Return-Path: Received: from zaphod.bc.edu (zaphod.bc.edu [136.167.2.207]) by monet.bc.edu (8.8.7/8.8.7) with ESMTP id UAA47238 for ; Sun, 3 Sep 2000 20:08:33 -0400 From: maiser@efs.mq.edu.au Received: (from root@localhost) by zaphod.bc.edu (8.8.7/8.8.7) with X.500 id UAA305670 for baum@mail1.bc.edu; Sun, 3 Sep 2000 20:08:32 -0400 Received: from baldrick.ocs.mq.edu.au (baldrick.ocs.mq.edu.au [137.111.1.12]) by zaphod.bc.edu (8.8.7/8.8.7) with ESMTP id UAA843534 for ; Sun, 3 Sep 2000 20:08:13 -0400 Received: from efs01.efs.mq.edu.au (EFS01.efs.mq.edu.au [137.111.64.21]) by baldrick.ocs.mq.edu.au (8.10.2/8.10.2) with ESMTP id e84086R23248 for ; Mon, 4 Sep 2000 11:08:07 +1100 (EST) Received: from EFS01/SpoolDir by efs01.efs.mq.edu.au (Mercury 1.40); 4 Sep 100 11:07:44 GMT+1000 Received: from SpoolDir by EFS01 (Mercury 1.40); 4 Sep 100 11:07:43 GMT+1000 To: baum@bc.edu Date: Mon, 4 Sep 100 11:07:42 GMT+1000 Subject: Re: Message-ID: <5DFC034857@efs01.efs.mq.edu.au> From: "Hajime Tamura" To: "RATS Discussion List" Subject: =?iso-2022-jp?B?GyRCI00jYSN4I2kjdSNtI0UjbiN0I3IjbyNwI3kbKEI=?= Date: Mon, 1 May 2000 20:30:42 +0900 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: text/plain; Content-Transfer-Encoding: 7bit X-Mailer: Microsoft Outlook Express 4.71.1712.3 (via Mercury MTS (Bindery) v1.40) Has anyone coded out a general Maximum Entropy Estimator using RATS ? ---- Hajime Tamura tamura@ulis.ac.jp Univ. of Library and Info. Science ---------- End of message ---------- From: "Hajime Tamura" To: "RATS Discussion List" Subject: Maximum Entropy Date: Tue, 2 May 2000 07:58:31 +0900 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: text/plain; Content-Transfer-Encoding: 7bit X-Mailer: Microsoft Outlook Express 4.71.1712.3 (via Mercury MTS (Bindery) v1.40) Has anyone coded out a general Maximum Entropy Estimator using RATS ? ---- Hajime Tamura tamura@ulis.ac.jp Univ. of Library and Info. Science ---------- End of message ---------- From: "David Leblang" To: "RATS Discussion List" Subject: unsubscribe Date: Mon, 1 May 2000 18:10:23 CST6CDT Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: UNT College of Arts and Sciences MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Win32 (v3.11) (via Mercury MTS (Bindery) v1.40) unsubscribe David Leblang Department of Political Science Box 305340 University of North Texas Denton, TX 76203-5340 Phone: 940-565-2313 Home Page: www.psci.unt.edu/Leblang/leblang.htm ---------- End of message ---------- From: Yuen Phui Ling Hazel To: "RATS Discussion List" Subject: VMA Syntax Date: Tue, 2 May 2000 19:36:39 +0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Does anyone know the VMA syntax and procedure in RATS, apart from the one posted on the web? Hazel fbap8383@nus.edu.sg University of Singapore ---------- End of message ---------- From: "Bock, William V" To: "RATS Discussion List" Subject: Seeking Interpolation Program Date: Thu, 4 May 2000 09:17:34 -0500 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2448.0) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Hello, I am William Bock, an analyst with the Federal Reserve Bank of St. Louis, and I am have only recently begun using RATS. I have been asked to locate or write RATS code to run the procedure outlined in "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series" (Chow and Lin, 1971). The procedure derives an estimator of a monthly series, for example, from a quarterly series by OLS regression on some related series (it can also be applied in cases of other frequencies). Has anyone encountered such a program in his or her experience with RATS? Or can someone perhaps provide me with some code involving matrixes and regression so that I can become familiar with syntax? Thank you kindly for any help you can offer. Sincerely, William Bock (314) 454-1766 ---------- End of message ---------- From: Woo Kai Yin To: "RATS Discussion List" Subject: RE:Fractionally integration and cointegration Date: Fri, 05 May 2000 03:09:15 +0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: Mozilla 3.01C-IMS (Win95; I) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Dear RATS users, Do you know if there are softewares or programs to estimate the fractional integrated ARFIMA-GARCH (with impulses response estimation) models by use of GPH(1983), ML method (Sowell, 1992), and conditional sum of squares estimation method? Also, softewares or program for fractional cointegration estimation are required. I would be grateful if you could help me. regards, Kai-yin Woo Senior Lectuere, Dept of Economics, Hong KOng Shue Yan College, Hong KOng. ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: Re: Seeking Interpolation Program Date: Thu, 4 May 2000 16:37:29 -0500 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Estima MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Win32 (v3.11) (via Mercury MTS (Bindery) v1.40) > > I am William Bock, an analyst with the Federal Reserve Bank of St. Louis, > and I am have only recently begun using RATS. I have been asked to locate > or write RATS code to run the procedure outlined in "Best Linear Unbiased > Interpolation, Distribution, and Extrapolation of Time Series by Related > Series" (Chow and Lin, 1971). William: I got a similiar e-mail from a colleague at the Fed in St. Louis. I'll respond to this one and ask you to pass it on. We don't have any code on hand to do that as far as I know. However, I'm told that Bob Litterman may have written some RATS code to do that many years ago, and some form of that may still exist or be in use at the Minneapolis Fed. You might check with them to see if they can help. Sincerely, Tom Maycock Estima -- ------------------------------------------------------------ | Estima | Sales: (800) 822-8038 | | P.O. Box 1818 | (847) 864-8772 | | Evanston, IL 60204-1818 | Support: (847) 864-1910 | | USA | Fax: (847) 864-6221 | | http://www.estima.com | estima@estima.com | ------------------------------------------------------------ ---------- End of message ---------- From: "Okay, Nesrin" To: "RATS Discussion List" Subject: =?iso-8859-1?Q?Re:_R=E9f._:_Re:_choice_of_law_in_garch_models?= Date: Fri, 5 May 2000 11:17:18 +0300 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: text/plain; X-Mailer: Microsoft Outlook Express 5.00.2014.211 (via Mercury MTS (Bindery) v1.40) Content-Transfer-Encoding: quoted-printable Hello Jacques , I am looking back to your mail and I have the same problem. Could you be able to write a program testing whether to use student t, GED or normal? merci bien for your cooperation Nesrin Okay Istanbul ----- Original Message ----- From: To: RATS Discussion List Sent: Tuesday, March 23, 1999 6:22 PM Subject: R=E9f. : Re: choice of law in garch models > > > > do you mean that if d is (statiscally) greater than 2 : use a student > if d is lower than 2 : use a GED > else use a normal > Moreover i would like to know if i have choose a distribution (student, Ged > or Normal), how can i calculate the probability that X>value where X > follows student, Ged or Normal distribution > Thanks. > Jacques > > > > > Christopher F Baum le 23/03/99 16:02:36 > > Veuillez r=E9pondre =E0 "RATS Discussion List" > > Pour : "RATS Discussion List" > cc : (ccc : Jacques Tebeka/ODDO) > Objet : Re: choice of law in garch models > > > > Content-type: text/plain; charset > > Since student t (and normal) are special cases of GED, why wouldn't a t= est > for the est. thickness parameter be appropriate? If it is significantly > greater than 2 (its value for a normal), then a t-dist with thicker tai= ls > would certainly be rejected in favor of a GED with tails thinner than t= he > normal. > Kit Baum > Boston College Economics > --On Tue, Mar 23, 1999 15:40 +0100 jtebeka@oddo.fr wrote: > > > > > > > > I am using the Garch procedure and i would like to know how i can tes= t if > > a student or ged is the appropriate distribution to use. > > Thanks for your help. > > Jacques > > > > > > > > > > > > > > ---------- End of message ---------- From: "Okay, Nesrin" To: "RATS Discussion List" Subject: Re: One -Step -Ahead- Forecast Ma(1) -garch(1,1) Date: Fri, 5 May 2000 11:20:29 +0300 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: text/plain; Content-Transfer-Encoding: 7bit X-Mailer: Microsoft Outlook Express 5.00.2014.211 (via Mercury MTS (Bindery) v1.40) Hell Alfredo, I appreciate if you can send me the text. as well. I have another problem I dont know if you can help me: I am doing research about the emerging stcok markets and would like to have merval index in local currency and USD+ACQ-. from 1989-present. Is it possible to tell me how can i reach the data set? Thanks for your cooperation Nesrin Okay Bogazici University Istanbul, Turkey ----- Original Message ----- From: Alfredo Navarro +ADw-anavarro+AEA-argenet.com.ar+AD4- To: RATS Discussion List +ADw-RATS-L+AEA-efs.mq.edu.au+AD4- Sent: Sunday, April 04, 1999 6:07 PM Subject: RE: One -Step -Ahead- Forecast Ma(1) -garch(1,1) +AD4- Dear Mrs. Irida, +AD4- Your PRG is very interesting. Would you send me by e-mail the stockpr2.txt +AD4- file? +AD4- Thanks in advance. +AD4- Alfredo Martin Navarro +AD4- +AD4- mi sitio en la web es: +AD4- http://www.a-navarro.com.ar +AD4- +AD4- mi direccion para e-mails es: +AD4- anavarro+AEA-argenet.com.ar +AD4- +AD4- +AD4- Rivadavia 3026 6o.piso +AD4- 7600 Mar del Plata - ARGENTINA +AD4- +AD4- +AD4- +AD4- -----Mensaje original----- +AD4- De: Irida Achthoven +ADw-achthovi+AEA-qed.econ.queensu.ca+AD4- +AD4- Para: RATS Discussion List +ADw-RATS-L+AEA-efs.mq.edu.au+AD4- +AD4- Fecha: S+AOE-bado, Abril 03, 1999 07:44 PM +AD4- Asunto: One -Step -Ahead- Forecast Ma(1) -garch(1,1) +AD4- +AD4- +AD4- +AD4-Dear Rats users +AD4- +AD4- +AD4- +AD4-A few days ago I have placed a request for a sample program, for a one +AD4- +AD4-step ahead forecast for a garch(1,1) model. +AD4- +AD4-Unfortunately I did not get any