From: goux@univ-lyon2.fr
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: invitation
Date: Fri, 10 May 1996 11:54:58 +0200 (MET DST)
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
Mime-Version: 1.0
Content-Type: text/plain; charset="us-ascii"
X-Mailer: Mercury MTS v1.21

Hi,
I would be very glad to invite an econometrician, specialist in RATS + money
and finance, one or two months, during the next academic year 1996-1997. The
wage could be of 15000-20000 french francs per month.
Lectures : 16 hours / month
Please could you send me a response as quick as possible with a CV.

Jean-Francois GOUX
University of LYON 2
Department "Monnaie-Finance-Banque"
16 quai claude Bernard
69365 Lyon Cedex 7
France



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

From: lmahens@vnet3.vub.ac.be (Luc M.A. Hens)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Durbin-Watson test P-values
Date: Wed, 15 May 1996 17:34:51 +0200
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
Mime-Version: 1.0
Content-Type: text/plain; charset="us-ascii"
X-Mailer: Mercury MTS v1.21

Dear members of the list,

Is there a way in RATS to avoid the Durbin-Watson ***bounds*** test and get
P-values for the Durbin-Watson statistic instead (like in SHAZAM)?

Thanks in advance!

Luc Hens

=============================================
Luc M.A. Hens
assistant professor of economics
Vesalius College, Vrije Universiteit Brussel
Pleinlaan 2, B-1050 Brussels Belgium
phone +32-2-629 20 61     fax +32-2-629 20 60
e-mail lmahens@vnet3.vub.ac.be
=============================================



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

From: nikolaus@pc126.isdn.uni-konstanz.de (Nikolaus K.A. Laeufer)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: WIN-RATS and WABI
Date: Fri, 17 May 1996 10:04:53 +0200
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
X-Mailer: Z-Mail (3.2.1 10apr95) (via Mercury MTS v1.21)
Mime-Version: 1.0
Content-Type: text/plain; charset=us-ascii

Dear Rats-People,
Has anyone of you tried to run the Windows-Version of Rats (WIN-RATS 16
bit-Version) using the WABI-Interface of Solaris 2.4 (e.g. on a
sun-sparcstation 10)?
Does it work or not? I would appreciate your response.
Thanks
Nikolaus

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

From: "L.Saldanha" <lsa@glasgow-caledonian.ac.uk>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: WIN-RATS and WABI
Date: Fri, 17 May 96 09:49:20 BST
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
X-Mailer: Mercury MTS v1.21

Dear Nikolaus,
I am sorry , I have not used this version.
Bye
L. Saldanha.

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

From: "Christopher F. Doffing" <c-doffing@uchicago.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: MLE of Kalman Filter Hyperparameters in RATS 4.01
Date: Wed, 22 May 1996 11:14:19 -0500
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
X-Mailer: Windows Eudora Version 1.4.4 (via Mercury MTS v1.21)
Mime-Version: 1.0
Content-Type: text/plain; charset="us-ascii"

I've got this set of frml's to do maximum likelihood estimation of the
hyperparameters of a simple random-coefficient Kalman Filter model.  I've
done this same problem in Excel, so I know it can be done.  However, since
the frml's depend on the value of a frml not specified until later in the
structure, RATS can't handle it.  For instance, "frml x10 = x1", but "frml
x1 = x10 + kg * v1" doesn't come until later; they're "circular" in that
way. So RATS gives me an error saying:

## SX11. Identifier X1 is Not Recognizable. Incorrect Option Field or
Parameter Order?
>>>>frml x10 = x1<<<<

I can't figure out how to "get into the loop" here.  (BTW, I need to keep
the frml's in this general structure so that they can be added to later for
the cases with exogenous variables and a transition matrix.)  Can anyone
help with this?

        all 0 121
        open data d:\download\kalman\test.rat
        * "test.rat" is a one-column observation set of length 121.
        data(format=rats)

        nonlin s2 qq
        eval s2 = 0.08     * setting my initial values for these
hyperparameters.
        eval qq = 0.04
        smpl 2 121
        frml x10 = x1
        frml v1 = yt - x10
        frml P10 = P1 + qq
        frml f1 = P10 + s2
        frml kg = P10 / f1
        frml P1 = (1 - kg) * P10
        frml x1 = x10 + kg * v1
        frml likely = -log(f1) - (v1**2)/f1
        maximize(method=bhhh,trace,iterations=100) likely


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

From: "Christopher F. Doffing" <c-doffing@uchicago.edu>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: MLE of Kalman Filter Hyperparameters in RATS 4.01
Date: Wed, 22 May 1996 11:24:41 -0500
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
X-Mailer: Windows Eudora Version 1.4.4 (via Mercury MTS v1.21)
Mime-Version: 1.0
Content-Type: text/plain; charset="us-ascii"

