA             NA             NA             NA
      NA             NA             NA             NA             NA
      NA             NA             NA             NA             NA
      NA             NA             NA             NA             NA
      NA             NA             NA             NA             NA
      NA             NA             NA             NA             NA
      NA             NA             NA             NA             NA
      NA             NA             NA             NA             NA
      NA             NA             NA             NA             NA


Estimation by BFGS
NO CONVERGENCE IN 1 ITERATIONS
LAST CRITERION WAS  0.0000000
SUBITERATIONS LIMIT EXCEEDED. USE NLPAR TO SET HIGHER LIMIT
Weekly Data From 1988:01:22 To 1998:02:27
Usable Observations    400      Degrees of Freedom   355
 Total Observations    528      Skipped/Missing      128
Function Value                   -6719.38700193

   Variable                     Coeff       Std Error      T-Stat     =
Signif
*************************************************************************=
******
1.  M0                            NA          0.000000      0.00000  =
0.00000000
2.  M1                            NA          0.000000      0.00000  =
0.00000000
3.  M2                            NA          0.000000      0.00000  =
0.00000000
4.  M3                            NA          0.000000      0.00000  =
0.00000000
5.  M4                            NA          0.000000      0.00000  =
0.00000000
6.  C0                            NA          0.000000      0.00000  =
0.00000000
7.  C1                            NA          0.000000      0.00000  =
0.00000000
8.  C2                            NA          0.000000      0.00000  =
0.00000000
9.  C3                            NA          0.000000      0.00000  =
0.00000000
10. C4                            NA          0.000000      0.00000  =
0.00000000
11. D0                            NA          0.000000      0.00000  =
0.00000000
12. D1                            NA          0.000000      0.00000  =
0.00000000
13. D2                            NA          0.000000      0.00000  =
0.00000000
14. D3                            NA          0.000000      0.00000  =
0.00000000
15. D4                            NA          0.000000      0.00000  =
0.00000000
16. E0                            NA          0.000000      0.00000  =
0.00000000
17. E1                            NA          0.000000      0.00000  =
0.00000000
18. E2                            NA          0.000000      0.00000  =
0.00000000
19. E3                            NA          0.000000      0.00000  =
0.00000000
20. E4                            NA          0.000000      0.00000  =
0.00000000
21. F0                            NA          0.000000      0.00000  =
0.00000000
22. F1                            NA          0.000000      0.00000  =
0.00000000
23. F2                            NA          0.000000      0.00000  =
0.00000000
24. F3                            NA          0.000000      0.00000  =
0.00000000
25. F4                            NA          0.000000      0.00000  =
0.00000000
26. VA1                           NA          0.000000      0.00000  =
0.00000000
27. VA2                           NA          0.000000      0.00000  =
0.00000000
28. VA3                           NA          0.000000      0.00000  =
0.00000000
29. VA4                           NA          0.000000      0.00000  =
0.00000000
30. VA5                           NA          0.000000      0.00000  =
0.00000000
31. VA6                           NA          0.000000      0.00000  =
0.00000000
32. VA7                           NA          0.000000      0.00000  =
0.00000000
33. VA8                           NA          0.000000      0.00000  =
0.00000000
34. VA9                           NA          0.000000      0.00000  =
0.00000000
35. VA10                          NA          0.000000      0.00000  =
0.00000000
36. VB1                           NA          0.000000      0.00000  =
0.00000000
37. VB2                           NA          0.000000      0.00000  =
0.00000000
38. VB3                           NA          0.000000      0.00000  =
0.00000000
39. VB4                           NA          0.000000      0.00000  =
0.00000000
40. VB5                           NA          0.000000      0.00000  =
0.00000000
41. VB6                           NA          0.000000      0.00000  =
0.00000000
42. VB7                           NA          0.000000      0.00000  =
0.00000000
43. VB8                           NA          0.000000      0.00000  =
0.00000000
44. VB9                           NA          0.000000      0.00000  =
0.00000000
45. VB10                          NA          0.000000      0.00000  =
0.00000000

