From: "Estima" To: "RATS Discussion List" Subject: Newsletters from Estima Date: Wed, 12 Mar 1997 16:20:43 -0600 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Win32 (v2.42) (via Mercury MTS (Bindery) v1.30) Dear RATS Users: I just wanted to let everyone know that the February, 1997 issue of the RATSletter was mailed out a couple of weeks ago. Everyone in the US should have received their copy, probably by last week. Most customers outside the US should have received their copy or should see it by the end of this week. If you haven't received your copy of the newsletter, please let us know (send your complete mailing address and serial number so we can check our records). Thanks, Tom Maycock Estima -- +-----------------------------+-----------------------------------------+ | Estima | | | P.O. Box 1818 | Voice: (847) 864-8772 | | Evanston, IL 60204-1818 | Fax: (847) 864-6221 | | U.S.A | BBS: (847) 864-8816 | | e-mail: estima@estima.com | CompuServe: 73140,2202 | |-----------------------------------------------------------------------| | Web Site: http://www.estima.com | | RATS Internet Mailing List: New members can join by sending e-mail to | | MAISER@EFS.MQ.EDU.AU with the message: SUBSCRIBE RATS-L | +-----------------------------------------------------------------------+ ---------- End of message ---------- From: "Ward, Bert D" To: "RATS Discussion List" Subject: Re: Newsletters from Estima Date: Thu, 13 Mar 1997 13:57:26 +1300 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: Lincoln University X-Mailer: Pegasus Mail v3.31 (via Mercury MTS (Bindery) v1.30) Content-transfer-encoding: 7BIT > Date sent: Wed, 12 Mar 1997 16:20:43 -0600 > From: Estima > Subject: Newsletters from Estima > To: RATS Discussion List > Send reply to: RATS Discussion List > Dear RATS Users: > > I just wanted to let everyone know that the February, 1997 issue of > the RATSletter was mailed out a couple of weeks ago. > > Everyone in the US should have received their copy, probably by last > week. Most customers outside the US should have received their copy > or should see it by the end of this week. > > If you haven't received your copy of the newsletter, please let us > know (send your complete mailing address and serial number so we can > check our records). > > Thanks, > Tom Maycock > Estima > -- > +-----------------------------+-----------------------------------------+ > | Estima | | > | P.O. Box 1818 | Voice: (847) 864-8772 | > | Evanston, IL 60204-1818 | Fax: (847) 864-6221 | > | U.S.A | BBS: (847) 864-8816 | > | e-mail: estima@estima.com | CompuServe: 73140,2202 | > |-----------------------------------------------------------------------| > | Web Site: http://www.estima.com | > | RATS Internet Mailing List: New members can join by sending e-mail to | > | MAISER@EFS.MQ.EDU.AU with the message: SUBSCRIBE RATS-L | > +-----------------------------------------------------------------------+ > ************************************************* Dear Tom, I have not received my copy of the February RATSletter. Serial Number: L3K424 Regards, Bert D. Ward Senior Lecturer in Economics Dept. of Economics & Marketing PO Box 84 Lincoln University Canterbury NEW ZEALAND Telephone (64)(3) 325 2811 extn 8261 FAX (64)(3) 325 3847 ---------- End of message ---------- From: Jean Masson To: "RATS Discussion List" Subject: Re: Newsletters from Estima Date: Wed, 12 Mar 1997 20:21:57 -0500 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: TDQC X-Mailer: Mozilla 3.0 (Win95; U) (via Mercury MTS (Bindery) v1.30) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit I have not received my copy. My license number is L1D111. That may be because I moved. My new address is: Jean Masson 291 Du Dome Hull (Quebec) Canada J8Z 3G8 Internet: massonj@ibm.net Tel: (514) 286-4509 Fax: (514) 286-6145 Estima wrote: > > Dear RATS Users: > > I just wanted to let everyone know that the February, 1997 issue of > the RATSletter was mailed out