response. +AD4- +AD4- +AD4- +AD4-However I have tried to do it myself, as you will see below. +AD4- +AD4-I need to estimate the garch model for time period 1 to T +AD4- +AD4-then use the parameters to forecast the return(dependent var) for T 1 +AD4- +AD4-ADD the (T)th term to the sample +AD4- +AD4-then estimate the garch for time period 1 to T +AD4- +AD4-then use the parameters to forecast the (T)th return +AD4- +AD4-and so on. +AD4- +AD4-Hence the sample size increase by one with each step +AD4- +AD4- +AD4- +AD4-Please find below my input file and output with The ERROR CODE. +AD4- +AD4-I hope somebody can tell me what I am doing wrong. +AD4- +AD4- +AD4- +AD4-All comments are really appreciated. +AD4- +AD4- +AD4- +AD4-Best regards Irida +AD4- +AD4-calendar(IRREGULAR) +AD4- +AD4-all 2985 +AD4- +AD4-open data c:+AFw-winrats+AFw-stockpr2.txt +AD4- +AD4-data(format+AD0-free,org+AD0-obs) / hwp ibm micro +AD4- +AD4- +AD4- +AD4-SET Y +AD0- MICRO +AD4- +AD4- +AD4- +AD4-DECLARE SERIES U3 +ADsAKg- Residuals +AD4- +AD4-DECLARE SERIES V3 +ADsAKg- Variances +AD4- +AD4-SET U3 +AD0-0.0 +AD4- +AD4-set V3 +AD0-1.0 +AD4- +AD4-COMPUTE GSTART+AD0-2 +AD4- +AD4-CLEAR Z U3SIM V3SIM YSIM yhat +AD4- +AD4-DO J +AD0- 1, 5 +AD4- +AD4-DO GEND +AD0- 2265,2985 +AD4- +AD4- +AD4- +AD4-NONLIN W0 W1 F0 F1 F2 +AD4- +AD4-FRML RESID +AD0- Y - W0 - W1+ACo-U3+AHs-1+AH0- +AD4- +AD4-FRML HF +AD0- F0 F2+ACo-V3+AHs-1+AH0- F1+ACo-U3+AHs-1+AH0AKgAq-2 +AD4- +AD4AKg-FRML HF +AD0- A0 A2+ACo-V+AHs-1+AH0- A1+ACo-U+AHs-1+AH0AKgAq-2 +ACo- +ACU-if(v+AHs-1+AH0APg-1.E+100-,+ACU-na,v+AHs-1+AH0-) +AD4- +AD4-FRML LOGL +AD0- +AD4- +AD4-(V3(T)+AD0-HF(T)),(U3(T)+AD0-RESID(T)),-.5+ACo-(LOG(V3(T))(T)+ACo-U3(T)/V3(T)) +AD4- +AD4-LINREG(NOPRINT) y GSTART GEND U3 +AD4- +AD4AIw- CONSTANT +AD4- +AD4-COMPUTE W0+AD0AJQ-BETA(1)+ADs- +AD4- +AD4-COMPUTE F0+AD0AJQ-SEESQ,F1+AD0-.05,F2+AD0-.05 ,W1+AD0-0.05 +AD4- +AD4-SET V3 +AD0- +ACU-SEESQ +AD4- +AD4-MAXIMIZE(METHOD+AD0-SIMPLEX,ITERS+AD0-5,NOPRINT) LOGL GSTART GEND +AD4- +AD4-MAXIMIZE(METHOD+AD0-BHHH,RECURSIVE,ITERS+AD0-100) LOGL GSTART GEND +AD4- +AD4- +AD4- +AD4- +AD4- +AD4-SET Z +AD0- +ACU-RAN(1) +AD4- +AD4-COMPUTE BETA +AD0- W0, DELTA +AD0- W1 +AD4- +AD4-COMPUTE SIGMA +AD0- F0, ALPHA +AD0- F1 , GAMMA +AD0- F2 +AD4- +AD4-CLEAR U3SIM V3SIM YSIM +AD4- +AD4AKg-FRML U3DEF U3SIM +AD0- Z+ACo- SQRT(V3SIM) +AD4- +AD4-FRML V3DEF V3SIM +AD0- SIGMA ALPHA +ACo- U3SIM+AHs-1+AH0AKgAq-2 GAMMA +ACo- V3SIM+AHs-1+AH0- +AD4- +AD4-FRML U3DEF U3SIM +AD0- Z+ACo- SQRT(V3SIM) +AD4- +AD4-FRML YDEF YSIM +AD0- BETA DELTA+ACo- U3SIM +AD4- +AD4-GROUP GARCHMOD V3DEF+AD4APg-V3SIM U3DEF+AD4APg-U3SIM YDEF+AD4APg-YSIM +AD4- +AD4- +AD4- +AD4-FORECAST(MODEL +AD0- GARCHMOD,PRINT) 1 1 (GEND) +AD4- +AD4-SET Ysim 1 1 +AD0- 0.08163 +AD4- +AD4-MAKE RSIMVEC 2265 2268 +AD4- +AD4AIw- YSIM +AD4- +AD4-print 2264 2268 +AD4- +AD4- +AD4- +AD4-END DO +AD4- +AD4- +AD4- +AD4-END DO J +AD4- +AD4- +AD4- +AD4-END OF MESSAGE +AD4- +AD4- +AD4- +AD4- ---------- End of message ---------- From: "Okay, Nesrin" To: "RATS Discussion List" Subject: Re: choice of law in garch models Date: Fri, 5 May 2000 11:25:36 +0300 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: text/plain; Content-Transfer-Encoding: 7bit X-Mailer: Microsoft Outlook Express 5.00.2014.211 (via Mercury MTS (Bindery) v1.40) Hello Kit Baum, I really like the Garch.src. But I believe there is amajor deficiency. In the estimation of the mean equation you have to enter a number for ar=3 for example, and it automatically evaluates ar=2,ar=3. However if someone is interested by only ar=3, there is ne way to evaluate it? what is suggestion? My second question : How to introduce box jenkins method of estimating the mean equation in the garch.src. Why the source file is not using box jenkins method instead? Thanks for your cooperation? I hope you will answer me? sincerely Nesrin Okay Bogazici University ----- Original Message ----- From: Christopher F Baum To: RATS Discussion List Sent: Tuesday, March 23, 1999 6:02 PM Subject: Re: choice of law in garch models > Since student t (and normal) are special cases of GED, why wouldn't a test > for the est. thickness parameter be appropriate? If it is significantly > greater than 2 (its value for a normal), then a t-dist with thicker tails > would certainly be rejected in favor of a GED with tails thinner than the > normal. > > Kit Baum > Boston College Economics > > --On Tue, Mar 23, 1999 15:40 +0100 jtebeka@oddo.fr wrote: > > > > > > > > > I am using the Garch procedure and i would like to know how i can test if > > a student or ged is the appropriate distribution to use. > > Thanks for your help. > > Jacques > > > > > > > > > ---------- End of message ---------- From: "Theodore Panagiotidis" To: "RATS Discussion List" Subject: nearest-neighbour Date: Fri, 5 May 2000 10:38:12 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.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 (v3.12a) (via Mercury MTS (Bindery) v1.40) Dear RATS users, do you know if there is a routine to estimate nearest-neighbour regression? Thank You -------------------------------- Theodore Panagiotidis ecq98tp@shef.ac.uk -------------------------------- ---------- End of message ---------- From: "Christopher F. Baum" To: "RATS Discussion List" Subject: Re: choice of law in garch models Date: Fri, 05 May 2000 09:04:53 -0400 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: Mulberry/2.0.0 (MacOS) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii; format=flowed Content-Transfer-Encoding: 7bit I'd suggest you ask Norman Morin, who wrote this code. Kit Baum --On Friday, May 5, 2000 11:25 +0300 "Okay, Nesrin" wrote: > Hello Kit Baum, > I really like the Garch.src. But I believe there is amajor deficiency. In > the estimation of the mean equation you have to enter a number for ar=3 > for example, and it automatically evaluates ar=2,ar=3. However if someone > is interested by only ar=3, there is ne way to evaluate it? > what is suggestion? > My second question : How to introduce box jenkins method of estimating the > mean equation in the garch.src. > Why the source file is not using box jenkins method instead? > Thanks for your cooperation? > I hope you will answer me? > sincerely > Nesrin Okay > Bogazici University > ----- Original Message ----- > From: Christopher F Baum > To: RATS Discussion List > Sent: Tuesday, March 23, 1999 6:02 PM > Subject: Re: choice of law in garch models > > >> Since student t (and normal) are special cases of GED, why wouldn't a >> test for the est. thickness parameter be appropriate? If it is >> significantly greater than 2 (its value for a normal), then a t-dist >> with thicker tails would certainly be rejected in favor of a GED with >> tails thinner than the normal. >> >> Kit Baum >> Boston College Economics >> >> --On Tue, Mar 23, 1999 15:40 +0100 jtebeka@oddo.fr wrote: >> >> > >> > >> > >> > I am using the Garch procedure and i would like to know how i can test > if >> > a student or ged is the appropriate distribution to use. >> > Thanks for your help. >> > Jacques >> > >> > >> >> >> >> >> > ----------------------------------------------------------------- Kit Baum baum@bc.edu http://fmwww.bc.edu/ec-v/baum.fac.html ---------- End of message ---------- From: Yuen Phui Ling Hazel To: "RATS Discussion List" Subject: If you could help on the VMA procedure Date: Fri, 5 May 2000 22:29:09 +0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Hi everyone, I a PhD postgraduate student who earnestly seek help in running the RATS program via the VMA (Vector Moving Average) approach. It's the "C" type structural VAR model where the stationary vector can be written as an infinite moving average process. I need to impose long run restrictions on the lag operator matrix in order to recover the orthogonal shocks. I'm new to the RATS software. I will deeply appreciate if you could inform of the relevant RATS syntax. Deep appreciation. Specifically, the SVAR model to be estimated is as follows: The vector Dx= [Dp, Dq, Dr] is stationary and can be written as an infinite moving average process: DX =S Aiet-i = A(L)e t or | Dp| = |a11(l) a12(l) a13(l) a14(l)| |e 1t| |Dq| = |a21(l) a22(l) a23(l) a24(l)| | |e 2t| |Dr| = |a31(l) a32(l) a33(l) a34(l)| | |e 3t| where aij(l) are polynomials and Ai are matrices in the lag operator L. We denote aij(1) as the sum of all the moving average coefficients and gives the cumulative effect of ejt on variable i over time. e t is the vector of serially uncorrelated structural shocks and have a variance covariance matrix normalized to the identity matrix. To identify the model, we estimate a finite order VAR. DXt = B1 Xt-1 + ... + BkDXt-k + e t where the maximum lag length is chosen such that residuals eit approximate white noise. Since the elements of DXt, are stationary, the system can be inverted to obtain the moving average representation: DXt =S Ciet-i = C(l)et The relationship between the pure and composite innovation is et = A0et The following relationship exists between the variance-covariance matrices: E(et et') = A0E(etet')A0' and S = A0A0' S is a symmetric matrix with known elements (or can be estimated consistently). Just identification of this three-variable structural model will require three additional restrictions. At L=1, we note the relationship: A(1) = C(1)A0' where C(1) contains known elements. In order to identify the shocks, we impose the restrictions on the long run matrix A(1), i.e. six of aij=0. After A0 is identified, one can recover the orthogonal shocks. If you're familiar to the above structural model, please do advise me on the RATS syntax and procedure. Thanks in Advance. ---------- End of message ---------- From: JohnVelis@intesasgr.it To: "RATS Discussion List" Subject: Markov Switching (again!) Date: Sun, 7 May 2000 19:28:44 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-type: text/plain; charset=us-ascii X-Mailer: Mercury MTS (Bindery) v1.40 Hello, everyone. I have been