## SR10. Missing Values And/Or SMPL Options Leave No Usable Data Points

*************************************************************************=
*********************



------=_NextPart_000_001F_01BDB9B7.A4998480
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<BODY bgColor=3D#ffffff>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT face=3D"Times =
New Roman">Dear=20
RATS users,</FONT></FONT></FONT><FONT face=3D"Times New Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT face=3D"Times =
New Roman">I was=20
estimating a GARCH model and encountered a situation where I got two =
completely=20
different results when I defined excess equity returns in two different=20
ways.</FONT></FONT></FONT><FONT face=3D"Times New Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"><BR>In the first case, I computed the excess =
equity=20
returns without multiplying them by 100, and in the second case, I =
multiplied=20
them by 100.&nbsp; </FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT face=3D"Times =
New Roman">The=20
main problem is that I got convergence in the first case ( but it took =
more than=20
24 hours), but I did not get convergence in the second case, especially =
the=20
useable observations dropped significantly (please see the attached =
partial=20
outputs).</FONT></FONT></FONT><FONT face=3D"Times New Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT face=3D"Times =
New Roman"><BR>I=20
wonder if simply multiplying variables by 100 will result in an =
extremely=20
different outcomes.&nbsp; Would you please help me solving this =
problem?&nbsp;=20
Thank you very much.</FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman">yours,</FONT></FONT></FONT><FONT=20
face=3D"Times New Roman"><FONT size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman">Irving </FONT></FONT></FONT><FONT=20
face=3D"Times New Roman"></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2>Followings are partial program and output for each of the two=20
cases.&nbsp; (I apologize for this long outputs.)</FONT></FONT></DIV>
<DIV><FONT size=3D2><FONT face=3D"Times New Roman"></FONT></FONT><FONT=20
face=3D"Times New Roman"><FONT size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT size=3D2><FONT face=3D"Times New Roman"></FONT></FONT><FONT=20
face=3D"Times New Roman"><FONT size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New =
Roman">******************************************************************=
******************<BR>****************Case=20
1: compute excess returns without multiplying them by 100=20
*******************<BR>**************************************************=
**********************************</FONT></FONT></FONT><FONT=20
face=3D"Times New Roman"><FONT size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT =
color=3D#000000 face=3D""><FONT=20
size=3D2><FONT face=3D"Times New Roman">*compute excess equity=20
returns</FONT></FONT></FONT></FONT></FONT><FONT=20
face=3D"Times New Roman"></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT face=3D"Times =
New Roman">set=20
r_msin =3D=20
log(msinds(t)/msinds(t-1))-log(1+(ecjap7d(t-1)/5200))</FONT></FONT></FONT=
><FONT=20
face=3D"Times New Roman"><FONT size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT face=3D"" size=3D2><FONT=20
face=3D"Times New Roman">----------</FONT></FONT><FONT=20
face=3D"Times New Roman"></FONT></DIV>
<DIV><FONT face=3D"" size=3D2><FONT face=3D"Times New =
Roman">etc.</FONT></FONT><FONT=20
face=3D"Times New Roman"></FONT></DIV>
<DIV><FONT face=3D"" size=3D2><FONT face=3D"Times New =
Roman"></FONT></FONT><FONT=20
face=3D"Times New Roman"></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D"" size=3D2><FONT face=3D"Times New =
Roman">COMPUTE=20
GSTART=3D4 , GEND=3D98:02:27</FONT></FONT><FONT face=3D"Times New =
Roman"></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New =
Roman">----------<BR>----------<BR>etc.</FONT></FONT></FONT><FONT=20
face=3D"Times New Roman"><FONT size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman">COMPUTE m0 =3D m1 =3D m2 =3D m3 =3D m4 =3D =
0.01<BR>COMPUTE c0 =3D c1=20
=3D c2 =3D c3 =3D c4 =3D 0.05<BR>COMPUTE d0 =3D d1 =3D d2 =3D d3 =3D d4 =
=3D 0.01<BR>COMPUTE e0 =3D=20
e1 =3D e2 =3D e3 =3D e4 =3D 0.05<BR>COMPUTE f0 =3D f1 =3D f2 =3D f3 =3D =
f4 =3D 0.01<BR>COMPUTE VA1=20
=3D VA2 =3D VA3 =3D VA4 =3D VA5 =3D VA6 =3D VA7 =3D VA8 =3D VA9 =3D VA10 =
=3D 0.85 <BR>COMPUTE VB1 =3D=20
VB2 =3D VB3 =3D VB4 =3D VB5 =3D VB6 =3D VB7 =3D VB8 =3D VB9 =3D VB10 =3D =
0.25=20
</FONT></FONT></FONT><FONT face=3D"Times New Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New =
Roman">NLPAR(SUBITERTATION=3D10,CRITERION=3DVALUE,CVCRIT=3D0.000001)<BR>M=
AXIMIZE(TRACE,METHOD=3DSIMPLEX,RECURSIVE,ITERS=3D30)=20
LOGL GSTART =
GEND<BR>MAXIMIZE(TRACE,METHOD=3DBFGS,ROBUSTERRORS,RECURSIVE,ITERS=3D100) =

