The RATS Software Forum

Hi Tom! Thank you very much for your reply. I made the estimations based on your answer but I have one doubt. The impulse response of output for a monetary policy shock is not diferente from zero according to the confidence bands for most of the period considered (20 quarters). In this case, should ...

Hi, I intend to estimate a 3 variable SVAR in order to compute a sacrifice ratio. I already did this for 2 variables using the Blanchard-Quah decomposition and was fairly simple. But I don´t know how to do this calculations for a 3 variable SVAR (output, inflation and a real interest rate) becouse t...

Hi! I calculated confidence intervals for impulse responses using the montevar procedure, but how does one knows what is the confidence coefficient asociated to those calculations? If I would like to obtain 95% or 90% confidence intervals how could I change the procedure to do that? Thanks in advance!

Hi Tom. Thank you very much for your reply. I run the program you posted but it seems to be an error when calculating the Blanchard-Quah decomposition. This the error I get: compute bqfactor=%bqfactor(%sigma,%varlagsums) compute bqfactor=%dmult(bqfactor,$ ## SX11. Identifier %DMULT is Not Recognizab...

Hi, I am trying to estimate a sacrifice ratio like in Cechetti and Rich (2001): Structural Estimates of the US Sacrifice Ratio. I'am using a SVAR with two variables, inflation and output (both in first differences). The VAR is estimated using the SYSTEM instruction and the errors are decomposed in t...