The RATS Software Forum

Thanks a lot.
You explain so clearly.

Thanks a lot, Tom. you confirm my understanding and puzzle about that paper. I shall use near-VAR. I just read Peersman 2004 OBES, but it is a little different from a model in my mind, such that say, variables x, y ,z, i want to identify three shocks or innovations e1 e2 e3. my restrictions are: e2 ...

another question?
if I use new-VAR, can we perform the similar structure decomposition as SVAR?
How to realize it in RATS?
Thanks a lot!

right, that problem puzzles me a lot.
I do not know how it is realized in that paper, and i guessed it may use near-VAR, but the author does not mention it at all.
If you have time, could you see that paper. I just make sure my understanding is right.

Thanks, Tom. I got this solution too. But Can this restriction make sure all past and current non-fundamental shock e3 have no impact on x and y? I will try to do it on real data shortly and see the result. It sounds as if this is a combination of short and long-run restrictions with the long-run re...

Is the non-fundamental shock equivalent to short-run restriction?
But I cannot see this equivalence and convince myself?

I saw this structure in Lee (1998) JFQA paper.“Permanent, Temporary, and Nonfundamental Components of Stock Prices,” In his three-variable (say x, y ,z) var model, he specifies three shocks e1, e2, and e3. e1 he calls permanent shock, e2- transitory shock, and e3- non-fundamental shock. Three restri...