The RATS Software Forum

Hi Tom, I was wondering if you could help me with setting this model up for a bivariate VAR. Would the following code do it, and can I then use the "factor" option in the cvmodel command to conduct innovation accounting (IRFs, FEVDs and historical decomps)? Thanks in advance! system(model=...

a basic question on the code; is it robust to different number of endogenous variables (in my case, four) and adding dummies as exogenous variables (in my case, the exogenous part would be a n x 4 matrix rather than a n x 1 vector).

thanks in advance!

Hi, I would like to estimate a panel VAR which has 60 observations for 3 variables across 5 groups. I think I have found the code here to do the usual Eakin-Newey-Rosen type basic estimation of this. However, I would then like to get IRFs for each group and each variable, as well as the aggregate m...

Hi, I would like to estimate a panel VAR which has 60 observations for 3 variables across 5 groups. I think I have found the code here to do the usual Eakin-Newey-Rosen type basic estimation of this. However, I would then like to get IRFs for each group and each variable, as well as the aggregate mo...

thanks. actually, managed to get the same results for the unconditional forecasts. i don't think it matters where the constants are in the VECM for the forecast. however, wondering why i can't produce conditional forecasts as expected. i.e., if i assume i know the path for rcc_log and uncert from 20...

Thanks Tom! i have modified the code slightly (below); this now gives me IRFs which are close to what the other programme gives. however, IRFs are not exactly the same, and the forecasts for the variable i'm interested in (i_log) look very different. not sure why this is, could be that the constants...

Hi, for some reason, I cannot replicate the results for a simple VECM i get from another econometric package (EViews), and i was wondering if you could tell me why. the model is an unrestricted VECM with one cointegrating vector and 1 lag. is there something in the way the VECM is set up in Rats tha...