The RATS Software Forum

Is it possible (and reasonable) to standardise a shock to be a unit shock. I've read a couple of other threads on this and the Handbook for Vector Autoregressions but can't find any examples relevant to the Blanchard-Quah factorisation and when I implement "factor=%impulse(%nvar)" it ignor...

Sorry, here it is compute nvar = 3 compute nlags = 1 compute nsteps = 100 compute ndraws = 500 * system(model=threevar) var d2lrgdp dprivs dgovs lags 1 to nlags det end(system) estimate(noprint,resids=resids) compute vsigma=%sigma * @Varlagselect(lags=8,crit=aic) # d2lrgdp dprivs dgovs @Varlagselect...

Thank you - got that sorted. I am totally new to this sort of software, have only ever used pre-set function windows in Eviews. I am using the @MCGraphIRF(model=threevar,shocklabels=shocklabels,varlabels=varlabels,page=byshock) @MCProcessIRF(model=threevar,percentiles=||.16,.84||,center=median,lower...

Thanks! I think I must be getting quite tired missing these things..!! I've got a working MC code now but despite increasing the number of steps and draws, can't seem to get the response of output to a savings shock to converge to zero as it should do by my long run restriction. Is there something w...

Thank you - the zero lags was my problem. It looks much better now. I'm trying to run the Monte Carlo simulations for this program as well following b_l_jme_2009.prg from Bjornland and Leitemo's paper (2009). It runs fine until this point: dim %%responses(draw)(nvar*nvar,nsteps) ewise %%responses(dr...

Thank you, that makes sense. I am trying to estimate a five variable VAR to analyse the effects of a savings shock on GDP growth as well as the nominal interest rate, consumption and inflation. This is similar to that in Gali "Technology, Employment and the Business Cycle" (1999). It doesn...

Thank you Tom! That worked a treat. My query is that the impulse responses although qualitatively the same as the simple accumulated IRs (I put them into excel and took the cumulative sum myself) I got from my original estimation the numbers are a bit different... why might this be? Is there an erro...

Hi Tom, Thank you so much for your help. I increased the number of steps and it now converges to zero and looks very like the impulse responses I obtained from my original code. I am trying to implement the @MCProcessIRF code to graph my own impulse response functions in Excel. This is my code: comp...

Thank you for a speedy reply. I added in the accumulate option and I still get a very different looking impulse response function (i.e. the main thing is that the Monte Carlo ones are very smooth and do not give me a convergence to zero on the GDP response to a savings shock). Why might this be? Are...

Hi, I'm fairly new to RATS and hope you can help. I'm running a two variable VAR for US Real GDP and the US savings rate and imposing a long run restriction (Blanchard-Quah restriction) that states that shocks to the savings rate have no long run effect on the growth rate of GDP. I'm using the 2nd d...