The RATS Software Forum

Thanks Tom!

Hello, I used montesvar.rpf procedure to estimate an overidentified SVAR (nvar=7 and nfree=20). I was wondering if it is possible to obtain the likelihood ratio test for the overidentified restrictions from the procedure. In fact, when using DMATRIX=MARGINALIZED, as in montesvar.rpf, we do not obtai...

The matrix changing is the "swish" which, according to my understanding, is the var-cov matrix of the SVAR. I will try with MONTESVAR procedure. Thanks !

After all the suggested modifications, the procedure MONTEZHA.PRC works fine with 7 variables. Nevertheless, each time that I run the same code with the same data the covariance matrix change, and so do the responses function and forecast error. I am not sure if that is ok or there are a problem. I ...

Thanks a lot Tom! I am working on that!

I am using the procedure MONTEZHA.PRC which shows how to implement Zha's procedure for overidentified BVAR. I work with a 7 variables model and, after some modifications, it works well, the problem is that I cannot compute variance decomposition in typical way (known by me). When I add the following...