LOGL GSTART GEND</FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman">---------- etc.</FONT></FONT></FONT><FONT=20
face=3D"Times New Roman"><FONT size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman">Estimation by Simplex<BR>Weekly Data From =
1988:01:22 To=20
1998:02:27<BR>Usable Observations&nbsp;&nbsp;&nbsp;=20
528&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Degrees of Freedom&nbsp;&nbsp; =
483<BR>Function=20
Value&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&n=
bsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
21096.07428975</FONT></FONT></FONT><FONT face=3D"Times New Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman">&nbsp;&nbsp;=20
Variable&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
Coeff<BR>*****************************************<BR>1.&nbsp;=20
M0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.010812159<BR>2.&nbsp;=20
M1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.001901283<BR>3.&nbsp;=20
M2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.011235928<BR>4.&nbsp;=20
M3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.007492441<BR>5.&nbsp;=20
M4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.010200325<BR>6.&nbsp;=20
C0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.061755747<BR>7.&nbsp;=20
C1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.080515253<BR>8.&nbsp;=20
C2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.017282199<BR>9.&nbsp;=20
C3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.125678188<BR>10.=20
C4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.037357773<BR>11.=20
D0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.018324936<BR>12.=20
D1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.004894768<BR>13.=20
D2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.008070308<BR>14.=20
D3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.012660719<BR>15.=20
D4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.020039178<BR>16.=20
E0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.043180415<BR>17.=20
E1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.031623566<BR>18.=20
E2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.053881885<BR>19.=20
E3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.044197673<BR>20.=20
E4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
-0.160809041<BR>21.=20
F0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.010394614<BR>22.=20
F1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.009570023<BR>23.=20
F2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
-0.001066234<BR>24.=20
F3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.018879765<BR>25.=20
F4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.022096128<BR>26.=20
VA1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.752441128<BR>27.=20
VA2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.751404340<BR>28.=20
VA3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.891653175<BR>29.=20
VA4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.975231723<BR>30.=20
VA5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.964578069<BR>31.=20
VA6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.929300651<BR>32.=20
VA7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.929679164<BR>33.=20
VA8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.953200257<BR>34.=20
VA9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.950175168<BR>35.=20
VA10&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nb=
sp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.501938284<BR>36.=20
VB1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.129092791<BR>37.=20
VB2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.074852993<BR>38.=20
VB3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.083674852<BR>39.=20
VB4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.074344616<BR>40.=20
VB5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.154107701<BR>41.=20
VB6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.249633620<BR>42.=20
VB7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.250223397<BR>43.=20
VB8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.235528674<BR>44.=20
VB9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.279303705<BR>45.=20
VB10&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nb=
sp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.121365372</FONT></FONT></FONT><FONT face=3D"Times New Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman">-----------etc.</FONT></FONT></FONT><FONT=20
face=3D"Times New Roman"><FONT size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman">Non-Linear Optimization, Iteration 73. =
Subiterations=20
1<BR>&nbsp;Old Function =3D 2.118968e+004&nbsp;&nbsp; New Function =3D=20
2.118970e+004<BR>&nbsp;New =
Coefficients:<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
1.106402&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; -1.927998&nbsp;&nbsp;&nbsp;=20
1182.470631&nbsp;&nbsp;&nbsp;&nbsp; -11.221498&nbsp;&nbsp;=20
14791.024790<BR>&nbsp;&nbsp;&nbsp; 388.245503&nbsp;&nbsp; =
-2609.479117&nbsp;=20
437978.555022&nbsp;&nbsp;&nbsp; 1320.299261 =
-461052.408283<BR>&nbsp;&nbsp;&nbsp;=20
369.771542&nbsp;&nbsp; -3013.607767&nbsp; =
561065.976317&nbsp;&nbsp;&nbsp;=20
1590.089163 -448351.381129<BR>&nbsp;&nbsp;&nbsp;&nbsp;=20
17.685576&nbsp;&nbsp;&nbsp;&nbsp; 152.431432 =
-205813.132826&nbsp;&nbsp;&nbsp;=20
-499.205793&nbsp; 109730.728625<BR>&nbsp;&nbsp;&nbsp;&nbsp;=20
-1.135786&nbsp;&nbsp;&nbsp;&nbsp; -14.311792&nbsp;&nbsp;=20
81903.192402&nbsp;&nbsp;&nbsp;&nbsp; 371.091983&nbsp;=20
108517.273715<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.992586&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
-0.057068&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.957251&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.983057&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.973864<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.924469&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.921408&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.939931&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.939025&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.228139<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.043098&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.039731&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.050530&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.051017&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.127341<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.196460&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.201657&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.238944&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.301134&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.051377</FONT></FONT></FONT><FONT=20
face=3D"Times New Roman"><FONT size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"><BR>Estimation by BFGS<BR>Iterations=20
Taken&nbsp;&nbsp;&nbsp; 73<BR>Weekly Data From 1988:01:22 To=20
1998:02:27<BR>Usable Observations&nbsp;&nbsp;&nbsp;=20
528&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Degrees of Freedom&nbsp;&nbsp; =
483<BR>Function=20
Value&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&n=
bsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
21189.70438379</FONT></FONT></FONT><FONT face=3D"Times New Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman">&nbsp;&nbsp;=20
Variable&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
Coeff&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Std=20
Error&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Stat&nbsp;&nbsp;&nbsp;&nbsp;=20
Signif<BR>***************************************************************=
****************<BR>1.&nbsp;=20
M0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;&nbsp;=20
1.1064&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.6439&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
1.71818&nbsp; 0.08576467<BR>2.&nbsp;=20
M1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
-1.9280&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27.8640&nbsp;&nbsp;&nbsp;&nbsp;=20
-0.06919&nbsp; 0.94483588<BR>3.&nbsp;=20
M2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;=20
1182.4706&nbsp;&nbsp;&nbsp; 3014.6683&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.39224&nbsp; 0.69488159<BR>4.&nbsp;=20
M3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;=20
-11.2215&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
6.5517&nbsp;&nbsp;&nbsp;&nbsp;=20
-1.71276&nbsp; 0.08675751<BR>5.&nbsp;=20
M4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
=20
14791.0248&nbsp;&nbsp; 23621.4775&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.62617&nbsp;=20
0.53120444<BR>6.&nbsp;=20
C0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;=20
388.2455&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34.6328&nbsp;&nbsp;&nbsp;&nbsp;=20
11.21035&nbsp; 0.00000000<BR>7.&nbsp;=20
C1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
=20
-2609.4791&nbsp;&nbsp;&nbsp; 1519.6681&nbsp;&nbsp;&nbsp;&nbsp; =
-1.71714&nbsp;=20
0.08595405<BR>8.&nbsp;=20
C2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
437978.5550&nbsp; 249256.3125&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
1.75714&nbsp;=20
0.07889373<BR>9.&nbsp;=20
C3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;=20
1320.2993&nbsp;&nbsp;&nbsp;&nbsp; 869.1244&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =

