RATS 5.0 Manual Errata

Version 5.0 Manual Errata
A few typos found their way into the heavily revamped Version 5 RATS manuals. We’d like to note a couple of important corrections here. Please note that some of these corrections are already included in the PDF files distributed with RATS beginning with the release of Version 5.01 for Windows, DOS, Mac and UNIX.

  • Blanchard–Quah Examples
    The BQ decomposition examples on pages 296-7 in the User’s Guide are missing a transpose function. Rather than:

    compute bqfactor=%varlagsums*%decomp(%mqform(%sigma,inv(%varlagsums)))

    the code on page 296 should read:

    compute bqfactor=%varlagsums*%decomp(%mqform(%sigma,tr(inv(%varlagsums))))
  • Multivariate AIC and BIC Formulas
    The formulas for the Akaike and Bayesian Information Criteria shown on page 289 (and in the VARLAG.PRG example file), are incorrect—the first term should be –1.0, rather than –0.5. If you prefer, you can also write the formulas such that the favored model is indicated by the minimum value, rather than the maximum value, as shown below:
    compute bic = $%nobs*%logdet + 5*(5*lags+1)*log(%nobs)
    compute aic = %nobs*%logdet + 5*(5*lags+1)*2
  • Fat Tails for GARCH
    The sample likelihood function on page 352 of the User’s Guide is missing a parenthesis. It should read:
    frml logl = (h(t)=hf(t)),(u(t)=resid(t)), $ log(%tdensity(u/sqrt(h),vd))-.5*log(h)
  • Hamilton Switching Model
    The HAMILTON.PRG example program should include a preliminary MAXIMIZE instruction using several iterations of SIMPLEX before switching to the BFGS estimation. See the updated Hamilton example discussed elsewhere on this page for an even better solution.
  • %STDERRS Reserved Variable
    Page 198 of the Reference Manual incorrectly identifies the variable holding the standard errors of the coefficients as %STDERRORS. The correct name is %STDERRS.
  • NOSPREAD Is Default for PSTATS
    The default setting for the SPREAD option on the PSTATS instruction is not specified on page 272 of the Reference Manual. The default is NOSPREAD.