running some Markov Switching models based on the examples provided by Estima on their homepage (the same as those shown in the RATS newsletter of December 1999). It works o.k. and have replicated some other published models and gotten similar enough results....BUT...I find that the maximization is EXTREMELY sensitive to the initial values chosen for the parameters. In one example, when I estimate the model using two different variances (i.e. one for each regim) I get one set of results. Then, I reestimate the model, this time using a common variance, but everything else the same. The results are totally different for all the other parameters. I attach the program below. If anyone has any hints or suggestions, I would be grateful. Thanks. John ************************* compute p12=p21=0.5 linreg(noprint) dwld #constant compute a01=(%beta(1))/2 compute a02=(%beta(1))/2+(%beta(1)) compute sigma1=(sqrt(%seesq))/2 compute sigma2=(sqrt(%seesq))/2+(sqrt(%seesq)) *compute sigma1=(sqrt(%seesq)) * * set pstar 90:05 99:12 = 0.50 frml markov = $ f1=%density(reg1{0}/sigma1)/sigma1 , $ f2=%density(reg2{0}/sigma2)/sigma2 , $ rp1=f1*(p21*(1-pstar{1})+(1-p12)*pstar{1}) , $ rp2=f2*((1-p21)*(1-pstar{1})+p12*pstar{1}) , $ pstar=rp1/(rp1+rp2) , $ log(rp1+rp2) *maximize(method=simplex,iterations=10,recursive) markov 90:06 99:12 maximize(method=bhhh,iterations=150,norecursive) markov 90:06 99:12 ---------- End of message ---------- From: "Ãֿϼö" To: "RATS Discussion List" Subject: estimating garch via quasi-MLE Date: Mon, 8 May 2000 06:25:07 +0900 (KST) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: text/plain X-Mailer: yamail 0.9 (via Mercury MTS (Bindery) v1.40) Does anyone kindly let me know how I can estimate Garch model via quasi- MLE in the garchuv.prg? Thanks in advance. Choi, Wansoo Seoul, Korea cwsoo@base.yonsei.ac.kr 019-210-7152, 2209-7271 ---------- End of message ---------- From: Simon.Van-Norden@hec.ca To: "RATS Discussion List" Subject: Re: Markov Switching (again!) Date: Sun, 07 May 2000 20:59:40 -0400 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Ecole des Hautes Etudes Commerciales X-Mailer: Mozilla 4.61 [en] (Win98; U) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable John; With MSM, there is no guarantee that there is a single (interior) maximum= of the likelihood function. The worst-case scenario is that you simply have mult= iple (and possibly very many) peaks. Playing with related models, I've found that the filtered and smoothed classification probabilities are a useful diagnostic tool. If they are a= lmost all 0 or almost all 1, then one regime may be only just-identified. Furth= ermore, marginal changes in the parameter vector do not improve the llf since the= y do not "assign" new observations to that regime. In that case, you really ne= ed to search for additional local max's. Of course, adding many more observatio= ns also helps to clear up this problem. Regards, SvN JohnVelis@intesasgr.it wrote: >=20 > Hello, everyone. I have been running some Markov Switching models base= d on > the examples provided by Estima on their homepage (the same as those sh= own > in the RATS newsletter of December 1999). It works o.k. and have > replicated some other published models and gotten similar enough > results....BUT...I find that the maximization is EXTREMELY sensitive to= the > initial values chosen for the parameters. >=20 > In one example, when I estimate the model using two different variances > (i.e. one for each regim) I get one set of results. Then, I reestimate= the > model, this time using a common variance, but everything else the same. > The results are totally different for all the other parameters. I atta= ch > the program below. If anyone has any hints or suggestions, I would be > grateful. >=20 > Thanks. >=20 > John >=20 > ************************* >=20 > compute p12=3Dp21=3D0.5 >=20 > linreg(noprint) dwld > #constant > compute a01=3D(%beta(1))/2 > compute a02=3D(%beta(1))/2+(%beta(1)) > compute sigma1=3D(sqrt(%seesq))/2 > compute sigma2=3D(sqrt(%seesq))/2+(sqrt(%seesq)) > *compute sigma1=3D(sqrt(%seesq)) >=20 > * > * > set pstar 90:05 99:12 =3D 0.50 > frml markov =3D $ > f1=3D%density(reg1{0}/sigma1)/sigma1 , $ > f2=3D%density(reg2{0}/sigma2)/sigma2 , $ > rp1=3Df1*(p21*(1-pstar{1})+(1-p12)*pstar{1}) , $ > rp2=3Df2*((1-p21)*(1-pstar{1})+p12*pstar{1}) , $ > pstar=3Drp1/(rp1+rp2) , $ > log(rp1+rp2) > *maximize(method=3Dsimplex,iterations=3D10,recursive) markov 90:06 99:1= 2 > maximize(method=3Dbhhh,iterations=3D150,norecursive) markov 90:06 99:12 --=20 Simon van Norden, Prof. agr=E9g=E9, www.hec.ca/pages/simon.van-norden Service de l'enseignement de la finance, =C9cole des H.E.C. 3000 Cote-Sainte-Catherine, Montreal QC, CANADA H3T 2A7 simon.van-norden@hec.ca or (514)340-6781 or fax:(514)340-5632 ---------- End of message ---------- From: JohnVelis@intesasgr.it To: "RATS Discussion List" Subject: Oggetto: Re: Markov Switching (again!) Date: Mon, 8 May 2000 16:13:47 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-type: text/plain; charset=us-ascii X-Mailer: Mercury MTS (Bindery) v1.40 Simon: Thanks for the reply. I suspected this to be the case. BY the way, what did you mean when you say MSM? I have to confess I have never heard of MSm. I've asked some otehr people with whom I work, and they haven't either. My best guess is multi-stage maximization.' Anywa, thanks a lot. Do you have a suggestion for choosing reasonable starting values? I did something silly,but the resulst are totally reasonable: I calcualted the mean of the series and took half of it as the starting value for state one and one and a half of that value for regime two. did the same thing for the variance. Seems as good as anything else. Thanks again. Best, -jov ---------- End of message ---------- From: Simon.Van-Norden@hec.ca To: "RATS Discussion List" Subject: Re: Oggetto: Re: Markov Switching (again!) Date: Mon, 08 May 2000 00:15:28 -0400 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Ecole des Hautes Etudes Commerciales X-Mailer: Mozilla 4.61 [en] (Win98; U) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable JohnVelis@intesasgr.it wrote: >=20 > Simon: >=20 > Thanks for the reply. I suspected this to be the case. BY the way, w= hat > did you mean when you say MSM? I have to confess I have never heard of > MSm. I've asked some otehr people with whom I work, and they haven't > either. My best guess is multi-stage maximization.' Sorry: MSM =3D Markov Switching Model >=20 > Anywa, thanks a lot. Do you have a suggestion for choosing reasonable > starting values? I did something silly,but the resulst are totally > reasonable: I calcualted the mean of the series and took half of it as= the > starting value for state one and one and a half of that value for regim= e > two. did the same thing for the variance. Seems as good as anything > else. >=20 Yeah, I often do something equally ridiculous; - mean of the observations above/below the median =3D mean of state 0/1. One way to think of this is that I'm doing something like an EM iteration= ; I force my E-step to give a vector of zeros and ones, then do an M-step. --=20 Simon van Norden, Prof. agr=E9g=E9, www.hec.ca/pages/simon.van-norden Service de l'enseignement de la finance, =C9cole des H.E.C. 3000 Cote-Sainte-Catherine, Montreal QC, CANADA H3T 2A7 simon.van-norden@hec.ca or (514)340-6781 or fax:(514)340-5632 ---------- End of message ---------- From: "Leon, Hyginus" To: "RATS Discussion List" Subject: RE: Oggetto: Re: Markov Switching (again!) Date: Mon, 8 May 2000 12:36:07 -0400 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Fellow Rats users I have posted this question before and am just trying again. I would like to estimate a multivariate GARCH model with a GED instead of a "t" or normal distribution (Nelson's Ecta article uses a univariate GED). Does anyone know of the likelihood function for the multivariate GED? Thank you. Gene Leon IMF Institute Tel (202) 623 6115 email: hleon@imf.org ---------- End of message ---------- From: Richard Groove To: "RATS Discussion List" Subject: Structural VAR-Blanchard&Quah Date: Mon, 8 May 2000 23:04:04 -0400 (EDT) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-Mailer: mail.com (via Mercury MTS (Bindery) v1.40) Hi! I would like to use VAR.src to decomposition some data using Blanchard and quah method. All I can get from the procedure is Impulse response function and Variance decompostion. How can I get the decompostion result from the procedure? I need your help. Please let me know. Richard Groove ----------------------------------------------- FREE! The World's Best Email Address @email.com Reserve your name now at http://www.email.com ---------- End of message ---------- From: Lana Poukliakova To: "RATS Discussion List" Subject: GARCHM Date: Tue, 9 May 2000 14:45:21 -0700 (PDT) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-Mailer: Excite Inbox (via Mercury MTS (Bindery) v1.40) Hi to everybody! I need help on GARCHM with more than three variables in the mean eq-n. Any suggestions? Lana _______________________________________________________ Get 100% FREE Internet Access powered by Excite Visit http://freelane.excite.com/freeisp ---------- End of message ---------- From: Woo Kai Yin To: "RATS Discussion List" Subject: RE:FIGARCH Date: Wed, 10 May 2000 11:08:00 +0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: Mozilla 3.01C-IMS (Win95; I) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Dear RATS users, Might I request for RATS procedure to implement Quasi-MLE for Fractionally integrated GARCH model (Baillie,et. al., 1996, J. of Econometrics), please? Many thanks. regards, Kai-yin Woo Dept of Econmics, HOng KOng Shue Yan College. Hong KOng. ---------- End of message ---------- From: Christelle Lecourt To: "RATS Discussion List" Subject: RE:FIGARCH Date: Thu, 11 May 2000 23:56:18 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.1 (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear Kai-yin Woo You can find a gauss procedure to compute the FIGARCH model on the Web site of my coauthor S=E9bastien Laurent. http://www.egss.ulg.ac.be/Econometrie Good luck. Christelle Lecourt ---------- End of message ---------- From: Christelle Lecourt To: "RATS Discussion List" Subject: RE:FIGARCH Date: Thu, 11 May 2000 23:56:18 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.1 (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear Kai-yin Woo You can find a gauss procedure to compute the FIGARCH model on the Web site of my coauthor S=E9bastien Laurent. http://www.egss.ulg.ac.be/Econometrie Good luck. Christelle Lecourt ---------- End of message ---------- From: Christelle Lecourt To: "RATS Discussion List" Subject: RE:FIGARCH Date: Thu, 11 May 2000 23:56:18 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.1 (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear Kai-yin Woo You can find a gauss procedure to compute the FIGARCH model on the Web site of my coauthor S=E9bastien Laurent. http://www.egss.ulg.ac.be/Econometrie Good luck. Christelle Lecourt ---------- End of message ---------- From: Christelle Lecourt To: "RATS Discussion List" Subject: RE:FIGARCH Date: Thu, 11 May 2000 23:56:18 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.1 (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear Kai-yin Woo You can find a gauss procedure to compute the FIGARCH model on the Web site of my coauthor S=E9bastien Laurent. http://www.egss.ulg.ac.be/Econometrie Good luck. Christelle Lecourt ---------- End of message ---------- From: Christelle Lecourt To: "RATS Discussion List" Subject: RE:FIGARCH Date: Thu, 11 May 2000 23:56:18 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.1 (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear Kai-yin Woo You can find a gauss procedure to compute the FIGARCH model on the Web site of my coauthor S=E9bastien Laurent. http://www.egss.ulg.ac.be/Econometrie Good luck. Christelle Lecourt ---------- End of message ---------- From: Christelle Lecourt To: "RATS Discussion List" Subject: RE:FIGARCH Date: Thu, 11 May 2000 23:56:18 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.1 (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear Kai-yin Woo You can find a gauss procedure to compute the FIGARCH model on the Web site of my coauthor S=E9bastien Laurent. http://www.egss.ulg.ac.be/Econometrie Good luck. Christelle Lecourt ---------- End of message ---------- From: Christelle Lecourt To: "RATS Discussion List" Subject: RE:FIGARCH Date: Thu, 11 May 2000 23:56:18 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.1 (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear Kai-yin Woo You can find a gauss procedure to compute the FIGARCH model on the Web site of my coauthor S=E9bastien Laurent. http://www.egss.ulg.ac.be/Econometrie Good luck. Christelle Lecourt ---------- End of message ---------- From: Christelle Lecourt To: "RATS Discussion List" Subject: RE:FIGARCH Date: Thu, 11 May 2000 23:56:18 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.1 (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear Kai-yin Woo You can find a gauss procedure to compute the FIGARCH model on the Web site of my coauthor S=E9bastien Laurent. http://www.egss.ulg.ac.be/Econometrie Good luck. Christelle Lecourt ---------- End of message ---------- From: Christelle Lecourt To: "RATS Discussion List" Subject: RE:FIGARCH Date: Thu, 11 May 2000 23:56:18 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.1 (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear Kai-yin Woo You can find a gauss procedure to compute the FIGARCH model on the Web site of my coauthor S=E9bastien Laurent. http://www.egss.ulg.ac.be/Econometrie Good luck. Christelle Lecourt ---------- End of message ---------- From: Christelle Lecourt To: "RATS Discussion List" Subject: RE:FIGARCH Date: Thu, 11 May 2000 23:56:18 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.1 (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear Kai-yin Woo You can find a gauss procedure to compute the FIGARCH model on the Web site of my coauthor S=E9bastien Laurent. http://www.egss.ulg.ac.be/Econometrie Good luck. Christelle Lecourt ---------- End of message ---------- From: Christelle Lecourt To: "RATS Discussion List" Subject: RE:FIGARCH Date: Thu, 11 May 2000 23:56:18 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.1 (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear Kai-yin Woo You can find a gauss procedure to compute the FIGARCH model on the Web site of my coauthor S=E9bastien Laurent. http://www.egss.ulg.ac.be/Econometrie Good luck. Christelle Lecourt ---------- End of message ---------- From: Christelle Lecourt To: "RATS Discussion List" Subject: RE:FIGARCH Date: Thu, 11 May 2000 23:56:18 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.1 (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear Kai-yin Woo You can find a gauss procedure to compute the FIGARCH model on the Web site of my coauthor S=E9bastien Laurent. http://www.egss.ulg.ac.be/Econometrie Good luck. Christelle Lecourt ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Content-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Content-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Content-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Content-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Content-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Content-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Content-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "De Boeck, Jorn" To: "RATS Discussion List" Subject: 1 s.d. bands for IRFs Date: Fri, 12 May 2000 15:08:53 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Dear RATS users, I use the procedure VAR.SRC for estimating VARs. In this procedure one has the option to put 80%, 90% or 95% s.e. bands around the impulse response functions. However, I would like to put 1 standard deviation bands around the impulse response function. Does anyone of you know how I can change the procedure to do this ? Thank you very much in advance. Yours sincerely, Jorn De Boeck ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Content-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "De Boeck, Jorn" To: "RATS Discussion List" Subject: 1 s.d. bands for IRFs Date: Fri, 12 May 2000 15:08:53 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Dear RATS users, I use the procedure VAR.SRC for estimating VARs. In this procedure one has the option to put 80%, 90% or 95% s.e. bands around the impulse response functions. However, I would like to put 1 standard deviation bands around the impulse response function. Does anyone of you know how I can change the procedure to do this ? Thank you very much in advance. Yours sincerely, Jorn De Boeck ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Content-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "De Boeck, Jorn" To: "RATS Discussion List" Subject: 1 s.d. bands for IRFs Date: Fri, 12 May 2000 15:08:53 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Dear RATS users, I use the procedure VAR.SRC for estimating VARs. In this procedure one has the option to put 80%, 90% or 95% s.e. bands around the impulse response functions. However, I would like to put 1 standard deviation bands around the impulse response function. Does anyone of you know how I can change the procedure to do this ? Thank you very much in advance. Yours sincerely, Jorn De Boeck ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Content-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1Content-Transfer-Encoding: quoted-printable Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "De Boeck, Jorn" To: "RATS Discussion List" Subject: 1 s.d. bands for IRFs Date: Fri, 12 May 2000 15:08:53 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Dear RATS users, I use the procedure VAR.SRC for estimating VARs. In this procedure one has the option to put 80%, 90% or 95% s.e. bands around the impulse response functions. However, I would like to put 1 standard deviation bands around the impulse response function. Does anyone of you know how I can change the procedure to do this ? Thank you very much in advance. Yours sincerely, Jorn De Boeck ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Content-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: Aricio Xavier de Oliveira To: "RATS Discussion List" Subject: RE: FIGARCH Date: Fri, 12 May 2000 11:33:08 -0300 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Help ! My mail is full ! > ---------- > De: Brian Lucey, Lecturer in Finance[SMTP:blucey@tcd.ie] > Responder: RATS Discussion List > Enviada: sexta-feira, 12 de maio de 2000 05:29 > Para: RATS Discussion List > Assunto: Re: FIGARCH > > Christelle - You may have a problem with your mail server as I recd 9 cop= > ies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the Web = > site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax > > ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1 Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Content-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "De Boeck, Jorn" To: "RATS Discussion List" Subject: 1 s.d. bands for IRFs Date: Fri, 12 May 2000 15:08:53 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Dear RATS users, I use the procedure VAR.SRC for estimating VARs. In this procedure one has the option to put 80%, 90% or 95% s.e. bands around the impulse response functions. However, I would like to put 1 standard deviation bands around the impulse response function. Does anyone of you know how I can change the procedure to do this ? Thank you very much in advance. Yours sincerely, Jorn De Boeck ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1MIME-Version: 1.0 Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1 Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Aricio Xavier de Oliveira To: "RATS Discussion List" Subject: RE: FIGARCH Date: Fri, 12 May 2000 11:33:08 -0300 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Help ! My mail is full ! > ---------- > De: Brian Lucey, Lecturer in Finance[SMTP:blucey@tcd.ie] > Responder: RATS Discussion List > Enviada: sexta-feira, 12 de maio de 2000 05:29 > Para: RATS Discussion List > Assunto: Re: FIGARCH > > Christelle - You may have a problem with your mail server as I recd 9 cop= > ies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the Web = > site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax > > ---------- End of message ---------- From: "De Boeck, Jorn" To: "RATS Discussion List" Subject: 1 s.d. bands for IRFs Date: Fri, 12 May 2000 15:08:53 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Dear RATS users, I use the procedure VAR.SRC for estimating VARs. In this procedure one has the option to put 80%, 90% or 95% s.e. bands around the impulse response functions. However, I would like to put 1 standard deviation bands around the impulse response function. Does anyone of you know how I can change the procedure to do this ? Thank you very much in advance. Yours sincerely, Jorn De Boeck ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Content-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1Content-Type: text/plain; charset=iso-8859-1 Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: Aricio Xavier de Oliveira To: "RATS Discussion List" Subject: RE: FIGARCH Date: Fri, 12 May 2000 11:33:08 -0300 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Help ! My mail is full ! > ---------- > De: Brian Lucey, Lecturer in Finance[SMTP:blucey@tcd.ie] > Responder: RATS Discussion List > Enviada: sexta-feira, 12 de maio de 2000 05:29 > Para: RATS Discussion List > Assunto: Re: FIGARCH > > Christelle - You may have a problem with your mail server as I recd 9 cop= > ies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the Web = > site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax > > ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1 Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "De Boeck, Jorn" To: "RATS Discussion List" Subject: 1 s.d. bands for IRFs Date: Fri, 12 May 2000 15:08:53 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Dear RATS users, I use the procedure VAR.SRC for estimating VARs. In this procedure one has the option to put 80%, 90% or 95% s.e. bands around the impulse response functions. However, I would like to put 1 standard deviation bands around the impulse response function. Does anyone of you know how I can change the procedure to do this ? Thank you very much in advance. Yours sincerely, Jorn De Boeck ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (BinContent-Type: text/plain; Content-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1Content-Transfer-Encoding: quoted-printable please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: Aricio Xavier de Oliveira To: "RATS Discussion List" Subject: RE: FIGARCH Date: Fri, 12 May 2000 11:33:08 -0300 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Help ! My mail is full ! > ---------- > De: Brian Lucey, Lecturer in Finance[SMTP:blucey@tcd.ie] > Responder: RATS Discussion List > Enviada: sexta-feira, 12 de maio de 2000 05:29 > Para: RATS Discussion List > Assunto: Re: FIGARCH > > Christelle - You may have a problem with your mail server as I recd 9 cop= > ies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the Web = > site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax > > ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1 Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "De Boeck, Jorn" To: "RATS Discussion List" Subject: 1 s.d. bands for IRFs Date: Fri, 12 May 2000 15:08:53 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Dear RATS users, I use the procedure VAR.SRC for estimating VARs. In this procedure one has the option to put 80%, 90% or 95% s.e. bands around the impulse response functions. However, I would like to put 1 standard deviation bands around the impulse response function. Does anyone of you know how I can change the procedure to do this ? Thank you very much in advance. Yours sincerely, Jorn De Boeck ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (BinContent-Transfer-Encoding: quoted-printable Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1 please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "Stephen A. DeLurgio" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 10:57:24 -0500 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: University of Missouri X-Mailer: Mozilla 4.06 [en] (Win95; U) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit PLEASE FIX THIS SERVER/ LISTSERV! SOME ONE NEEDS TO FIX THE PROBLEM WITH MULTIPLE COPIES OF ALL EMAILS - AS ANOTHER MEMBER MENTIONED, SOME OF US ARE GETTING 9 COPIES OF ALL EMAILS. THERE IS SERVER PROBLEM SOMEWHERE. THANK YOU Aricio Xavier de Oliveira wrote: > Help ! My mail is full ! > > > ---------- > > De: Brian Lucey, Lecturer in Finance[SMTP:blucey@tcd.ie] > > Responder: RATS Discussion List > > Enviada: sexta-feira, 12 de maio de 2000 05:29 > > Para: RATS Discussion List > > Assunto: Re: FIGARCH > > > > Christelle - You may have a problem with your mail server as I recd 9 cop= > > ies of > > this ! > > > > Christelle Lecourt wrote: > > > > > Dear Kai-yin Woo > > > You can find a gauss procedure to compute the FIGARCH model on the Web = > > site > > > of my coauthor S=E9bastien Laurent. > > > http://www.egss.ulg.ac.be/Econometrie > > > > > > Good luck. > > > > > > Christelle Lecourt > > > > -- > > Brian M Lucey > > Lecturer in Finance > > School Of Business Studies > > Dublin University : Trinity College > > > > College Green, Dublin > > > > 353- 1- 6081552 Voice > > 353- 1- 6799503 Fax > > > > ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bin Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1 Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1 please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: "De Boeck, Jorn" To: "RATS Discussion List" Subject: 1 s.d. bands for IRFs Date: Fri, 12 May 2000 15:08:53 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Dear RATS users, I use the procedure VAR.SRC for estimating VARs. In this procedure one has the option to put 80%, 90% or 95% s.e. bands around the impulse response functions. However, I would like to put 1 standard deviation bands around the impulse response function. Does anyone of you know how I can change the procedure to do this ? Thank you very much in advance. Yours sincerely, Jorn De Boeck ---------- End of message ---------- From: Aricio Xavier de Oliveira To: "RATS Discussion List" Subject: RE: FIGARCH Date: Fri, 12 May 2000 11:33:08 -0300 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Help ! My mail is full ! > ---------- > De: Brian Lucey, Lecturer in Finance[SMTP:blucey@tcd.ie] > Responder: RATS Discussion List > Enviada: sexta-feira, 12 de maio de 2000 05:29 > Para: RATS Discussion List > Assunto: Re: FIGARCH > > Christelle - You may have a problem with your mail server as I recd 9 cop= > ies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the Web = > site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax > > ---------- End of message ---------- From: "Stephen A. DeLurgio" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 10:57:24 -0500 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: University of Missouri X-Mailer: Mozilla 4.06 [en] (Win95; U) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit PLEASE FIX THIS SERVER/ LISTSERV! SOME ONE NEEDS TO FIX THE PROBLEM WITH MULTIPLE COPIES OF ALL EMAILS - AS ANOTHER MEMBER MENTIONED, SOME OF US ARE GETTING 9 COPIES OF ALL EMAILS. THERE IS SERVER PROBLEM SOMEWHERE. THANK YOU Aricio Xavier de Oliveira wrote: > Help ! My mail is full ! > > > ---------- > > De: Brian Lucey, Lecturer in Finance[SMTP:blucey@tcd.ie] > > Responder: RATS Discussion List > > Enviada: sexta-feira, 12 de maio de 2000 05:29 > > Para: RATS Discussion List > > Assunto: Re: FIGARCH > > > > Christelle - You may have a problem with your mail server as I recd 9 cop= > > ies of > > this ! > > > > Christelle Lecourt wrote: > > > > > Dear Kai-yin Woo > > > You can find a gauss procedure to compute the FIGARCH model on the Web = > > site > > > of my coauthor S=E9bastien Laurent. > > > http://www.egss.ulg.ac.be/Econometrie > > > > > > Good luck. > > > > > > Christelle Lecourt > > > > -- > > Brian M Lucey > > Lecturer in Finance > > School Of Business Studies > > Dublin University : Trinity College > > > > College Green, Dublin > > > > 353- 1- 6081552 Voice > > 353- 1- 6799503 Fax > > > > ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bin Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: "De Boeck, Jorn" To: "RATS Discussion List" Subject: 1 s.d. bands for IRFs Date: Fri, 12 May 2000 15:08:53 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Dear RATS users, I use the procedure VAR.SRC for estimating VARs. In this procedure one has the option to put 80%, 90% or 95% s.e. bands around the impulse response functions. However, I would like to put 1 standard deviation bands around the impulse response function. Does anyone of you know how I can change the procedure to do this ? Thank you very much in advance. Yours sincerely, Jorn De Boeck ---------- End of message ---------- From: "Brian Lucey, Lecturer in Finance" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 09:29:49 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: School of Business Studies, Trinity College, Dublin X-Mailer: Mozilla 4.7 [en] (Win95; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1 Christelle - You may have a problem with your mail server as I recd 9 cop= ies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the Web = site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Emilios