The RATS Software Forum

Using sign restrictions generally, yes. Once one shock is chosen, the other is forced by orthogonality. Thank you, Tom. After I find the shock from the penalty function, how to construct the impulse responses of the orthogonal shock (bivariate VAR case). Should I change this line of code (ewise goo...

The G's are the basis weights on the subspace that's orthogonal to the previously chosen impulse vectors. The first has NVAR-1 free parameters (one degree of freedom being lost because the length has to be one), the second has NVAR-2 etc. Dear Tom, Only one shock with sign restrictions in a 2-varia...

Dear Tom, I want to impose sign restrictions 'UhligPenalty' on two shocks simultaneously in the 2-variable VAR model. [y1_t,y2_t]'=A*[y1_{t-1},y2_{t-1}]'+[error1, erro2]’, where [error1, erro2]’ = [c11 c12; c21 c22]*[orthogonal_shock1, orthogonal_shock2]'. I am reading the code replicating Mountford...

Dear Tom, I am applying sign restrictions on a 2-variable VAR. [y1_t,y2_t]'=A*[y1_{t-1},y2_{t-1}]'+[error1, erro2]’, where [error1, erro2]’ = [c11 c12; c21 c22]*[orthogonal_shock1, orthogonal_shock2]'. The restriction is on the contemporaneous impact. I would like to use Uhlig’s penalty function app...

Thanks a lot.
When I do ERRORS(model=mymodel+xdef, STEPS=10), it seems the variance decomposition result of y1 and y2 are changed. They are not the same as the result from ERRORS(model=mymodel, STEPS=10). Why?

Hi, I am working on variance decomposition of a simple triangular VAR with 1 lag. [y1_t,y2_t]'=A*[y1_{t-1},y2_{t-1}]'+[error1, erro2]'. I know how to do the standard variance decomposition. But what I am interested in is a variable x_t = y2_t - y1_t + y1_{t-1} How to do the variance decomposition of...

Hi, Can you tell us how to change one SD shock to 1% shock in a Cholesky IRF? For choleksy irf, I use impulse(model=VAR1, result=impuless,decomp=%decomp(%sigma),steps=20) . Then I will get one SD shock cholesky irf. Depending on the order of the VAR, a shock on the first variable will affect the oth...

Thank you. That is what I want to do initially: I manually calculated the error correction term and put it into SUR. But I am worried that in gibbs sampling, it will be treated as independent variables. It is actually correlated with other inputs. Could I build a SUR notifying the relation between R...

Which types of restrictions and at what point in the analysis? CATS is designed to do VECM's with restrictions. I would like to impose the non-significant coefficients in VECM to be zero. Is there a way to do it in RATs? For example, *step 1 run VECM EQUATION(COEFFS=||1||,NOCONSTANT) RISKPRE S # FV...

Thanks a lot.
Could I impose coefficient restrictions on VECM? Is there a command on doing that?

Hi, I am working on a VECM and use Gibbs sampling to construct the confidence interval for the coefficients. Firstly, I run the VECM. Then I identify non-significant coefficients. In the second step, I restrict the non-significant coefficients to be 0. So the VECM model becomes SUR. Afterwards, I ru...

Hi I am trying to write a procedure, but it doesn't work out well. If I put the code directly into the program it works fine, it doesn't work as a SRC file. I never write a procedure before. I think there is something I missed at the beginning. I don't know how to use 'local' or 'option'. Are those ...