The RATS Software Forum

Dear Tom, Thank you very much for your reply! Ok, I see. Regarding the endogenous issue with "d2*exchr", I hope there will be solutions using Rats program implementing the ideas in the second last line of "step 4" part in p. 236 and endnote 2 in p. 238 from the Book Applied econo...

Hi Tom, There is a minor error in the code bootstraptest.rpf. There is something missing in the following: "system eqsample variables resample lags 1 to lags det constant end(system)" "d2exchr{1 to lags}" should be added in line 4 after "constant". Otherwise, the two sy...

Hi, Tom! Thank you so much for your help! I really appreciate that! The code runs and stops until it gives the structural parameter estimates. Because I use RATs v 7.2 in which there is no smoothing option for density instruction. Then I had to delete “smoothing=1.5”. It can give the result “Bootstr...

Hi, Tom! I tried editing the code to bootstrap the VAR. My original idea is to bootstrap the VAR 1000 times, in every draw I estimate the SVAR model and collect the computed Chi-squared(7) values and store in something like dim %%responses(draw)(nvar*nshocks,NSTEPS) ewise %%responses(draw)(i,j)=ix=%...

Hi there! I have one question with regard to the small sample critical values for the OIR restriction test in the SVAR model. I use Rats v 7.2. I estimated a SVAR model and obtained a group of most sensible estimates. However, the results cannot pass the Overidentifying restrictions test. I think ma...

Hi Tom, Thank you very much for your suggestion! I really appreciate that! I have two further questions. First, in your comment, it seems hopeless to produce the responses to unit shocks for the overidentified SVAR model. Is there any other way to do this in Rats? Second, I don't know whether the ro...

Hi Tom! Thank you very much for your suggestions! I know the degrees of freedom would be a concern if I use 6 lags, but my supervisor prefer using more lags so that there are more dynamics in the irfs shown. So I have no choice on this issue. Regarding pegging every single parameter, you might remem...

Hi there! I have two questions with regard to the plotting of impulse response functions. The first question is how to limit the range of vertical scales in all the graph for computed impulse response functions. For the horizontal scale, I could reduce the # of steps shown for the impulse responses ...

Hi Tom! Yes, I know the model hasn't been properly identified. I'm still in the process of experimenting some variation in the non-recursive identification restrictions to see if ms shock, md shock, and e/r shock can be identified. At this stage, I need to obtain correct coefficient estimates (with ...

Hi there! I found that sometimes different coefficient estimates are obtained when using cvmodel instruction to estimate the non-recursive SVAR. The situation is most troublesome particularly when I want to obtain the standard errors for those coefficient estimates which were obtained early by doing...

Hi Tom, Thank you so much for your help! I also tried horizontal concatenation with the following code before I looked at your answer: ewise %%responses(draw)(i,j)=ix=%vec(%xsubmat(%xt(acumirf,j),1,nvar,3,3)~%xsubmat(%xt(acumirf,j),1,nvar,6,7)),ix(i) It works. In addition, I'm confused about the mea...

Hi, Tom! Thank you very much for your quick reply! I really appreciate that! The solution works if I want to graph the two columns which are consecutive in the order. But what is needed is to stack the responses to the 3rd, 6th, and 7th shocks only in one graph without adding responses to other shoc...

Hello, I want to graph the impulse response functions to selected shocks. But I find even the revised procedure @mcgraphirf doesn't offer such choice unless I choose "byshock" in the page option and stack the several columns of produced graphs in the word file, which seems awkward. Can you...