1.51911&nbsp; 0.12873373<BR>10.=20
C4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
-461052.4083 1296320.6353&nbsp;&nbsp;&nbsp;&nbsp; -0.35566&nbsp;=20
0.72209346<BR>11.=20
D0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;=20
369.7715&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34.4692&nbsp;&nbsp;&nbsp;&nbsp;=20
10.72759&nbsp; 0.00000000<BR>12.=20
D1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
=20
-3013.6078&nbsp;&nbsp;&nbsp; 1487.0252&nbsp;&nbsp;&nbsp;&nbsp; =
-2.02660&nbsp;=20
0.04270317<BR>13.=20
D2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
561065.9763&nbsp; 256372.1448&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
2.18848&nbsp;=20
0.02863447<BR>14.=20
D3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;=20
1590.0892&nbsp;&nbsp;&nbsp;&nbsp; 902.3238&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =

1.76222&nbsp; 0.07803285<BR>15.=20
D4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
-448351.3811 1340159.7182&nbsp;&nbsp;&nbsp;&nbsp; -0.33455&nbsp;=20
0.73796403<BR>16.=20
E0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
17.6856&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
8.4669&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
2.08879&nbsp; 0.03672658<BR>17.=20
E1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;=20
152.4314&nbsp;&nbsp;&nbsp;&nbsp; 477.4047&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.31929&nbsp; 0.74950523<BR>18.=20
E2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
-205813.1328&nbsp;&nbsp; 90870.5512&nbsp;&nbsp;&nbsp;&nbsp; =
-2.26490&nbsp;=20
0.02351853<BR>19.=20
E3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;=20
-499.2058&nbsp;&nbsp;&nbsp;&nbsp; 593.3715&nbsp;&nbsp;&nbsp;&nbsp;=20
-0.84130&nbsp; 0.40017768<BR>20.=20
E4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
109730.7286&nbsp; 548640.3488&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.20000&nbsp;=20
0.84147679<BR>21.=20
F0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
-1.1358&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
4.9506&nbsp;&nbsp;&nbsp;&nbsp;=20
-0.22942&nbsp; 0.81854078<BR>22.=20
F1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;=20
-14.3118&nbsp;&nbsp;&nbsp;&nbsp; 187.7785&nbsp;&nbsp;&nbsp;&nbsp; =
-0.07622&nbsp;=20
0.93924697<BR>23.=20
F2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
=20
81903.1924&nbsp;&nbsp; 50208.8030&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
1.63125&nbsp;=20
0.10283723<BR>24.=20
F3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;=20
371.0920&nbsp;&nbsp;&nbsp;&nbsp; 261.3823&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
1.41973&nbsp; 0.15568665<BR>25.=20
F4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
108517.2737&nbsp; 386409.5216&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.28083&nbsp;=20
0.77883705<BR>26.=20
VA1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.9926&nbsp; 3.2338e-003&nbsp;&nbsp;&nbsp; 306.94536&nbsp; =
0.00000000<BR>27.=20
VA2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
-0.0571&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.7554&nbsp;&nbsp;&nbsp;&nbsp;=20
-0.07555&nbsp; 0.93977965<BR>28.=20
VA3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.9573&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.0488&nbsp;&nbsp;&nbsp;&nbsp;=20
19.60427&nbsp; 0.00000000<BR>29.=20
VA4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.9831&nbsp; 5.2205e-003&nbsp;&nbsp;&nbsp; 188.30596&nbsp; =
0.00000000<BR>30.=20
VA5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.9739&nbsp; 3.0247e-003&nbsp;&nbsp;&nbsp; 321.97498&nbsp; =
0.00000000<BR>31.=20
VA6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.9245&nbsp; 1.5109e-003&nbsp;&nbsp;&nbsp; 611.85331&nbsp; =
0.00000000<BR>32.=20
VA7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.9214&nbsp; 1.5720e-003&nbsp;&nbsp;&nbsp; =
586.15325&nbsp;&nbsp;&nbsp;&nbsp;=20
NA<BR>33.=20
VA8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.9399&nbsp; 7.2182e-003&nbsp;&nbsp;&nbsp; 130.21642&nbsp; =
0.00000000<BR>34.=20
VA9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.9390&nbsp; 7.3702e-003&nbsp;&nbsp;&nbsp; 127.40794&nbsp; =
0.00000000<BR>35.=20
VA10&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nb=
sp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;=20
0.2281&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.2699&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.84533&nbsp; 0.39792579<BR>36.=20
VB1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.0431&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.0120&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
