The RATS Software Forum

Thank you Tom for making this clear!
I very much appreciate it!

Best
Lena

Thanks Tom, I'm not 100% sure if I got your point since a lot of other papers in wich VIRF's are used also refer to the Jordan Decomposition but I will think about it!
At least I know that everything is fine with my calculation!

Best
Lena

Thank you Tom! But as far as I understand Hafner and Herwartz (2006) paper, they use Jordan decomposition to avoid typical orthogonalization and ordering problems. So if I use the actual data for my VIRF's wouldn't it be than necessary to calculate the "inital" shock afterwards? Sorry for ...

That's what I thought. I figured out, that you standardize the residuals by using the J-B test which (I suppose) saves them in v.
But still, why don't you use them in your calculation of the VIRF's?
Best

Lena

Dear Tom, althought I figured out how to estimate the VIRF's (thanks to your help!!!) I just realized that I never standardized the residuals to get identical and idenpendent shocks. So I tried to understand what you did in your GARCHMODELS.RPF procedure. In your example * Black Wednesday shocks. Th...

Thank you so much Tom!
Just to make it clear (sorry!), I do have to adapt mvgarchvarmats.rpf since my condtional variance includes the dummy, right?
Best
Lena

Dear Tom, many thanks for your reply! So I combined garchdummyspillover.rpf and garchmodels.rpf . However, I still don't now how to specify the shock for the VIRFs. In compute eps0=rv(ecpolicy).^2 compute sigma0=%xdiag(hf(blackwed)) I use the residuals rv from the base model ( which obviously is wro...

Thanks Tom!
I still have another question. What do I use for the residuals rv and the variance hh in

compute eps0=rv(blackwed)
compute sigma0=hh(blackwed) ?

I might get the residuals with %resids but what about the variance?
Thanks!
Lena

Thanks Tom for your rapid response!! Excactly, there must be several calculations for the VIRFs depending on the number of dummies included. I am not sure how to combine these two programs to solve this problem ( especially because I do have difficulties in understanding your code for the VIRFs). I'...

Dear Tom,

I was wondering whether it might be possible to combine the bivariate GARCH with dummies with your program to estimate the Hafner-Herwartz volatility impulse response functions.
And if so, could you give me some guidance here?

Thanks in advance for your reply,
Lena

Hi Tom, thank you for providing the code! I am wondering how to include a second or even third dummy variable in the model very much like in the Sun et. al. 2009 paper. I do understand that QC and QCD change their dimensions but I really get confused when it comes to the part where the vector of var...

Hello Tom, I am using your codes for Dueker's Qual VAR in a different context and I am wondering if there is any way to check for convergence of the gibbs sampler as in Primiceri (2005): Time Varying Structural Vector Autoregressions and Monetary Policy. Review of Economic Studies 72(3), 821–852.? L...

Dear Tom, I have a question concerning exogenous variables in the MV-EGARCH. I'm able to incorporate exogenous variables in the mean equation but have some trouble in adding variables to the variance. I'm wondering whether I have to change the z(i) FRML's (as you said) or whether I should do somethi...