I've got this set of frml's to do maximum likelihood estimation of the
hyperparameters of a simple random-coefficient Kalman Filter model.  I've
done this same problem in Excel, so I know it can be done.  However, since
the frml's depend on the value of a frml not specified until later in the
structure, RATS can't handle it.  For instance, "frml x10 = x1", but "frml
x1 = x10 + kg * v1" doesn't come until later; they're "circular" in that
way. So RATS gives me an error saying:

## SX11. Identifier X1 is Not Recognizable. Incorrect Option Field or
Parameter Order?
>>>>frml x10 = x1<<<<

I can't figure out how to "get into the loop" here.  (BTW, I need to keep
the frml's in this general structure so that they can be added to later for
the cases with exogenous variables and a transition matrix.)  Can anyone
help with this?

        all 0 121
        open data d:\download\kalman\test.rat
        * "test.rat" is a one-column observation set of length 121.
        data(format=rats)

        nonlin s2 qq
        eval s2 = 0.08     * setting my initial values for these
hyperparameters.
        eval qq = 0.04
        smpl 2 121
        frml x10 = x1
        frml v1 = yt - x10
        frml P10 = P1 + qq
        frml f1 = P10 + s2
        frml kg = P10 / f1
        frml P1 = (1 - kg) * P10
        frml x1 = x10 + kg * v1
        frml likely = -log(f1) - (v1**2)/f1
        maximize(method=bhhh,trace,iterations=100) likely


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

From: "Ward, Bert D" <WARDB@kea.lincoln.ac.nz>
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Quasi-MLE
Date: Wed, 29 May 1996 14:10:25 +1200
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
Organization: Lincoln University
X-Mailer: Pegasus Mail v3.31 (via Mercury MTS v1.21)
Content-transfer-encoding: 7BIT

If anyone has coded a RATS procedure for computing the robust standard
errors for the parameters of a an ARCH model as discussed in pages
663-664 of Hamilton(1994), I'd be most grateful if they would contact
me.  Thanks very much.


Kind regards,

Bert D. Ward
Senior Lecturer in Economics
Dept. of Economics & Marketing
PO Box 84
Lincoln University
Canterbury
NEW ZEALAND

Telephone (64)(3) 325 2811 extn 8261
FAX (64)(3) 325 3847


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

From: dwatt@bank-banque-canada.ca (David Watt)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Gamma function for Rats
Date: Thu, 30 May 1996 09:07:31 -0400
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
X-Mailer: Mercury MTS v1.21


Hello

Does anyone know of a gamma function for RATS? I am trying to do some work with a
t-distribution but have been held up finding a gamma function. I am currently using Version
4.0 on a Unix Workstation under Solaris. Any suggestions would be greatly appreciated.

David Watt
Bank of Canada.
dwatt@bank-banque-canada.ca

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

From: nikolaus@pc126.isdn.uni-konstanz.de (Nikolaus K.A. Laeufer)
To: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Subject: Re: Gamma function for Rats
Date: Fri, 31 May 1996 11:12:14 +0200
Errors-to: <rats-l-owner@efs.mq.edu.au>
Reply-to: "RATS Discussion List" <RATS-L@efs.mq.edu.au>
Sender: Maiser@efs1.efs.mq.edu.au
X-listname: <RATS-L@efs1.efs.mq.edu.au>
X-Mailer: Z-Mail (3.2.1 10apr95) (via Mercury MTS v1.21)
Mime-Version: 1.0
Content-Type: text/plain; charset=us-ascii


Hello David Watt,
I am sorry that I cannot help you with the gamma function.
However, I find it very interesting to discover in you someone who uses the
same system as I (Unix worksation under Solaris). I have been interested in
installing RATS on this system (Sparcstation 10) and have shied away from doing
so using the Unix-Version of RATS. Instead I have been phantasizing about using
the RATS Windows version under WABI. Unfortunately I could not find anyone who
is able to tell me whether that would work at all. Even ESTIMA could not help
me. So I have returned to the idea of using the Unix version.
It would greatly help me in my decision to purchase the unix version of RATS if
you could tell me shortly how you handle RATS graphics display unter Unix. (I
do know the respective 'description' of ESTIMA in its adds but it was exactly
that description which turned me off.)
In case you have any further related experience that you consider worthwhile to
communicate I would highly appreciate to obtain it. Since I have RATS installed
on a Pentium PC I need good reasons for buying the UNIX version as an
additional version of RATS.
Thank you for reading this long message.
I look forward to your response.
Nikolaus




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