3.57769&nbsp; 0.00034664<BR>37.=20
VB2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.0397&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.0163&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
2.43259&nbsp; 0.01499122<BR>38.=20
VB3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.0505&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.0142&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
3.57025&nbsp; 0.00035664<BR>39.=20
VB4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.0510&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.0209&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
2.43918&nbsp; 0.01472068<BR>40.=20
VB5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.1273&nbsp; 5.4528e-003&nbsp;&nbsp;&nbsp;&nbsp; 23.35358&nbsp;=20
0.00000000<BR>41.=20
VB6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.1965&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.0194&nbsp;&nbsp;&nbsp;&nbsp;=20
10.13110&nbsp; 0.00000000<BR>42.=20
VB7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.2017&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.0170&nbsp;&nbsp;&nbsp;&nbsp;=20
11.84821&nbsp; 0.00000000<BR>43.=20
VB8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.2389&nbsp; 7.7310e-003&nbsp;&nbsp;&nbsp;&nbsp; 30.90727&nbsp;=20
0.00000000<BR>44.=20
VB9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;=20
0.3011&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.0163&nbsp;&nbsp;&nbsp;&nbsp;=20
18.49680&nbsp; 0.00000000<BR>45.=20
VB10&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nb=
sp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;=20
0.0514&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
0.0196&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
2.61920&nbsp; 0.00881357</FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New =
Roman">******************************************************************=
******************<BR>****************Case=20
2: compute excess returns by multiplying them&nbsp; by 100=20
**********************<BR>***********************************************=
*************************************</FONT></FONT></FONT><FONT=20
face=3D"Times New Roman"></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT><FONT color=3D#000000 face=3D""><FONT size=3D2>*compute =
excess equity=20
returns</FONT></FONT></FONT></DIV>
<DIV><FONT size=3D2><FONT face=3D"Times New Roman"></FONT></FONT><FONT=20
face=3D"Times New Roman"></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT face=3D"Times =
New Roman">set=20
r_msin =3D=20
(log(msinds(t)/msinds(t-1))-log(1+(ecjap7d(t-1)/5200)))*100</FONT></FONT>=
</FONT><FONT=20
face=3D"Times New Roman"></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>
<DIV><FONT face=3D"" size=3D2><FONT=20
face=3D"Times New Roman">----------</FONT></FONT><FONT=20
face=3D"Times New Roman"></FONT></DIV>
<DIV><FONT face=3D"" size=3D2><FONT face=3D"Times New =
Roman">etc.</FONT></FONT><FONT=20
face=3D"Times New Roman"></FONT></DIV>
<DIV><FONT face=3D"" size=3D2><FONT face=3D"Times New =
Roman"></FONT></FONT><FONT=20
face=3D"Times New Roman">&nbsp;</FONT></DIV>
<DIV><FONT color=3D#000000 face=3D"" size=3D2><FONT face=3D"Times New =
Roman">COMPUTE=20
GSTART=3D4 , GEND=3D98:02:27</FONT></FONT><FONT=20
face=3D"Times New Roman"></FONT></DIV></DIV>
<DIV><FONT face=3D"Times New Roman"></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D"Times New Roman" size=3D2><FONT=20
face=3D"Times New Roman" size=3D2></FONT>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New =
Roman">----------<BR>----------<BR>etc.</FONT></FONT></FONT><FONT=20
face=3D"Times New Roman"><FONT size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2>&nbsp;</FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman">COMPUTE m0 =3D m1 =3D m2 =3D m3 =3D m4 =3D =
0.01<BR>COMPUTE c0 =3D c1=20
=3D c2 =3D c3 =3D c4 =3D 0.05<BR>COMPUTE d0 =3D d1 =3D d2 =3D d3 =3D d4 =
=3D 0.01<BR>COMPUTE e0 =3D=20
e1 =3D e2 =3D e3 =3D e4 =3D 0.05<BR>COMPUTE f0 =3D f1 =3D f2 =3D f3 =3D =
f4 =3D 0.01<BR>COMPUTE VA1=20
=3D VA2 =3D VA3 =3D VA4 =3D VA5 =3D VA6 =3D VA7 =3D VA8 =3D VA9 =3D VA10 =
=3D 0.85 <BR>COMPUTE VB1 =3D=20
VB2 =3D VB3 =3D VB4 =3D VB5 =3D VB6 =3D VB7 =3D VB8 =3D VB9 =3D VB10 =3D =
0.25=20
</FONT></FONT></FONT><FONT face=3D"Times New Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2>&nbsp;</FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New =
Roman">NLPAR(SUBITERTATION=3D10,CRITERION=3DVALUE,CVCRIT=3D0.000001)<BR>M=
AXIMIZE(TRACE,METHOD=3DSIMPLEX,RECURSIVE,ITERS=3D30)=20
LOGL GSTART =
GEND<BR>MAXIMIZE(TRACE,METHOD=3DBFGS,ROBUSTERRORS,RECURSIVE,ITERS=3D100) =

