The RATS Software Forum

Dear Tom, I am currently studying the FO-Paper while looking at your replication code. The paper is a bit brief on some technical details. On p. 8 (https://research.stlouisfed.org/wp/2003/2003-001.pdf) they are saying that they have used uninformative priors for their normal-inversion Wishart poster...

Thank you very much.

I fact I am using a factor model, but in order to initialize the Gibbs sampling algorithm I wanted use the covariance matrix of the full model. But I think I have to change the setup a bit. Thanks again.

Dear Tom,

Thank you very much for the quick reply.

Actually I have 103 data points for each variable included in the VAR. So, I guess this should be enough? Do you have an idea what else could be going wrong?

Best wishes
Trebor

Dear Tom, I have a problem with the CVOUT option of the ESTIMATE instruction. I am trying to estimate a large VAR (including over 50 variables) and for further calculations I need to compute the inverse of the symmetric covariance matrix of the residuals that I get by using the CVOUT option. When I ...

Dear Tom, I have a very simple question: which coefficient in the replication results corresponds to the H_1,1 coefficient on oil volatility in the paper? BVEC(1)(1)? The coefficient in the paper is -0.022** and it is significant. Thank you very much for any help. Replication results: MAXIMIZE - Est...