The RATS Software Forum

This is what the code looks like so far: calendar(panelobs=22,a) 1990 all 22//2011:01 OPEN DATA "/Users/frank/Desktop/datafile_new_HC.xlsx" DATA(FORMAT=XLSX,ORG=COLUMNS) 1//1990:01 22//2011:01 merg gf gdp fmd hc infl print set dmerg = merg-merg{1} set dgf = gf-gf{1} set dgdp = gdp-gdp{1} s...

Or could you kindly suggest a way to determine the statistical significance of the impulse-responses?

Tom,

Thanks for your reply.

It seems I have no alternative to determine the significance of the IRFs other than the panel bootstrapping method.

How do I go about doing this panel bootstrap? Will they appear on the graphs of the IRFs?

Regards

Dear Tom, Thanks for your feedback. That could be interesting, I will defintely give it a shot. At the momen, I am having difficulty generating the error bands for the IRFs with the @montevar procedure and was wondering whether you could answer a quick question of mine. I am able to generate the IRF...

Tom, No worries, we are all in the same boat here. So let me get this straight: I obtain the first difference of the endogenous variables to get rid of the individual effects and essentially to use all the past information of Y(i,t) as instruments, which I do in the ablags step (restricting the max....

Tom, First off, thanks so much for all your help. I believe you may have mistaken COMPRESS for COLLAPSE, as compress does not appear on an options on the ablags.src procedure file. Using collapse, everything worked smoothly until the last step (3SLS with GMM weight matrix). It presents the following...

Tom, Thanks for your reply. I believe that this is my final doubt: In completing the 3SLS step, after I have grouped my six equations in to the 'pvar', I ran the command sur(model=pvar,inst,zudep,update=continuous) and got the following error: ## REG21. Can't Freely Estimate SW Matrix with 1440 Cond...

Dear Tom, Thanks for your response. My apologies, I meant to write that the 6-variable VAR is estimated only with the lags of the six variables, not the current values. (i) In this case, would the Holtz-Eakin-Newey-Rosen example be appropriate to replicate and how? Or would I have to use another met...

Dear Tom, I have a balanced panel dataset, with 22 countries over 22 years and 6 endogenous variables. Thus, my objective is estimate a VAR with 6 variables conditional on current and lagged values of all these 6 variables, contrary to the example given, where the VAR is estimated for two employment...