LOGL GSTART GEND</FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2>&nbsp;</FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman">---------- etc.</FONT></FONT></FONT><FONT=20
face=3D"Times New Roman"><FONT size=3D2></FONT></FONT></DIV><FONT =
size=3D2><FONT=20
face=3D"Times New Roman"><BR>Estimation by Simplex<BR>Weekly Data From =
1988:01:22=20
To 1998:02:27<BR>Usable Observations&nbsp;&nbsp;&nbsp;&nbsp;=20
10&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Degrees of Freedom&nbsp;&nbsp;=20
-35<BR>&nbsp;Total Observations&nbsp;&nbsp;&nbsp;=20
528&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
Skipped/Missing&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
518<BR>Function=20
Value&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&n=
bsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
-73.42365513</FONT></FONT></FONT><FONT face=3D"Times New Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman">&nbsp;&nbsp;=20
Variable&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
Coeff<BR>*****************************************<BR>1.&nbsp;=20
M0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.009185838<BR>2.&nbsp;=20
M1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.009924196<BR>3.&nbsp;=20
M2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.008948882<BR>4.&nbsp;=20
M3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.010367144<BR>5.&nbsp;=20
M4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.012066314<BR>6.&nbsp;=20
C0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.053810470<BR>7.&nbsp;=20
C1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.059277889<BR>8.&nbsp;=20
C2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.044099621<BR>9.&nbsp;=20
C3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.049787864<BR>10.=20
C4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.036704313<BR>11.=20
D0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.010664474<BR>12.=20
D1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.010011599<BR>13.=20
D2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.007056215<BR>14.=20
D3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.010683077<BR>15.=20
D4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.011249667<BR>16.=20
E0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.050988881<BR>17.=20
E1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.067392408<BR>18.=20
E2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.055285068<BR>19.=20
E3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.049970327<BR>20.=20
E4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
-0.002794719<BR>21.=20
F0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.010057723<BR>22.=20
F1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.012584350<BR>23.=20
F2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.010381980<BR>24.=20
F3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.010332469<BR>25.=20
F4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.009999176<BR>26.=20
VA1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.680543966<BR>27.=20
VA2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.671104645<BR>28.=20
VA3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
1.015670025<BR>29.=20
VA4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.824916518<BR>30.=20
VA5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.980679765<BR>31.=20
VA6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.835249847<BR>32.=20
VA7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.864872661<BR>33.=20
VA8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.805108962<BR>34.=20
VA9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.834710783<BR>35.=20
VA10&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nb=
sp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.731076708<BR>36.=20
VB1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.251258684<BR>37.=20
VB2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.219865499<BR>38.=20
VB3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.208446334<BR>39.=20
VB4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.199224648<BR>40.=20
VB5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.282768222<BR>41.=20
VB6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.214822323<BR>42.=20
VB7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.239195733<BR>43.=20
VB8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.264181294<BR>44.=20
VB9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.079003518<BR>45.=20
VB10&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nb=
sp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.038579394</FONT></FONT></FONT><FONT face=3D"Times New Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"><BR>Non-Linear Optimization, Iteration 1. =
Subiterations=20
11<BR>&nbsp;Old Function =3D -6.719387e+003&nbsp; New Function =3D=20
-6.719387e+003<BR>&nbsp;New =
Coefficients:<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA<BR>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;=20
NA</FONT></FONT></FONT><FONT face=3D"Times New Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"><BR>Estimation by BFGS<BR>NO CONVERGENCE IN 1=20
ITERATIONS<BR>LAST CRITERION WAS&nbsp; 0.0000000<BR>SUBITERATIONS LIMIT=20
EXCEEDED. USE NLPAR TO SET HIGHER LIMIT<BR>Weekly Data From 1988:01:22 =
To=20
1998:02:27<BR>Usable Observations&nbsp;&nbsp;&nbsp;=20
400&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Degrees of Freedom&nbsp;&nbsp;=20
355<BR>&nbsp;Total Observations&nbsp;&nbsp;&nbsp;=20
528&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; =
Skipped/Missing&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
128<BR>Function=20
Value&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&n=
bsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
-6719.38700193</FONT></FONT></FONT><FONT face=3D"Times New Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman">&nbsp;&nbsp;=20
Variable&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
Coeff&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Std=20
Error&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Stat&nbsp;&nbsp;&nbsp;&nbsp;=20
Signif<BR>***************************************************************=
****************<BR>1.&nbsp;=20
M0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; =
0.00000000<BR>2.&nbsp;=20
M1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; =
0.00000000<BR>3.&nbsp;=20
M2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; =
0.00000000<BR>4.&nbsp;=20
M3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; =
0.00000000<BR>5.&nbsp;=20
M4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; =
0.00000000<BR>6.&nbsp;=20
C0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; =
0.00000000<BR>7.&nbsp;=20
C1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; =
0.00000000<BR>8.&nbsp;=20
C2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; =
0.00000000<BR>9.&nbsp;=20
C3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>10.=20
C4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>11.=20
D0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>12.=20
D1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>13.=20
D2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>14.=20
D3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>15.=20
D4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>16.=20
E0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>17.=20
E1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>18.=20
E2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>19.=20
E3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>20.=20
E4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>21.=20
F0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>22.=20
F1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>23.=20
F2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>24.=20
F3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>25.=20
F4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=
&nbsp;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>26.=20
VA1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>27.=20
VA2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>28.=20
VA3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>29.=20
VA4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>30.=20
VA5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>31.=20
VA6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>32.=20
VA7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>33.=20
VA8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>34.=20
VA9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>35.=20
VA10&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nb=
sp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>36.=20
VB1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>37.=20
VB2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>38.=20
VB3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>39.=20
VB4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>40.=20
VB5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>41.=20
VB6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>42.=20
VB7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>43.=20
VB8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>44.=20
VB9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp=
;&nbsp;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp; 0.00000000<BR>45.=20
VB10&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nb=
sp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbs=
p;&nbsp;=20
NA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;=20
0.000000&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.00000&nbsp;=20
0.00000000</FONT></FONT></FONT><FONT face=3D"Times New Roman"><FONT=20
size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2><FONT color=3D#000000 face=3D"">## SR10. Missing Values And/Or =
SMPL Options=20
Leave No Usable Data Points</FONT></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT size=3D2><FONT=20
face=3D"Times New =
Roman">******************************************************************=
****************************</FONT></FONT><FONT=20
face=3D"Times New Roman"><FONT size=3D2></FONT></FONT></DIV>
<DIV><FONT color=3D#000000 face=3D""><FONT size=3D2><FONT=20
face=3D"Times New Roman"></FONT></FONT></FONT><FONT face=3D"Times New =
Roman"><FONT=20
size=3D2></FONT></FONT>&nbsp;</DIV>
<DIV><FONT color=3D#000000 face=3D"Times New Roman"=20
size=3D2></FONT>&nbsp;</DIV></BODY></HTML>