a couple of weeks ago. > > Everyone in the US should have received their copy, probably by last > week. Most customers outside the US should have received their copy > or should see it by the end of this week. > > If you haven't received your copy of the newsletter, please let us > know (send your complete mailing address and serial number so we can > check our records). > > Thanks, > Tom Maycock > Estima ---------- End of message ---------- From: Rob Trevor To: "RATS Discussion List" Subject: Re: Newsletters from Estima Date: Thu, 13 Mar 1997 12:32:36 +1100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" X-Mailer: Mercury MTS (Bindery) v1.30 Folks > I have not received my copy of the RATSletter. My license number is ... Unless you particulary want 300+ people to read your license number and other details, please send them to Estima directly and NOT to the discussion list. That is, DO NOT REPLY to Tom Maycock's message. Instead use the FORWARD or equivalent command in your mailer to respond to his message. [Don't worry Bert & Jean, I've done it myself in the past!] Cheers Rob ----------------------------------------------------------------------- Rob Trevor Associate Professor Centre for Studies in Money, Banking and Finance Macquarie University, NSW, AUSTRALIA 2109 Internet: robt@efs.mq.edu.au VOICE: +61 (2) 9850-8447 FAX: +61 (2) 9850-7281 or +61 (2) 9418-1847 ----------------------------------------------------------------------- ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: Newsletters Date: Thu, 13 Mar 1997 09:42:27 -0600 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Win32 (v2.42) (via Mercury MTS (Bindery) v1.30) Dear folks: Two things about by recent newsletter message: 1. Thanks to Rob for pointing out that people should e-mail us directly, not the list. My apologies for not making that clear myself. 2. I may have been a bit premature regarding the delivery of newsletters outside the US. It is possible that some of you won't receive your copies until the end of this week or early next week. If you haven't received your copy yet, give it a few more days. If it still hasn't arrived by late next week, please let us know (send your message to estima@estima.com). To those of you who have already e-mailed, we'll check our records and get back to you individually. Sincerely, Tom Maycock Estima -- +-----------------------------+-----------------------------------------+ | Estima | | | P.O. Box 1818 | Voice: (847) 864-8772 | | Evanston, IL 60204-1818 | Fax: (847) 864-6221 | | U.S.A | BBS: (847) 864-8816 | | e-mail: estima@estima.com | CompuServe: 73140,2202 | |-----------------------------------------------------------------------| | Web Site: http://www.estima.com | | RATS Internet Mailing List: New members can join by sending e-mail to | | MAISER@EFS.MQ.EDU.AU with the message: SUBSCRIBE RATS-L | +-----------------------------------------------------------------------+ ---------- End of message ---------- From: eric@ofce.sciences-po.fr (eric) To: "RATS Discussion List" Subject: Date: Thu, 13 Mar 1997 20:02:51 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Microsoft Internet Mail 4.70.1155 (via Mercury MTS (Bindery) v1.30) MIME-Version: 1.0 Content-Type: text/plain; charset=ISO-8859-1 Content-Transfer-Encoding: 7bit UNSUBSCRIBE RATS-L ---------- End of message ---------- From: eric@ofce.sciences-po.fr (eric) To: "RATS Discussion List" Subject: Date: Thu, 13 Mar 1997 20:03:01 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Microsoft Internet Mail 4.70.1155 (via Mercury MTS (Bindery) v1.30) MIME-Version: 1.0 Content-Type: text/plain; charset=ISO-8859-1 Content-Transfer-Encoding: 7bit HELP ---------- End of message ---------- From: jjunttil@sun3.oulu.fi (Juha Junttila) To: "RATS Discussion List" Subject: Re: Mail digest Date: Fri, 14 Mar 1997 09:03:51 +0200 (EET) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Windows Eudora Version 1.4.3 (via Mercury MTS (Bindery) v1.30) Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" Dear Tom, Thanks for your latest advice on Kalman-code. Everything is now OK, and my paper is about the be ready now. I have not received RATS-letter yet, probably because our departmental secretary, who ordered the latest version of the program (WinRATS 4.2 Plus) has not given you any address for that purpose, or has she? Nevertheless, in the future you can send the RATS-letter directly to me to the address given below. I am the most frequent user of the program in our department at the moment. Yours sincerely jj >From: estima@estima.com >To: "RATS Discussion List" >Subject: Newsletters from Estima >Date: Wed, 12 Mar 1997 16:20:43 -0600 >Errors-to: >Reply-to: "RATS Discussion List" >Sender: Maiser@efs1.efs.mq.edu.au >X-listname: >MIME-Version: 1.0 >Content-type: text/plain; charset=US-ASCII >Content-transfer-encoding: 7BIT >X-mailer: Pegasus Mail for Win32 (v2.42) (via Mercury MTS (Bindery) v1.30) > >Dear RATS Users: > >I just wanted to let everyone know that the February, 1997 issue of >the RATSletter was mailed out a couple of weeks ago. > >Everyone in the US should have received their copy, probably by last >week. Most customers outside the US should have received their copy >or should see it by the end of this week. > >If you haven't received your copy of the newsletter, please let us >know (send your complete mailing address and serial number so we can >check our records). > >Thanks, >Tom Maycock >Estima >-- >+-----------------------------+-----------------------------------------+ >| Estima | | >| P.O. Box 1818 | Voice: (847) 864-8772 | >| Evanston, IL 60204-1818 | Fax: (847) 864-6221 | >| U.S.A | BBS: (847) 864-8816 | >| e-mail: estima@estima.com | CompuServe: 73140,2202 | >|-----------------------------------------------------------------------| >| Web Site: http://www.estima.com | >| RATS Internet Mailing List: New members can join by sending e-mail to | >| MAISER@EFS.MQ.EDU.AU with the message: SUBSCRIBE RATS-L | >+-----------------------------------------------------------------------+ >> Date sent: Wed, 12 Mar 1997 16:20:43 -0600 >> From: Estima >> Subject: Newsletters from Estima >> To: RATS Discussion List >> Send reply to: RATS Discussion List > >> Dear RATS Users: >> >> I just wanted to let everyone know that the February, 1997 issue of >> the RATSletter was mailed out a couple of weeks ago. >> >> Everyone in the US should have received their copy, probably by last >> week. Most customers outside the US should have received their copy >> or should see it by the end of this week. >> >> If you haven't received your copy of the newsletter, please let us >> know (send your complete mailing address and serial number so we can >> check our records). >> >> Thanks, >> Tom Maycock >> Estima >> -- >> +-----------------------------+-----------------------------------------+ >> | Estima | | >> | P.O. Box 1818 | Voice: (847) 864-8772 | >> | Evanston, IL 60204-1818 | Fax: (847) 864-6221 | >> | U.S.A | BBS: (847) 864-8816 | >> | e-mail: estima@estima.com | CompuServe: 73140,2202 | >> |-----------------------------------------------------------------------| >> | Web Site: http://www.estima.com | >> | RATS Internet Mailing List: New members can join by sending e-mail to | >> | MAISER@EFS.MQ.EDU.AU with the message: SUBSCRIBE RATS-L | >> +-----------------------------------------------------------------------+ >> >************************************************* > >Dear Tom, > >I have not received my copy of the February RATSletter. > >Serial Number: L3K424 > > >Regards, >Bert D. Ward >Senior Lecturer in Economics >Dept. of Economics & Marketing >PO Box 84 >Lincoln University >Canterbury >NEW ZEALAND > >Telephone (64)(3) 325 2811 extn 8261 >FAX (64)(3) 325 3847 > > >From: massonj@ibm.net >To: "RATS Discussion List" >Subject: Re: Newsletters from Estima >Date: Wed, 12 Mar 1997 20:21:57 -0500 >Errors-to: >Reply-to: "RATS Discussion