Galariotis To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 11:12:33 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Economics & Finance - University of Durham X-Mailer: Mozilla 4.7 [en] (Win98; I) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1 please try not sending your personal e-mails to every one on the list thank you "Brian Lucey, Lecturer in Finance" wrote: > Christelle - You may have a problem with your mail server as I recd 9 c= opies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the We= b site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax -- --------------------------------------------------------------------- Emilios Galariotis | Tel No.: +44-(0)191-374-1823 Dept. of Economics & Finance | Fax No.: +44-(0)191-374-7289 University of Durham | Email: Emilios.Galariotis@durham.ac.uk 23-26 Old Elvet | WWW: http://www.dur.ac.uk/Economics Durham DH1 3HY | WWW: http://www.dur.ac.uk/~dec3eg/ ---------------------------------------------------------------------- ---------- End of message ---------- From: Aricio Xavier de Oliveira To: "RATS Discussion List" Subject: RE: FIGARCH Date: Fri, 12 May 2000 11:33:08 -0300 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Help ! My mail is full ! > ---------- > De: Brian Lucey, Lecturer in Finance[SMTP:blucey@tcd.ie] > Responder: RATS Discussion List > Enviada: sexta-feira, 12 de maio de 2000 05:29 > Para: RATS Discussion List > Assunto: Re: FIGARCH > > Christelle - You may have a problem with your mail server as I recd 9 cop= > ies of > this ! > > Christelle Lecourt wrote: > > > Dear Kai-yin Woo > > You can find a gauss procedure to compute the FIGARCH model on the Web = > site > > of my coauthor S=E9bastien Laurent. > > http://www.egss.ulg.ac.be/Econometrie > > > > Good luck. > > > > Christelle Lecourt > > -- > Brian M Lucey > Lecturer in Finance > School Of Business Studies > Dublin University : Trinity College > > College Green, Dublin > > 353- 1- 6081552 Voice > 353- 1- 6799503 Fax > > ---------- End of message ---------- From: "Stephen A. DeLurgio" To: "RATS Discussion List" Subject: Re: FIGARCH Date: Fri, 12 May 2000 10:57:24 -0500 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: University of Missouri X-Mailer: Mozilla 4.06 [en] (Win95; U) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit PLEASE FIX THIS SERVER/ LISTSERV! SOME ONE NEEDS TO FIX THE PROBLEM WITH MULTIPLE COPIES OF ALL EMAILS - AS ANOTHER MEMBER MENTIONED, SOME OF US ARE GETTING 9 COPIES OF ALL EMAILS. THERE IS SERVER PROBLEM SOMEWHERE. THANK YOU Aricio Xavier de Oliveira wrote: > Help ! My mail is full ! > > > ---------- > > De: Brian Lucey, Lecturer in Finance[SMTP:blucey@tcd.ie] > > Responder: RATS Discussion List > > Enviada: sexta-feira, 12 de maio de 2000 05:29 > > Para: RATS Discussion List > > Assunto: Re: FIGARCH > > > > Christelle - You may have a problem with your mail server as I recd 9 cop= > > ies of > > this ! > > > > Christelle Lecourt wrote: > > > > > Dear Kai-yin Woo > > > You can find a gauss procedure to compute the FIGARCH model on the Web = > > site > > > of my coauthor S=E9bastien Laurent. > > > http://www.egss.ulg.ac.be/Econometrie > > > > > > Good luck. > > > > > > Christelle Lecourt > > > > -- > > Brian M Lucey > > Lecturer in Finance > > School Of Business Studies > > Dublin University : Trinity College > > > > College Green, Dublin > > > > 353- 1- 6081552 Voice > > 353- 1- 6799503 Fax > > > > ---------- End of message ---------- From: "Mundaca, Gabriela" To: "RATS Discussion List" Subject: SV: FIGARCH Date: Fri, 12 May 2000 12:44:05 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bindery) v1.40) (via Mercury MTS (Bin Brian: You may also have problems. I am now receiving your message for the = 10th time. -----Opprinnelig melding----- Fra: Brian Lucey, Lecturer in Finance [mailto:blucey@tcd.ie] Sendt: 12. mai 2000 10:30 Til: RATS Discussion List Emne: Re: FIGARCH Christelle - You may have a problem with your mail server as I recd 9 = copies of this ! Christelle Lecourt wrote: > Dear Kai-yin Woo > You can find a gauss procedure to compute the FIGARCH model on the = Web site > of my coauthor S=E9bastien Laurent. > http://www.egss.ulg.ac.be/Econometrie > > Good luck. > > Christelle Lecourt -- Brian M Lucey Lecturer in Finance School Of Business Studies Dublin University : Trinity College College Green, Dublin 353- 1- 6081552 Voice 353- 1- 6799503 Fax ---------- End of message ---------- From: Rob Trevor To: "RATS Discussion List" Subject: LIST ADMIN Date: Sat, 13 May 2000 08:15:54 +1000 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" ; format="flowed" X-Mailer: Mercury MTS (Bindery) v1.40 My apologies re the strange list behaviour of the list recently. Unfortunately, I don't control the software and am unable to do anything about it other than (temporarily) removing ALL subscribers. I hope that that will stop the spam until I can get the department's computer person who control's that server to fix to problem, whatever it is. (That won't be for several days.) I'll pull the subscriber list as soon as this email has propagated at least once :) My apologies Rob Trevor RATS-L Admin ---------- End of message ---------- From: Woo Kai Yin To: "RATS Discussion List" Subject: RE:fully modified least absolute deviations Date: Sat, 13 May 2000 11:34:54 +0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: Mozilla 3.01C-IMS (Win95; I) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Dear RATS users, Might I reqest for RATS procedure for FM-LAD (Phillips, 1995) regression procedure for parameter estimation and hypothesis testing, please? Phillips, 1995, Robust nonstationary regression, Econoetric theory, 11, 912-951. regards, Kai-yin Woo Senior Lecturer, Hong Kong Shue Yan College. Hong Kong. ---------- End of message ---------- From: Woo Kai Yin To: "RATS Discussion List" Subject: RE:Phillips' modified GPH Date: Mon, 15 May 2000 02:17:20 +0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: Mozilla 3.01C-IMS (Win95; I) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Dear RATS users, Might I request for RATS procedure to implment estimation and hypothesis testing for ARFIMA (p,d,q) model by use of Phillps' modified GPH, please? Phillips, Peter C.B., Discrete Fourier Transforms of Fractional Processes, 1999a. Cowles Foundation for Research in Economics, Yale University. > >Phillips, Peter C.B., Unit Root Log Periodogram Regression, 1999b. >Unpublished working paper No. 1244, Cowles Foundation for Research in Economics, Yale University. Many thanks. regards, Kai-yin Woo Senior Lecturer, Dept of Economics, Hong kong Shue Yan College, Hong Kong. ---------- End of message ---------- From: Rob Trevor To: "RATS Discussion List" Subject: LIST ADMIN Date: Mon, 15 May 2000 11:49:15 +1000 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" ; format="flowed" X-Mailer: Mercury MTS (Bindery) v1.40 Hi The RATS-L list seems to have magically started behaving itself again after I threatened to take it down. Who says computers don't have feelings :) Seriously, whatever was causing the problem seems to have rectified itself. Here's hoping that it doesn't come back. At present the list runs on software maintained by the department. Around the New Year they upgraded their servers. Intermittent hardware problems in the new servers have caused my colleagues who rely on Windoze no end of trouble. These problems have sometimes affected this list as well. They still don't seem to have tracked down the parts which are causing the problem. At present I'm assuming that a disk malfunction initiated a sequence of events which resulted in the list software generating multiple versions of posts. The department's upgrade of their mail server & list software has been (temporarily) sidetracked by these hardware problems. Hopefully, we will be able to limp along until the hardware problems are solved and the new software has been installed. If we have more problems then I may have to install and maintain my own list software on my own hardware -- something I have been seeking to avoid due to lack of time. Cheers Rob Trevor RATS-L Admin ---------- End of message ---------- From: Yuen Phui Ling Hazel To: "RATS Discussion List" Subject: RE: LIST ADMIN Date: Mon, 15 May 2000 10:46:38 +0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Thanks for the efforts. Rgds, Hazel (Singapore) -----Original Message----- From: Rob Trevor [mailto:robt@mafc.mq.edu.au] Sent: Monday, May 15, 2000 9:49 AM To: RATS Discussion List Subject: LIST ADMIN Hi The RATS-L list seems to have magically started behaving itself again after I threatened to take it down. Who says computers don't have feelings :) Seriously, whatever was causing the problem seems to have rectified itself. Here's hoping that it doesn't come back. At present the list runs on software maintained by the department. Around the New Year they upgraded their servers. Intermittent hardware problems in the new servers have caused my colleagues who rely on Windoze no end of trouble. These problems have sometimes affected this list as well. They still don't seem to have tracked down the parts which are causing the problem. At present I'm assuming that a disk malfunction initiated a sequence of events which resulted in the list software generating multiple versions of posts. The department's upgrade of their mail server & list software has been (temporarily) sidetracked by these hardware problems. Hopefully, we will be able to limp along until the hardware problems are solved and the new software has been installed. If we have more problems then I may have to install and maintain my own list software on my own hardware -- something I have been seeking to avoid due to lack of time. Cheers Rob Trevor RATS-L Admin ---------- End of message ---------- From: "Hiroshi KAMEYAMA" To: "RATS Discussion List" Subject: Re: RE:Phillips' modified