------=_NextPart_000_001F_01BDB9B7.A4998480--


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

From: Katja Gerling <kgerling@ifw.uni-kiel.de>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Adjustment coefficient in ECM
Date: Tue, 28 Jul 1998 10:34:50 +0200
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Dear RATS-users,
I have a rather general problem: I estimated a factor demand model
(investment demand and two types of labour demand) as error-correction
model with panel data.For my investment demand equation I get an
adjustment coefficient which exceeds 1. I tried several things
(different scaling of the data, dummy variables etc.) to get rid of this
strange result but nothing seems to work. Does anybody have an idea what
I could do or how I could interprete this?
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: 
Date: Tue, 28 Jul 1998 12:41:04 +0100 (BST)
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Without looking at the data it's hard to tell what's going on but
conceivably this is not so ludicrous as it might seem. Single equation
stability requires the loading lies between 0 and -2.  (I presume
your statement that the  "adjustment coefficient ...  exceeds 1" means
the loading is more negative than -1.). So a loading of -1.5 implies
investment is overshooting the long-run values but is still stable.
Nevertheless, this does seem a little odd.  But if you look at the
system dynamics then they may be smoother so that the overshooting is
offset by dynamics elsewhere.



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




On Tue, 28 Jul 1998, Katja Gerling wrote:
> I have a rather general problem: I estimated a factor demand model
> (investment demand and two types of labour demand) as error-correction
> model with panel data.For my investment demand equation I get an
> adjustment coefficient which exceeds 1. I tried several things
> (different scaling of the data, dummy variables etc.) to get rid of this
> strange result but nothing seems to work. Does anybody have an idea what
> I could do or how I could interprete this?


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

From: "Stuart M. Glosser" <glossers@uwwvax.uww.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: sorting
Date: Tue, 28 Jul 1998 13:59:21 -0500
Errors-to: <rats-l-owner@efs.mq.edu.au>
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>I need to form decile portfolios, and I wonder if it will be difficult to
>do it in RATS.  Say, I have time series of 100 stocks for 240 months, for
>example.  Based on their attributes, say, Price-to-Book, I assign each
>stock to one of ten portfolios in each month, with portfolio 10 being the
>one with highest P/B ratio etc.
>
Unless I am missing something, this seems easy to do in Rats.

First create 2 240 x 100 matrices, PB and C. If the P-t-B ratios for each
company are in a separate data series, then use Make to create a 240 x 100
rectangular matrix PB from your data series. The actual values of each row
of the second matrix, C, would range from numbers 1 to 100, where each
number corresponds to a company. Put another way, the first column in C
would be all ones (corresponding to company #1) etc. Likewise, the first
column of PB should be company 1's price to book ratio etc.

Next write a loop using Set (you would probably want to use Labels or Eqv
here) to create data series PB1 through PB240 from matrix PB and data
series C1 through C240 from matrix C. [To use Order, the observations have
to be in  data series form.] Each of these series has 100 observations.

Next, in the same loop, perform the following operation:

order pb(i) / c(i)

c(i)  is now reordered according to the ranking of pb(i).

Use these sorted values for the c(i) series to Make the 240 x 100 matrix
CS. Next write a loop  putting the first 10 columns of CS into a the 240 x
10 matrix port1 etc.

I hope this helps.

Stuart Glosser
Dept. of Economics
Univ. of Wisconsin at Whitewater

glossers@uwwvax.uww.edu



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From: "Christopher F Baum" <baum@bc.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: sorting
Date: Tue, 28 Jul 1998 16:21:48 -0400
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Actually the RANK option on the ORDER command can be used to generate ranks
without any sorting of the data. Here's a program that given a set of nstock
values for each of nmonth generates decile portfolio indicators for each
stock and month:

* decile portfolio creation    cfb 8728 (baum@bc.edu)
*
comp nstock=20
comp nmonth=10
*
* need to allocate (nstock+nmonth) series, where nmonth>nstock
*
all nstock+nmonth nmonth
*
* generate some fake data
*
do i=1,nstock
set [series]i = 1.0+%ran(1.0)
enddo
*
* transpose the series into one series per month (could also be done by
* reading the data from an external file in transposed form)
*
make a
# 1 to nstock
mat b = tr(a)
do i=1,nmonth
set [series](i+nstock) 1 nstock = b(t,i)
enddo
*
* for each month, generate the ranks of the stocks and place back in
* the original series (assumes nmonth>nstock)
*
do i=1,nmonth
order(rank=[series]i) [series](i+nstock)
enddo
*
dec vec ndecile(10)
ewise ndecile(i)=float(10*i)/100.0*nstock
*
* generate the portfolio number for each stock in the original series
* assume fewer than 1000 stocks
*
do i=1,nmonth
do j=1,10
set(scratch) [series]i 1 nstock = $
%if(([series]i)(t)<=ndecile(j),j+1000,([series](i))(t))
enddo
enddo
do i=1,nmonth
set [series]i 1 nstock = [series]i - 1000
enddo
*
* now the first nmonth series contain the portfolio numbers for each
* stock; we can thus calculate statistics, run regressions, etc. for
* each month in which we only consider a given decile portfolio
* For now look at only one month (kmo)
*
comp kmo=1
do i=1,10
set dum 1 nstock = ([series](kmo)==i)
dis 'month #1: descriptive stats for decile portfolio ' i
stat(smpl=dum) [series](nstock+kmo) 1 nstock
enddo
*
end


Kit Baum
Boston College
==============

--On Tue, Jul 28, 1998 13:59 -0500 "Stuart M. Glosser"
<glossers@uwwvax.uww.edu> wrote: 

