The RATS Software Forum

Hi, Tom,

Sorry I am a little new to RATS.
Could you give the codes that produce the estimation results for the corresponding SVAR model (estimator, standard deviation, T, p-value)?

Thanks,

Miao

How could we see the estimation results for the corresponding SVAR model without GARCH? Thanks,
Miao

Hi Tom, In March 2013 I asked about the correct expansion of the model. However I think this could be wrong. I feel that this is the correct expansion of the model: BVEC(1)(*)'s correspond to the oil equation, while B(2)(*) correspond to the GDP equation, and y1=Oil price change y2=GDP growth y1(t)=...

Thanks for your reply, Tom. How could the program be modified so that it produces the whole series of the residuals and the series are available in View --> Series Window --> VX? Sorry that I am a new to RATS, and the only related line I find in the program is frml garchmlogl = hhv=SVARHVMatrix(t),s...

Thanks. In the RATS program of Elder (2010) , should we test on the pair (U(1) , U(2))?

Hi Tom, Thanks very much for your reply. Could we use this multivariate Q statistic to test the autocorrelation among the residuals in the GARCH-in-mean VAR (Elder 2010) with degree of freedom = k^2(h-p)=2^2(h-p), where p is the lag of the VAR structure of the model? In practice, do people just look...

Hi Tom, When testing autocorrelation of the residual via Portmanteau test, there seem to be two choices for the degree of freedom: k^2*h for a general model and k^2(h-p) for a VAR model, where k is the number of dimension, h is the max lag for autocorrelation and p is the lag for VAR. For example, i...

Hi Tom, Could the program be modified to compute the impulse response of GDP to oil price? I understand the problem " impulse response of GDP to oil price" may make little economic sense, but under a few circumstances we have two variables, one of which is "relatively" exogenous,...

Thanks for your reply, Tom.
In the the output time series, what do U(1) and U(2) represent? Thanks!

Sorry for confusing. I estimate a VAR (with 4 lags) first, and then transform it to an SVAR framework with B, where B is an lower triangular matrix with unit diagonal. In SVAR terminology, the model is an A-model, which means we left-multiply y by matrix A( in this example B, the lower triangular ma...

Hi Tom, Thank you very much for your reply. I attempt to use a SVAR model, which is pretty similar to the Elder 2010 model, for Elder 2010 data. I compare the IRF of SVAR (Response of GDP to oil shock) and the IRF (GDPTOPLUSNOM, GDPTOMINUSNOM) of Elder 2010 model. The trends look similar, but the ma...

Hi Tom, I have questions about the variables. Could you check if I understand them correctly? 1. GDPTOPLUS ：Response of GDP growth to Positive oil shock GDPTOMINUS : Response of GDP growth to Negative oil shock GDPTOPLUSNOM : Response of GDP growth to Positive oil shock without M effect GDPTOMINUSNO...

Hi Tom, Thanks for your reply. I change the dataset and run the codes, but no convergence is obtained for nlags=1. However, I do have convergence for nlags=2. Is there anything I can modify in order to gain convergence for nlags=1? * The nlags is modified as follows * compute nlags=4 compute nlags=1...

Thank you very much, Tom. Everything works well with the latest file. I have one question regarding the memory used in RATS. When I let a rpf file run first after I opened RATS, I obtained some results. Then I ran other programs and came back to run the file that ran first, but the results were diff...

Hi Tom, Thanks for your reply. I believe that my data is ok. The basic thing I’d like to do is to investigate the impact of the conditional volatility of the first (relatively exogenous) variable on the second variable. Following your advice, I try to rescale the data and obtain the convergence. The...