The RATS Software Forum

Hey Tom, I have used RWZ approach to identify a VAR model using sign restrictions. However, I am confused regrading the interpretation of the impulse responses. The impulse responses are scaled to have unit variances . Do I need to re-scale them in terms of standard deviations as advised in programm...

Hey Tom, Actually, I get median impulse responses to be close to zero (almost flat) and very wide error bands for shocks identified using zero restrictions. Does this mean that this identification scheme of combining two strategies does not work? Incidentally, Dungey/Fry (2009) , Bjørnland/Halvorsen...

Hey Tom, Thanks for all the help. I have altered the code as per your suggestions. But the issue still persists. 2. When I construct impulse responses in the end using MCGRAPHIRF, I get reasonable IRFs for 5,6,7 shocks however other shocks remain close to zero? Can't understand why it is happening? ...

Hey Tom, Thank you for clarifying my doubts. I have managed to code the above problem (hopefully). I have a few questions about the code (see the attached file): 1. I want to identify shock 5,6,7 through sign restrictions and rest through standard short-run restrictions, accordingly I have set up a ...

Thanks Tom. The proposed identification is much clearer to me now :). I'll start coding it, and post it once the entire code is ready. But a few more questions pop-up in my mind while visualizing such an identification: 1. The identification would always have sign restrictions first and short-run re...

Hey Tom, Thank you so much for the prompt reply. :D AmateurRatsUser wrote:Hey Tom, Q1 : Say I estimate a standard SVAR using contemporaneous restrictions (just identified model). However I want to identify just two shocks based on sign restrictions (tax and expenditure) like in Dungey and Fry (2011)...

Hey Tom, I have been trying to calculate impulse responses of a 7 variable system with sign restrictions. I am really confused regarding how to proceed forward with the estimation. Q1 : Say I estimate a standard SVAR using contemporaneous restrictions (just identified model). However I want to ident...