>>I need to form decile portfolios, and I wonder if it will be difficult to
>>do it in RATS.  Say, I have time series of 100 stocks for 240 months, for
>>example.  Based on their attributes, say, Price-to-Book, I assign each
>>stock to one of ten portfolios in each month, with portfolio 10 being the
>>one with highest P/B ratio etc.
>>
> Unless I am missing something, this seems easy to do in Rats.
> 
> First create 2 240 x 100 matrices, PB and C. If the P-t-B ratios for each
> company are in a separate data series, then use Make to create a 240 x 100
> rectangular matrix PB from your data series. The actual values of each row
> of the second matrix, C, would range from numbers 1 to 100, where each
> number corresponds to a company. Put another way, the first column in C
> would be all ones (corresponding to company #1) etc. Likewise, the first
> column of PB should be company 1's price to book ratio etc.
> 
> Next write a loop using Set (you would probably want to use Labels or Eqv
> here) to create data series PB1 through PB240 from matrix PB and data
> series C1 through C240 from matrix C. [To use Order, the observations have
> to be in  data series form.] Each of these series has 100 observations.
> 
> Next, in the same loop, perform the following operation:
> 
> order pb(i) / c(i)
> 
> c(i)  is now reordered according to the ranking of pb(i).
> 
> Use these sorted values for the c(i) series to Make the 240 x 100 matrix
> CS. Next write a loop  putting the first 10 columns of CS into a the 240 x
> 10 matrix port1 etc.
> 
> I hope this helps.
> 
> Stuart Glosser
> Dept. of Economics
> Univ. of Wisconsin at Whitewater
> 
> glossers@uwwvax.uww.edu
> 
> 



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

From: szuniga@entelchile.net (SERGIO ZUNIGA  JARA)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: histograms
Date: Tue, 28 Jul 1998 21:01:35 -0400
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Dear Rats users:
Does anybody know a simple way to get frecuency histograms (bar-graphics)
in RATS?.
Regards,




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

From: laurent ferrara CML RRC <Laurent.Ferrara@ratp.fr>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: histograms
Date: Wed, 29 Jul 1998 10:17:54 -0700
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I possess a procedure called HIST.SRC, who computes and graphs histogram
for a single serie, I can send it to you.
You can also do this with the procedure DENSITY.SRC written by Gunnar
Bardsen, who computes a nonparametric estimation of the density function
of a data serie using a standard normal kernel.

Laurent Ferrara
RATP, Departement Commercial.

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

From: "David Montgomery" <dmontgom@hawaii.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: singular value decomposition
Date: Tue, 28 Jul 1998 22:31:20 -1000
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Does any body have a code that will perform a singular value decomposition?

Thanks,

David Montgomery


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From: "Estima" <estima@estima.com>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: histograms
Date: Wed, 29 Jul 1998 09:54:44 -0600
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> I possess a procedure called HIST.SRC, who computes and graphs histogram
> for a single serie, I can send it to you.

There is also a HIST.SRC procedure (and a variation called 
HISTSCAT.SRC) available on our Web site (don't know if it's the same 
HIST.SRC or not). The HIST version produces nice bar graphs, but 
there's no good way to get histogram-style labelling on that kind of 
graph. The HISTSCAT plot does nicer labeling, but is limited to 
symbol or line-style graphs.

Note that you can also generate frequency plots in the RATSDATA 
utility program.

Sincerely,
Tom Maycock
Estima
 

------------------------------------------------------------
|   Estima                    |  Sales:   (800) 822-8038   |
|   P.O. Box 1818             |  Support: (847) 864-1910   |
|   Evanston, IL 60204-1818   |  Fax:     (847) 864-6221   |
|   USA                       |  estima@estima.com         |
|                             |  http://www.estima.com     |
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From: szuniga@entelchile.net (SERGIO ZUNIGA  JARA)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: RE: histograms
Date: Wed, 29 Jul 1998 13:31:13 -0400
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In the ESTIMA Web I found HIST.SRC and HISTSCAT.SRC
Thank you for the offer.
Regards,


----------
> De: laurent ferrara CML RRC <Laurent.Ferrara@ratp.fr>
> A: RATS Discussion List <RATS-L@efs.mq.edu.au>
> Asunto: Re: histograms
> Fecha: Miércoles 29 de Julio de 1998 01:17 PM
> 
> I possess a procedure called HIST.SRC, who computes and graphs histogram
> for a single serie, I can send it to you.
> You can also do this with the procedure DENSITY.SRC written by Gunnar
> Bardsen, who computes a nonparametric estimation of the density function
> of a data serie using a standard normal kernel.
> 
> Laurent Ferrara
> RATP, Departement Commercial.

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

From: wan <wan@mail.tku.edu.tw>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: markov switching!!
Date: Thu, 30 Jul 1998 11:36:10 +0800
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Hi:

    Is there any code can do markov switching estimation and FORECASTNG!!!Thanks!!

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From: "clecourt" <clecourt@mailsc.univ-lille2.fr>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: two density functions on a same scater plot.
Date: Fri, 31 Jul 1998 09:27:45 +0200
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Dear all, 
can someone tell me how to superimpose two density functions on a same
scater plot.

Thanks a lot.
        \\\|||||///
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+------oOOo-(_)-oOOo---- +----------------------------------------+
|   Christelle Lecourt   | Centres de Recherche:    MEDE ET CADRE |      
|       Economiste       | Tel: 0032 (0)85/25.04.06               |
| UNIVERSITE DE LILLE II | e-Mail: clecourt@mailsc.univ-lille2.fr |
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