GPH Date: Mon, 15 May 2000 12:34:59 +0900 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Kagawa Univ. MIME-Version: 1.0 Content-Type: text/plain; Content-Transfer-Encoding: 7bit X-Mailer: Microsoft Outlook Express 5.00.2314.1300 (via Mercury MTS (Bindery) v1.40) unsubscribe, please. ---------- End of message ---------- From: Richard Groove To: "RATS Discussion List" Subject: Quick question Date: Tue, 16 May 2000 05:51:08 -0400 (EDT) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Mime-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit X-Mailer: mail.com (via Mercury MTS (Bindery) v1.40) Could anyone explain below command? equation(identity) 1 Y # C D E * associate 1 # 1.0 1.0 Is this Y=C+D+E?? ----------------------------------------------- FREE! The World's Best Email Address @email.com Reserve your name now at http://www.email.com ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: Re: Quick question Date: Tue, 16 May 2000 09:23:50 -0500 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Estima MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Win32 (v3.11) (via Mercury MTS (Bindery) v1.40) > Could anyone explain below command? > > equation(identity) 1 Y > # C D E > * > associate 1 > # 1.0 1.0 > > Is this Y=C+D+E?? Actually, that's an error waiting to happen: associate 1 # 1.0 1.0 ## SC3. Expected 3 Entries on Supplementary Card, Got Only 2 With a third "1.0" on the supplementary card for the "E" term, then yes: equation(identity) 1 Y # C D E * associate 1 # 1.0 1.0 1.0 defines equation number 1 as: Y = C + D + E Sincerely, Tom Maycock Estima -- ------------------------------------------------------------ | Estima | Sales: (800) 822-8038 | | P.O. Box 1818 | (847) 864-8772 | | Evanston, IL 60204-1818 | Support: (847) 864-1910 | | USA | Fax: (847) 864-6221 | | http://www.estima.com | estima@estima.com | ------------------------------------------------------------ ---------- End of message ---------- From: "Ãֿϼö" To: "RATS Discussion List" Subject: generating a series following garch process Date: Thu, 18 May 2000 03:07:25 +0900 (KST) Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 Content-Type: text/plain X-Mailer: yamail 0.9 (via Mercury MTS (Bindery) v1.40) Is there anyone else who can tell me how i can generate a series which follows a predetermined GARCH process? I considered arch_sim.prg, but I can't apply it to garch model. W.S.Choi ---------- End of message ---------- From: Woo Kai Yin To: "RATS Discussion List" Subject: RE:cointegration model with GARCAh Date: Thu, 18 May 2000 01:38:34 +0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: Mozilla 3.01C-IMS (Win95; I) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Dear RATS users, May I request for RATS procedure to implmeent cointegration tests with GARCH, please? Many tnanks. regards, Kai-yin Woo Senior Lecturer, HOng KOng Shue Yan college, Hong KOng. ---------- End of message ---------- From: Woo Kai Yin To: "RATS Discussion List" Subject: RE:simulation of fractionally integrated series Date: Fri, 19 May 2000 16:47:38 +0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: Mozilla 3.01C-IMS (Win95; I) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii Content-Transfer-Encoding: 7bit Dear RATS users, May I request for RATS codes to simulate ARFIMA(p,d,q) series, please? Many thanks. regards, Kai-yin Woo Senior Lecturer, Hong KOng Shue Yan College, HOng KOng. ---------- End of message ---------- From: Ping Wang To: "RATS Discussion List" Subject: state space estimation Date: Sat, 20 May 2000 21:01:43 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Light Version 3.0.6 (32) (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" Dear RATS users, Who has a code to estimate an unobserved components model by state space model, the model like Clark (1987), Quarterlu Journal of Economics, p.797-814? Thank you very much in advance. Yours sincerely, Ping Wang ---------- End of message ---------- From: virginie traclet To: "RATS Discussion List" Subject: Date: Tue, 23 May 2000 13:01:06 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.0.2 (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" Dear RATS users, I'm relatively new in RATS and I want to make CUSUM and CUSUMsquare tests . My idea was to make a regression of a variable y with several explanatory variables . I begin with predicting in t-1 the value of y at time t, making this for all t, and calculate the difference between the value of y in t and its prediction made in t-1 (it's the t-th recursive residual , isn't it?) . But i then have problems for the formulation of the CUSUM statistics . If you have some insights about this problem or if you know if it exists a procedure for this (i haven't found any on Estima), could you help me ? thanks virginie ---------- End of message ---------- From: "Christopher F. Baum" To: "RATS Discussion List" Subject: Re: CUSUM, CUSUM2 stats Date: Tue, 23 May 2000 08:45:07 -0400 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: Mulberry/2.0.0 (MacOS) (via Mercury MTS (Bindery) v1.40) MIME-Version: 1.0 Content-Type: text/plain; charset=us-ascii; format=flowed Content-Transfer-Encoding: 7bit Virginie, It should be quite straightforward to adapt this Stata code for RATS. I am sure that Stata syntax is not obvious if you have not programmed in Stata, but just be aware that `x' refers to a scalar of that name (one does not declare them in Stata as one does in RATS; rather the 'local' statement indicates that you are working with a scalar). So in the code fragment (from cusum6.ado): qui regress `varlist' if `touse' , `constant' local T=e(N) local K=e(df_m) local i = `first' + `K' + 1 while (`i'<`last') { local j = `i' + 1 qui { reg `varlist' if `touse' in `first'/`i', `constan' predict `resid', resid predict `hat', hat replace `rr' = `resid'/sqrt(1+`hat') in `j' drop `resid' `hat' } local i = `j' } lab var `rr' "Recursive residuals" local first = `first' + `K'+2 qui replace `touse' = . if _n < `first' local in "in `first'/`last'" qui sum `rr' `if' `in' local TK = r(N) local vsd = r(sd) qui gen float `cs' = sum(`rr')/`vsd' `if' `in' lab var `cs' "CUSUM" qui{ gen float `cs2' = sum(`rr'*`rr') `if' `in' replace `cs2' = `cs2'/`cs2'[`last'] } lab var `cs2' "CUSUM squared" First one runs a regression over the whole sample (just to get the T and K); then for each observation, you run a regression including all obs. up to that obs., then predict the following obs. (as you noted in your post to RATS list, a one-period-ahead forecast). Them the CUSUM statistic is just given by the CUmulative SUM of that rr variable (the recursive resids), scaled by their standard deviation, and the CS2 variable is the running sum of the squared rr's scaled by their last obs. (so that the variable ranges from 0 to 1 over the sample). It should be quite straightforward to translate that almost line by line into RATS. Just note that the sum() function in Stata is the running sum (RATS accumulate, I recall). Best wishes Kit Baum Boston College Economics --On Monday, May 22, 2000 15:06 +0200 virginie traclet wrote: > Dear M. Baum, > I'm a PhD candidate in the university of Rennes 1 (France), and i'm > working on the stability of the link between instruments and objectives > in monetary policy . > For this, i'm using RATS but have problems in order to set a programm to > do CUSUM tests and other stability tests (QLR test, Nyblom's tests ...) . > I've seen You've written a "stata module to compute cusum and cusum? > stability test" on the site of Boston College Department of Economics and > wanted to ask You if You have an idea where I could find help to do > something like this with RATS (I 've tried to find it in Estima.com and in > the archives of its mailing list, but there's nothing) . > I wish to thank you in advance for your consideration, > > Respectfully , > > Virginie Traclet > > > ----------------------------------------------------------------- Kit Baum baum@bc.edu http://fmwww.bc.edu/ec-v/baum.fac.html ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: Re: Date: Tue, 23 May 2000 11:10:30 -0500 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Estima MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Win32 (v3.11) (via Mercury MTS (Bindery) v1.40) On 23 May 00, at 13:01, virginie traclet wrote: > Dear RATS users, > > I'm relatively new in RATS and I want to make CUSUM and CUSUMsquare tests . > My idea was to make a regression of a variable y with several explanatory > variables . I begin with predicting in t-1 the value of y at time t, making > this for all t, and calculate the difference between the value of y in t > and its prediction made in t-1 (it's the t-th recursive residual , isn't > it?) . But i then have problems for the formulation of the CUSUM > statistics . > If you have some insights about this problem or if you know if it exists a > procedure for this (i haven't found any on Estima), could you help me ? > > thanks > > virginie The procedure RECRESID (which is included with RATS) computes the series of recursive residuals. CUSUM and CUSUMSQ tests can be derived from these by accumulating the levels or squares of the recursive residuals. For example @recresid logconsump / rresid # constant logprice logincome stats(noprint) rresid compute %variance=%variance*(%nobs-1)/(%nobs-%nreg-1) set w = rresid/sqrt(%variance) acc w / bigW compute factor = .948*sqrt(%nobs-%nreg) set upper 1925:1 1941:1 = factor*$ (1+2.0*(t-1924:1)/(1941:1-1924:1)) set lower 1925:1 1941:1 = -upper graph 3 # bigW # upper / 2 # lower / 2 does a CUSUM test for a regression of logC on logP and logY over 1925:1 to 1941:1, graphing the results with the upper and lower limits. -- ------------------------------------------------------------ | Estima | Sales: (800) 822-8038 | | P.O. Box 1818 | (847) 864-8772 | | Evanston, IL 60204-1818 | Support: (847) 864-1910 | | USA | Fax: (847) 864-6221 | | http://www.estima.com | estima@estima.com | ------------------------------------------------------------ ---------- End of message ---------- From: virginie traclet To: "RATS Discussion List" Subject: Re: Date: Wed, 24 May 2000 11:15:19 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.0.2 (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="us-ascii" Thanks for your help : i have just modified the lines for the corridor between which the cusum statistics moves, because with your formules, i didn't get the cusum statistics nor the "cone" but strange oscillations . I give you my own programm (which is here for a simple regression of nominal GDP on its 5 lags and 5 lags of the adjusted monetary base, on the sample period 1970:1-1997:4) : with it, I have the good result . @recresid dlpibn / rresid #constant dlpibn{1 to 5} dlbasea{1 to 5} stats(noprint) rresid compute varres=%variance*(%nobs-1)/(%nobs-%nreg-1) set w = rresid/sqrt(varres) acc w / bigW compute factor = 0.948/sqrt(%nobs-%nreg) set upper 1974:2 1997:4 = factor*(2*t+%nobs-3*%nreg) set lower 1974:2 1997:4 = -upper graph 3 #bigW #upper #lower At 11:10 23/05/2000 -0500, you wrote: >On 23 May 00, at 13:01, virginie traclet wrote: > >> Dear RATS users, >> >> I'm relatively new in RATS and I want to make CUSUM and CUSUMsquare tests . >> My idea was to make a regression of a variable y with several explanatory >> variables . I begin with predicting in t-1 the value of y at time t, making >> this for all t, and calculate the difference between the value of y in t >> and its prediction made in t-1 (it's the t-th recursive residual , isn't >> it?) . But i then have problems for the formulation of the CUSUM >> statistics . >> If you have some insights about this problem or if you know if it exists a >> procedure for this (i haven't found any on Estima), could you help me ? >> >> thanks >> >> virginie > >The procedure RECRESID (which is included with RATS) computes the >series of recursive residuals. CUSUM and CUSUMSQ tests can be derived >from these by accumulating the levels or squares of the recursive >residuals. For example > > @recresid logconsump / rresid > # constant logprice logincome > stats(noprint) rresid > compute %variance=%variance*(%nobs-1)/(%nobs-%nreg-1) > set w = rresid/sqrt(%variance) > acc w / bigW > compute factor = .948*sqrt(%nobs-%nreg) > set upper 1925:1 1941:1 = factor*$ > (1+2.0*(t-1924:1)/(1941:1-1924:1)) > set lower 1925:1 1941:1 = -upper > graph 3 > # bigW > # upper / 2 > # lower / 2 > >does a CUSUM test for a regression of logC on logP and logY over >1925:1 to 1941:1, graphing the results with the upper and lower >limits. > > > > >-- >------------------------------------------------------------ >| Estima | Sales: (800) 822-8038 | >| P.O. Box 1818 | (847) 864-8772 | >| Evanston, IL 60204-1818 | Support: (847) 864-1910 | >| USA | Fax: (847) 864-6221 | >| http://www.estima.com | estima@estima.com | >------------------------------------------------------------ > ---------- End of message ---------- From: virginie traclet To: "RATS Discussion List" Subject: =?iso-8859-1?Q?CUSUM=B2_tests?= Date: Thu, 25 May 2000 12:28:13 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: X-Mailer: QUALCOMM Windows Eudora Pro Version 4.0.2 (via Mercury MTS (Bindery) v1.40) Mime-Version: 1.0 Content-Type: text/plain; charset="iso-8859-1" Content-Transfer-Encoding: quoted-printable Dear RATS users, After having problems with CUSUM test (for which you gave me instructions) i have a problem with CUSUM square test . My program is the one below : ************************************** calendar 1970 1 4 allocate 1997:4 open data h:s=E9ries.wks data(format=3Dwks, org=3Dobs) log pibn / lpibn log basea / lbasea set dlpibn =3D lpibn - lpibn{1} set dlbasea =3D lbasea - lbasea{1} source(noecho) c:\winrats\recresid.src @recresid dlpibn / rresid #constant dlpibn{1 to 5} dlbasea{1 to 5} stats(print) rresid set w =3D rresid*rresid print / w do time =3D 1974:3, 1997:4 accumulate w 1974:2 time St accumulate w 1974:2 1997:4 ST set S=3DSt/ST end do time ************************ Where S is the CUSUM square statistics I then become the following error message (after a long time during which my computer is running): ## M4. A memory request for an additional 837874757 bytes cannot be= satisfied The Error Occurred At Location 0145 What does it mean ? Thank you for your help,=20 virginie ---------- End of message ---------- From: "De Boeck, Jorn" To: "RATS Discussion List" Subject: SVAR.SRC Date: Thu, 25 May 2000 20:00:07 +0200 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Content-Transfer-Encoding: quoted-printable > For those who are familiar with the procedure SVAR.SRC: >=20 > I would like to estimate a VAR-model =E0 la Bernanke-Sims.=20 Assume that the A-matrix looks as follows: 1 0 0 a(21) 1 0 0 a(32) 0 In the procedure however, one has to input the "matrix of the explicit = form constraints" (sa) and the "matrix of the non-homogeneous part of = constraints on A" (da). I however don't understand what is meant by this (I'm new = to VARs). Could someone perhaps explain me how to calculate the sa and the = da matrix?=20 Thank you very much in advance. Yours sincerely, Jorn De Boeck ---------- End of message ---------- From: Yuen Phui Ling Hazel To: "RATS Discussion List" Subject: RE: IR combined graphing Date: Fri, 26 May 2000 12:25:40 +0800 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain; Hi everyone, Does someone know how to graph combined impulses responses of each variable in one single graph, for e.g. the impulse response of a variable to all the impulses in one graph? Thanks much. Nice day. Hazel -----Original Message----- From: Yuen Phui Ling Hazel Sent: Tuesday, May 02, 2000 7:37 PM To: 'RATS-L@EFS.MQ.EDU.AU' Subject: VMA Syntax Importance: High Does anyone know the VMA syntax and procedure in RATS, apart from the one posted on the web? Hazel fbap8383@nus.edu.sg University of Singapore ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: RE: IR combined graphing Date: Fri, 26 May 2000 09:35:30 -0500 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Estima MIME-Version: 1.0 Content-type: text/plain; charset=US-ASCII Content-transfer-encoding: 7BIT X-mailer: Pegasus Mail for Win32 (v3.11) (via Mercury MTS (Bindery) v1.40) On 26 May 00, at 12:25, Yuen Phui Ling Hazel wrote: > Hi everyone, > > Does someone know how to graph combined impulses responses of each variable > in one single graph, for e.g. the impulse response of a variable to all the > impulses in one graph? > > Thanks much. > > Nice day. > Hazel On page 8-15 of the RATS manual, the bottom loop organizes the graphs the way that you want. Tom Doan Estima -- ------------------------------------------------------------ | Estima | Sales: (800) 822-8038 | | P.O. Box 1818 | (847) 864-8772 | | Evanston, IL 60204-1818 | Support: (847) 864-1910 | | USA | Fax: (847) 864-6221 | | http://www.estima.com | estima@estima.com | ------------------------------------------------------------ ---------- End of message ---------- From: "Estima" To: "RATS Discussion List" Subject: =?ISO-8859-1?Q?Re:_CUSUM=B2_tests?= Date: Fri, 26 May 2000 10:34:22 -0500 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: Organization: Estima MIME-Version: 1.0 Content-type: text/plain; charset=ISO-8859-1 Content-transfer-encoding: Quoted-printable X-mailer: Pegasus Mail for Win32 (v3.11) (via Mercury MTS (Bindery) v1.40) On 25 May 00, at 12:28, virginie traclet wrote: > Dear RATS users, > > After having problems with CUSUM test (for which you gave me instruction= s) > i have a problem with CUSUM square test . > My program is the one below : > > ************************************** > calendar 1970 1 4 > allocate 1997:4 > open data h:s=E9ries.wks > data(format=3Dwks, org=3Dobs) > log pibn / lpibn > log basea / lbasea > set dlpibn =3D lpibn - lpibn{1} > set dlbasea =3D lbasea - lbasea{1} > > source(noecho) c:\winrats\recresid.src > > @recresid dlpibn / rresid > #constant dlpibn{1 to 5} dlbasea{1 to 5} > stats(print) rresid > set w =3D rresid*rresid > print / w > > do time =3D 1974:3, 1997:4 > accumulate w 1974:2 time St > accumulate w 1974:2 1997:4 ST > set S=3DSt/ST > end do time > ************************ > > Where S is the CUSUM square statistics > > I then become the following error message (after a long time during whic= h > my computer is running): > > ## M4. A memory request for an additional 837874757 bytes cannot be sati= sfied > The Error Occurred At Location 0145 > > What does it mean ? > > > Thank you for your help, > > virginie There are a number of problems with this, not least of which is that RATS is case-insensitive, so St and ST are the same. The CUSUMSQ statistics are actually quite simple to compute with RATS because the ACCUMULATE instruction has a SCALE option which scales an accumulated sum by the final value. The following will do the trick: set w =3D rresid*rresid acc(scale) w 1974:2 1997:4 s S is now the sequence of CUSUMSQ statistics. Tom Doan Estima -- ------------------------------------------------------------ | Estima | Sales: (800) 822-8038 | | P.O. Box 1818 | (847) 864-8772 | | Evanston, IL 60204-1818 | Support: (847) 864-1910 | | USA | Fax: (847) 864-6221 | | http://www.estima.com | estima@estima.com | ------------------------------------------------------------ ---------- End of message ---------- From: "Iacoviello,M (pg)" To: "RATS Discussion List" Subject: threshold VAR Date: Wed, 31 May 2000 14:52:09 +0100 Errors-to: Reply-to: "RATS Discussion List" Sender: Maiser@efs01.efs.mq.edu.au X-listname: MIME-Version: 1.0 X-Mailer: Internet Mail Service (5.5.2650.21) (via Mercury MTS (Bindery) v1.40) Content-Type: text/plain Dear all, has anybody written a procedure to estimate a threshold vector autoregression model (TVAR), or anything close enough? Many thanks in advance Matteo Iacoviello ---------- End of message ----------