List" >Sender: Maiser@efs1.efs.mq.edu.au >X-listname: >Organization: TDQC >X-Mailer: Mozilla 3.0 (Win95; U) (via Mercury MTS (Bindery) v1.30) >MIME-Version: 1.0 >Content-Type: text/plain; charset=us-ascii >Content-Transfer-Encoding: 7bit > >I have not received my copy. My license number is L1D111. >That may be because I moved. My new address is: > > Jean Masson > 291 Du Dome > Hull (Quebec) > Canada J8Z 3G8 > Internet: massonj@ibm.net > Tel: (514) 286-4509 > Fax: (514) 286-6145 > > >Estima wrote: >> >> Dear RATS Users: >> >> I just wanted to let everyone know that the February, 1997 issue of >> the RATSletter was mailed out a couple of weeks ago. >> >> Everyone in the US should have received their copy, probably by last >> week. Most customers outside the US should have received their copy >> or should see it by the end of this week. >> >> If you haven't received your copy of the newsletter, please let us >> know (send your complete mailing address and serial number so we can >> check our records). >> >> Thanks, >> Tom Maycock >> Estima > >From: robt@efs.mq.edu.au >To: "RATS Discussion List" >Subject: Re: Newsletters from Estima >Date: Thu, 13 Mar 1997 12:32:36 +1100 >Errors-to: >Reply-to: "RATS Discussion List" >Sender: Maiser@efs1.efs.mq.edu.au >X-listname: >Mime-Version: 1.0 >Content-Type: text/plain; charset="us-ascii" >X-Mailer: Mercury MTS (Bindery) v1.30 > >Folks > >> I have not received my copy of the RATSletter. My license number is ... > >Unless you particulary want 300+ people to read your license number and >other details, please send them to Estima directly and >NOT to the discussion list. That is, DO NOT REPLY to Tom Maycock's message. >Instead use the FORWARD or equivalent command in your mailer to respond to >his message. > >[Don't worry Bert & Jean, I've done it myself in the past!] > >Cheers > >Rob > > > >----------------------------------------------------------------------- >Rob Trevor Associate Professor > Centre for Studies in Money, Banking and Finance > Macquarie University, NSW, AUSTRALIA 2109 > >Internet: robt@efs.mq.edu.au > >VOICE: +61 (2) 9850-8447 FAX: +61 (2) 9850-7281 or +61 (2) 9418-1847 >----------------------------------------------------------------------- > > > >From: estima@estima.com >To: "RATS Discussion List" >Subject: Newsletters >Date: Thu, 13 Mar 1997 09:42:27 -0600 >Errors-to: >Reply-to: "RATS Discussion List" >Sender: Maiser@efs1.efs.mq.edu.au >X-listname: >MIME-Version: 1.0 >Content-type: text/plain; charset=US-ASCII >Content-transfer-encoding: 7BIT >X-mailer: Pegasus Mail for Win32 (v2.42) (via Mercury MTS (Bindery) v1.30) > >Dear folks: > >Two things about by recent newsletter message: > >1. Thanks to Rob for pointing out that people should e-mail us >directly, not the list. My apologies for not making that clear >myself. > >2. I may have been a bit premature regarding the delivery of >newsletters outside the US. It is possible that some of you won't >receive your copies until the end of this week or early next week. If >you haven't received your copy yet, give it a few more days. If it >still hasn't arrived by late next week, please let us know (send your >message to estima@estima.com). > >To those of you who have already e-mailed, we'll check our records >and get back to you individually. > >Sincerely, >Tom Maycock >Estima > > >-- >+-----------------------------+-----------------------------------------+ >| Estima | | >| P.O. Box 1818 | Voice: (847) 864-8772 | >| Evanston, IL 60204-1818 | Fax: (847) 864-6221 | >| U.S.A | BBS: (847) 864-8816 | >| e-mail: estima@estima.com | CompuServe: 73140,2202 | >|-----------------------------------------------------------------------| >| Web Site: http://www.estima.com | >| RATS Internet Mailing List: New members can join by sending e-mail to | >| MAISER@EFS.MQ.EDU.AU with the message: SUBSCRIBE RATS-L | >+-----------------------------------------------------------------------+ > >From: eric@ofce.sciences-po.fr >To: "RATS Discussion List" >Subject: >Date: Thu, 13 Mar 1997 20:02:51 +0100 >Errors-to: >Reply-to: "RATS Discussion List" >Sender: Maiser@efs1.efs.mq.edu.au >X-listname: >X-Mailer: Microsoft Internet Mail 4.70.1155 (via Mercury MTS (Bindery) v1.30) >MIME-Version: 1.0 >Content-Type: text/plain; charset=ISO-8859-1 >Content-Transfer-Encoding: 7bit > >UNSUBSCRIBE RATS-L > >From: eric@ofce.sciences-po.fr >To: "RATS Discussion List" >Subject: >Date: Thu, 13 Mar 1997 20:03:01 +0100 >Errors-to: >Reply-to: "RATS Discussion List" >Sender: Maiser@efs1.efs.mq.edu.au >X-listname: >X-Mailer: Microsoft Internet Mail 4.70.1155 (via Mercury MTS (Bindery) v1.30) >MIME-Version: 1.0 >Content-Type: text/plain; charset=ISO-8859-1 >Content-Transfer-Encoding: 7bit > >HELP > Juha Junttila University of Oulu / Department of Economics P.O.Box 111 FIN-90571 OULU FINLAND tel +358-8-553 2916 fax +358-8-553 2906 e-mail jjunttil@cc.oulu.fi ---------- End of message ---------- From: Ben Herzon To: "RATS Discussion List" Subject: impulse-response calculations Date: Fri, 14 Mar 1997 12:39:15 -0600 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Windows Eudora Light Version 1.5.4 (32) (via Mercury MTS (Bindery) v1.30) Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" I'm writing a little vector autoregression program in C and using RATS for UNIX 4.10 as a benchmark to check my program as I build it. In short, my program estimates each equation of the VAR (with or without an intercept), calculates the variance-covariance matrix of the reduced form residuals, factors this matrix into P*P', and uses P to create orthogonal, unit standard deviation shocks. The impulse-response functions are calculated by simulating the response of the reduced form (with pre-sample values set equal to zero and the intercept terms set equal to zero) to one orthogonal shock at a time. The problem I'm getting is that although my *reduced-form coefficients* are exactly the same across RATS and my program whether or not an intercept term is included, the *impulse-response functions* match exactly across programs only when an intercept term is specified. In the case where no int is specified, the impulse-response functions match to only about 3 or 4 significant digits. My hunch is that I'm calculating the impulse-response functions differently than RATS does. My question, then, is how does RATS calculate impulse-response functions, and do you think the difference in methods (if any) can explain the different results? Ben -- *--------------------------------------------------------------------------* | Ben Herzon Voice: (314) 935-7472 | | Department of Economics, Campus Box 1208 Fax: (314) 935-4156 | | Washington University | | One Brookings Drive | | St. Louis, Missouri 63130-4899 herzon@wuecona.wustl.edu| *--------------------------------------------------------------------------* ---------- End of message ---------- From: Cem Payasli To: "RATS Discussion List" Subject: ARCH-M examples Date: Tue, 18 Mar 1997 12:19:04 +0300 (MEST) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-Type: TEXT/PLAIN; charset=US-ASCII X-Mailer: Mercury MTS (Bindery) v1.30 Dear Rats Felows, On behalf of a friend of mine who urgently needs ARCH-M procedure, Could someone has this readily available or show me the way to modify Rob Trevors code ? thanks for any help. Cem. +------------------------------------------------------------+ | Cem Payaslioglu | | Bogazici University Library ,Istanbul,Turkey | | internet : payasli@hamlin.cc.boun.edu.tr | | Phone 0-212-2631540 | +------------------------------------------------------------+ ---------- End of message ---------- From: Hoyoung Hwang To: "RATS Discussion List" Subject: Seasonal Cointegration Date: Tue, 18 Mar 1997 06:41:37 -0600 (CST) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: 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 Fellows: I am looking for a code for seasonal cointegration for Rats.I should be