The RATS Software Forum

Hi Tom, "Another perspective on gasoline price responses to crude oil price changes" by Sajjadur Rahman, In computing the NIRFs he included the conditional variance in the model (GARCH -IN-MEAN model). It is not the case in Elder and Serletis paper where they used traditional IRFs. Please ...

Hi, I am interested in replicating the following papers: Another perspective on gasoline price responses to crude oil price changes. by Sajjadur Rahman, Energy Economic 2016 https://econpapers.repec.org/article/eeeeneeco/v_3a55_3ay_3a2016_3ai_3ac_3ap_3a10-18.htm kilian and Park (2009): THE IMPACT OF...

Hi Tom, does the @mcgraphirf by default do the 16, 84%-ile bands. i.e. in the below code if I don't include PERCENTILES=||.025,.975||, it will automatically does the 16- and 84%-ile? @mcgraphirf(model=basevar,include=||2||,center=median,PERCENTILES=||.025,.975||,$ shocklabels=||"Positive Oil Sh...

Hi Tom,

It is easier to see the difference between responses to positive and to negative shocks. So, I want to plot the irf for positive and the negative of the irf for a negative shock on one graph. Therefore, if I add the bands as lines the figure will look very crowded.

Hi Tom,

Is it correct like this:
thank you,

Hi Tom,

How can I adjust the code to show the 95% confidence intervals in the series?

Thank you for your time,

I have another question, Tom:
Is there a way I can add a square on the graph that shows the significance at the 5% level, as in the attached graph?

Thank you,

Hi,

I have another question about Elder-Serletis (2010) paper:

Are the bands established with 95% confidence intervals?

Thank you,

Hi Tom, I noticed that when running the code for the IRF using stock returns instead of gdp, the series for the stockreturnstoplusnom and stockreturnstominusnom does not show on the screen. i think the name is too long that's why. Is there a way that I can fix this problem without changing the name ...

Hi,

Regarding Elder-Serletis(2010) VAR-GARCH-M paper, after running the code for the IRF where can I find the results for the plots? Is it in the series: GDPTOPLUS and GDPTOMINUS? I just need to get the results and draw the figures using different software.

Thank you for your time,

It does, but I wasn't sure whether the nonlinear IRFs account for uncertainty effect or not! In Kilian and Vigfusson they don't.

So, would I be able to run 10,000 simulations on RATS?

Hi Tom,

The Kilian and Vigfusson (2013) code doesn't account for the uncertainty effect in the garch-in-mean VAR. So, I am not sure how to compute the nonlinear IRFs using a bivariate GARCH-in-mean VAR.

Thank you

I emailed him earlier today and waiting for his reply!

Hi, I am interested in replicating a paper by Chang and Serletis (2015): "Oil, Uncertainty, and Gasoline Prices". This is the URL: https://econ.ucalgary.ca/manageprofile/sites/econ.ucalgary.ca.manageprofile/files/unitis/publications/1-5859634/Chang-Serletis-Jan15.pdf specifically, I am int...