The RATS Software Forum

Many thanks Tom, it works quite well. The shape of the IRF is similar to the graph of the lag distribution that one gets when doing the polynomial division (β(L)/α(L), where β(L) and α(L) are, respectively, the distributed lag and autoregressive polynomials. The advantage of the IRF is that one now ...

Hi Tom, I have a question that is somewhat related to the above. I have constructed an ARDL model, examining pass-through from the central bank policy interest rate to market rates. What I now want to do is to use the coefficients to simulate say, the dynamic effect of a reduction in the central ban...

Dear Tom,

Thanks so much for this...as someone new to RATS/CATS, it will prove enormously beneficial.

Best wishes,
Gary.

Hi Tom and the rest of the Estima team, Many thanks for all your help with regards to below. It turned out that I was only looking at the results from the last trip through the loop, instead of summing and dividing by the number of draws to get the mean results. Thanks once again for pointing that o...

Hi Tom, I have a question that I hope you may be able to help me with about the above procedure. I am using it to conduct scenario analyses of a VAR I have already estimated. I have imposed two restrictions, whereby one of my variables (rgdp) is set to contract by 3.0 percent in 2009, and in 2010 I ...

Hi Tom,

Many thanks, much appreciated. The procedure seems to work all right - the impulse responses of the foreign variables are fairly flat around zero as far as domestic shocks are concerned.

Best wishes,

Gary.

Hi there, I have a similar question to Rangan's below. I am running a 5 variable BVAR with 3 foreign and 2 domestic variables. I am treating the foreign variables as block exogenous, but not imposing exogeneity directly using the near-VAR approach. Instead, I want to shrink the parameters on the dom...