The RATS Software Forum

I completely agree with you Tom. How can we do variance decomposition in this model?

I want to do 2 more things in the context of this model. I have been asked to find confidence bands for the impulse responses and variance decomposition for the model. Could you please help me with this? Thanks in advance!

1. I am using the RATS program montenearsvar.rpf to generate impulse responses for my VARX model. I want to generate impulse responses due to 1% shock in each variable. How can I do that within the program? 2. I want to generate the FEVD's for the same model. For that I can use the errors instructio...

Is there an example program that you can help me with which does Panel VARX kind of estimations using shrinkage priors or any other method? Thanks in advance!

Can we do VARX kind of estimation in the same set up where some variables are treated as exogenous variables? Please help.

Dear Tom, I am getting sensible results for the current model using MH. I ran the program, that is SVAR with Whishart prior (attached in my previous thread), on a monthly dataset of 20 years. Again the results show weird impulse responses especially for the variables appearing later in the model. He...

Thanks very much for the reply!

Dear Tom,

Thanks very much for the reply. Now after fixing the program as suggested by you (please see attached), I am getting the results. However, some of the impulse responses are looking very weird. There are possibly more errors which I am not able to see. Can you please help me with that?

TG

Hi, I want to use a Bayesian SVAR model with normal wishart prior. I try to bring in %%responses as I want to use the @mcprocessirf procedure. However, I get the following error message when I run the attached program: ## MAT2. Matrices with Dimensions 16 x 5 and 10 x 5 Involved in + Operation The E...

I will like to include and label only some selected countries. Will that be possible?

Thanks for your reply! The instruction "key=attached" will provide labels for all the countries in the sample. That will indeed make the graph messy. If I am interested in responses of few selected countries, will it be possible to do that within the
program.

Is there a way to label the impulse responses of some selected set of countries of interest in the same program? Thanks!

If I remove Syria from the dataset such as there were not enough data points. Now the number of countries are 78, the VAR is estimated but with the the following error message "## M1. number = 78 is Illegal. Value should be between 1 and 20 . The Error Occurred At Location 107, Line 3 of loop/b...

I am attaching the file and the data. The data has been transformed into balanced panel using pform. Now I want to estimate to impulse responses of output due to a shock in gap in a panel of 79 countries. However, I am getting the following error message and not sure how to fix the problem. "##...

Hi, I have two questions regarding the same model. First, I want to generate confidence bands for the impulse responses for the SVAR model and attached is the program for Monte Carlo integration. Factor matrix "g" is generated through the cvmodel. Is the insertion of the factor matrix &quo...