so grateful if someone would show me the wat to set up the code for seasonal cointegration. Thank in advance for any help. Best regards Hoyoung Hwang ******************************************************************************** * * *e-mail address : hwang@csd.uwm.edu * * * ******************************************************************************** ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: Re: ARCH-M examples Date: Tue, 18 Mar 1997 10:34:47 -0600 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Win32 (v2.42) (via Mercury MTS (Bindery) v1.30) > > On behalf of a friend of mine who urgently needs ARCH-M procedure, > > Could someone has this readily available or show me the way to > modify Rob Trevors code ? > Dear Cem: There is an ARCH-M example in the RATS manual on page 5-31. It should be fairly easy to modify Rob Trevor's example program using the information from the manual. Let me know if you have any problems with this. Sincerely, Tom Maycock Estima -- +-----------------------------+-----------------------------------------+ | Estima | | | P.O. Box 1818 | Voice: (847) 864-8772 | | Evanston, IL 60204-1818 | Fax: (847) 864-6221 | | U.S.A | BBS: (847) 864-8816 | | e-mail: estima@estima.com | CompuServe: 73140,2202 | |-----------------------------------------------------------------------| | Web Site: http://www.estima.com | | RATS Internet Mailing List: New members can join by sending e-mail to | | MAISER@EFS.MQ.EDU.AU with the message: SUBSCRIBE RATS-L | +-----------------------------------------------------------------------+ ---------- End of message ---------- From: "M. Imam Alam" To: "RATS Discussion List" Subject: small sample correction Date: Thu, 20 Mar 1997 18:02:59 -0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: University of Northern Iowa MIME-version: 1.0 X-Mailer: Mozilla 3.01Gold (Win16; I) (via Mercury MTS (Bindery) v1.30) Content-type: text/plain; charset=us-ascii Content-transfer-encoding: 7bit Hello, I was wondering if I could get some help about small sample corrections of hypothesis tests on beta and alpha in the Johansen framework. A paper by Podivinsky in Econ Letter ['Small sample properties of tests of linear restrictions on cointegrating vectors and their weights', 1992] develops an alternative to 'chi-square' LR tests, proposing approximate F-type tests. To do the F-tests we need to have the eigenvalues of the restricted and unrestricted models. CATS does NOT provide the 'lambda' values corresponding to the restricted model. ** Is there any way to access those 'lambda' values? Thank you. I really appreciate your time. -Imam ______________________________________________________________________ M. Imam Alam Ph: (319) 273-7339 Department of Economics FAX: (319) 273-2922 University of Northern Iowa E-Mail: alam@uni.edu College of Business Administration Cedar Falls, Iowa 50614-0129 ______________________________________________________________________ ---------- End of message ---------- From: "Ollivier TARAMASCO" To: "RATS Discussion List" Subject: Global variables Date: Mon, 24 Mar 1997 11:56:32 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: Ecole Superieure des Affaires MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail/Mac (v2.1.2) (via Mercury MTS (Bindery) v1.30) Dear Rats Felows, I have a couple of questions concerning RATS procedures. First : is it possible to define global variables in a procedure (as %BETA in LINREG) Secondly : is it possible to get the name of the variables in supplementary cards thanks for your help ________________________________________________ Ollivier TARAMASCO ESA/CERAG BP 47 38040 GRENOBLE CEDEX 09 e-mail : taram@esa.upmf-grenoble.fr fax : (33) 04 76 82 59 99 Tel : (33) 04 76 82 56 18 ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: Re: Global variables Date: Mon, 24 Mar 1997 11:09:08 -0600 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Win32 (v2.42) (via Mercury MTS (Bindery) v1.30) > > I have a couple of questions concerning RATS procedures. > > First : is it possible to define global variables in a procedure (as %BETA in LINREG) > You can certainly define your own global variables in procedures. Just use the DECLARE instruction, rather than the LOCAL instruction to declare them. > Secondly : is it possible to get the name of the variables in supplementary cards This is doable, although a bit complicated: If the supplementary card is for an estimation instruction, such as LINREG, the easiest way to do this is to define an equation and use the %EQN.... and %LABEL functions (described in Appendix B, page B-5). For example: LINREG(DEFINE=EQ1) Y # X1 X2 COMPUTE LABEL1 = %label( [series] %eqntable(eq1)(1,1) ) COMPUTE LABEL2 = %label( [series] %eqntable(eq1)(1,2) ) DISPLAY LABEL1 LABEL2 The %EQNTABLE function returns the RECTANGULAR array of integers--the numbers of the first row are the numbers associated with the series, while the numbers on the second row are the lag numbers. In this case, there are no lags, so the second row contains zeros. We need the [SERIES] type modifier to tell RATS that the integer number represents a series--this allows the %LABEL function to return the label of the corresponding series. Please note that this returns the "labels" associated with these series, not their "names". See pages 14-73 and 14-138 for details on the difference. If you actually need to use the series rather than just displaying its label, refer to the series number itself. I hope this is helpful. Sincerely, Tom Maycock Estima ---------- End of message ---------- From: "J. Michael Pinegar" To: "RATS Discussion List" Subject: Regression with Nonstationary Volatility Date: Thu, 27 Mar 1997 09:49:28 +0000 (MST7MDT) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: Brigham Young University X-Mailer: Pegasus Mail for Windows (v2.0-WB3) (via Mercury MTS (Bindery) v1.30) I am looking for help with Bruce Hansen's 1995 Econometrica article, entitled "Regression with Nonstationary Volatility." Has anyone run such tests with RATS? Thanks! Mike Pinegar ---------- End of message ---------- From: James Peery Cover To: "RATS Discussion List" Subject: Re: frequency domain de-seasoning? Date: Thu, 27 Mar 1997 11:48:04 -0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: Organization: University of Alabama X-Mailer: Mozilla 3.01Gold (Win16; I) (via Mercury MTS (Bindery) v1.30) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit I am considering using some data that has not been de-seasonalized by the source (for example not seasonally adjusted price indexes). It appears to me that using the frequency domain approach to de-seasonalize is not very robust, but easy to implement. Does anyone have any advice or can anyone point me to a reference that has a good discussion of the pros and cons of Sims' de-seasonalization technique? THanks in advance. James Peery Cover Associate Professor of Economics 271 Alston University of Alabama, Main Campus Tuscaloosa, AL 35487-0224 (205) 348-8977 jcover@alston.cba.ua.edu or jcover@ua1vm.ua.edu ---------- End of message ---------- From: Hyginus Leon To: "RATS Discussion List" Subject: GARCH with General Error Distribution Likelihood Function Date: Fri, 28 Mar 1997 13:45:48 -0500 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs1.efs.mq.edu.au X-listname: X-Mailer: Novell GroupWise 4.1 (via Mercury MTS (Bindery) v1.30) Mime-Version: 1.0 Content-Type: text/plain I am looking for help in programming the likelihood function for the general error distribution used in Nelson's 1991 Econometrica article, entitled "Conditional Heteroscedasticity in Asset returns: A New Approach" (see also Harvey's book "The Econometric Analysis of Time Series", 2 ed., pg 117. I think the problems I am having are related to the gamma function. Has anyone run a maximize with a ged or similar distribution with RATS? Thank you Gene Leon Financial Institutions Division IMF