[R-sig-finance] VAR, VECM, Kalman, ... non-R software recomme ndations?

[Pfaff, Bernhard]

Hello to all and in particular to Dirk and Patrick,

stepping in a little bit late into this thread, I am just wondering why
nobody has mentioned GAUSS so far???

As far as RATS is concerned, Dirk you want to have a look at:

http://www.estima.com/catsinfo.shtml

I worked with the early versions of CATS in the mid/end nineties. It was a
**must have** at that time for conducting VECM.

Cheers,
Bernhard 


> 
> 
> Patrick,
> 
> Thanks for yet another very helpful post in this thread!
> 
> On Fri, Aug 20, 2004 at 03:29:24PM -0500, Patrick Brandt wrote:
> > I've been a RATS user for about 6 years (*NIX and Windows) 
> and a Stata 
> > user for 10.   RATS is a great package for doing all of the 
> standard 
> > econometric time series, esp VARs and VECMs.  The good 
> thing is that it
> 
> Yes, I used it a for little bit a long time ago.
> 
> > includes pre-packaged routines for doing impulse responses, 
> > forecasting, and decompositions.  It is my favorite for 
> time series, 
> > because it is one of the few packages that does not strive to do 
> > everything -- it works to do time series well.
> 
> That seems to be a consensus view.
> 
> > For basic multivariate time series modelling, RATS and 
> Stata can do the 
> > job well.  I have my quibbles with both (such as Stata not having a 
> > well defined set of time series "objects" or methods that really 
> > understand how to work with ts data) and RATS "unique" 
> syntax.  Both 
> > will allow you to do the standard VAR and VECM models in 
> Hamilton or 
> > Johansen.
> > 
> > That said, programming in RATS is not for the faint at 
> heart.  Using 
> > the standard routines works well, but once you start doing 
> more exotic 
> > things (complex, high dimensional SVARs come to mind), or posterior 
> > simulations for Bayesian VARs (BVARs), things get more 
> complicated (in 
> > part because the RATS syntax has a combination of old 
> fashioned Fortran 
> > and C declarations).  My guess is that while these can all 
> be done in 
> > RATS with some degree of effort, the effort necessary to do them in 
> > Stata will be monumental.  I find that whenever I work in 
> RATS I have 
> > to have a set of manuals nearby.
> > 
> > For these reasons (and as part of a larger project to model 
> > international conflict data and political economy data), I 
> have started 
> > on an R package that will estimate VARs, Bayesian VARs, and 
> > Markov-switching BVARs.  This is being done in R for the obvious 
> > reasons: 1) it is free / open source, 2) R is gaining wider 
> use in the 
> > social sciences, 3) I can write the computationally 
> intensive functions 
> > for the BVARs and MS-BVARs in C++ and make them very fast, 
> and 4) the 
> > object, scope and method aspects of R lend themselves more 
> easily to 
> > programming these models.
> 
> That sounds very intriguing too, and would complement the 
> kalman filter code
> in R's base, as well as Bernhard's urca package.  
> 
> Any expected timelines?
> 
> > At present, few if any of these VAR / SVAR extensions are 
> present in 
> > Stata (even with the new VAR routines they have added, one cannot 
> > estimate the BVAR models, or any error bands for the impulse 
> > responses).  RATS has the capacity to offer all of these methods.
> > 
> > Another option is Ox, which is open for academic use, and a 
> reasonable 
> > fee for non-academic use: 
http://www.nuff.ox.ac.uk/Users/Doornik/  Ox

Yes, I also looked at Ox, back when it came out and every now and then
afterwards. I find its licensing to be the most annoying -- free for you but
not for me. Weird hybrid.  That said, a possible contender in this too.

> can estimate VAR and VECM models, with many specialized addons.  Also, 
> the Ox syntax is remarkably similar to C++.  There is a package for Ox 
> that will do most of the state-space modeling outlined in Durbin and 
> Koopman as well.

>From what Koopman said, it is actually the same codebase he contributed to
Ox, gave to Brian Ripley for R around release 1.5.0.  Zivot and Wang credit
it explicitly in the Finmetrics book.

Regards, Dirk 

-- 
Those are my principles, and if you don't like them... well, I have others.
                                                -- Groucho Marx

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