The RATS Software Forum

Hi Tom, I am looking for RATS code on identifying monetary policy shocks using external instruments and estimating by local projections. Its very popular now. But most replication codes posted by authors use Stata or MATLAB. Is there any RATS program on LP-IV. It would be very helpful. Could you ple...

Hi Tom, I had a question regarding confidence intervals. I am trying to look at Uhlig's sign restrictions code and I am trying to use a few steps from there for my code. My work is based on identifying shocks using recursive ordering, but inorder to draw confidence intervals, I was trying to write t...

Hi Tom, I am working on a FAVAR model. I am studying the effect of exchange rate shocks on US economy using 2 step PCA, and identification based on recursive ordering of variables. If you see my code attached, I have first grouped variables into similar variables. There are 5 groups –economic activi...

I know they'll pretty much look the same. But that would always be the case when we try to analyse the shock on 72 food prices through the latent factor lambda. I would perhaps go with a few graphs as you advised.

Hi Tom,

Is this correct?
Thanks a ton for all your help.
Kind Regards

Thank you so much Tom. Let me try. I am also wondering how to graph them i.e. present them.

I have a 6 variable VAR-GDP, CPI, FOOD PRICE, INTEREST RATE, CONSUMER EXPENDITURE AND MONEY SUPPLY. THE FOOD PRICE that I am using here is what I get after getting a latent factor from the list of 72 food prices through PCA . I call that F(1). I use F(1) as my food price in the 6 Variable VAR. I the...

The thing is I have 72 individual food prices and for each of these I want to get the IRF's. So I am multiplying the LATENT FACTOR lambda(there are 72 of these) with the main IRF of (3,4) the third variable to fourth shock.(Food Price to inr shock) is this right? So initially I was doing in short ru...

Hi Tom, I have another question in sign restrictions. I need to multiply a scalar lambda with the impulse response of third variable to 4th shock, (i.e. foodprice to inr shock). I was thinking how to multiply the elements of lambda with the impulse(3,4). Initially when I started off with short run c...

Oh ok , yeah I see the mistake..Many Many Thanks Tom. !!

Hi Tom, So I modified the Uhlig code according to my variable..But I am not getting any accepted draws.. could you see if this code is fine? * CALENDAR(q) 1996:1 open data lkdata1996.xls data(format=xls,org=cols) 1996:1 2013:4 GDP INR CPI FoodPrice nms REER * set lnrgdp = log(gdp/cpi)*100 set lncpi ...

Thank you so much Tom. So its plotting the maximum and minimum of the impulse responses that satisfy the restrictions. So now if I have to replicate the same for my work, i.e. in my restrictions I basically apply to this part of the code right? I will make the necessary changes according to my order...

Hi, I am working on sign restrictions. I am trying to understand the following part of the code: do k=1,KMAX+1 compute ik=%xt(impulses,k)*a if ik(4)<0.or.ik(3)>0.or.ik(2)>0.or.ik(5)>0 goto reject end do k gset oneresp 1 nsteps = %xt(impulses,t)*a do i=1,nvar set maxi(i) 1 nsteps = %max(oneresp{0}(i)...

Hi Tom, I still have a query. So I have accumulated the shocks using the following impulse(model=bqvar,result=impulses,factor=bqfactor, steps=ksteps) dec rect[ser] accumimp(%nvar,%nvar) do i=1,%nvar do j=1,%nvar accumulate impulses(i,j) 1 ksteps accumimp(i,j) end do i end do j On the series window I...

Hi Tom, I have a question. So, I am using the long run monetary neutrality assumption as in BQ. I use the following code: estimate compute bqfactor=%bqfactor(%sigma,%varlagsums) compute implabel = || "Real GDP","Interest Rate","Real Money","Nominal Money" || i...