The RATS Software Forum

Is it possible to calculate the error variance for each accepted draw, and then use that info to construct an error variance graph from 1 to 50 steps ahead?

I guess what I'm saying is, instead of presenting the numbers, is there a better graphical presentation?

Can I not graph the FEVD for the 1, 2, 3, ....step ahead? So for GDP, can I simple create a graph of the numbers that coincide with the FEVD.

Thanks. How might I graph the FEVDs? I've tried the following, but no success. do i=1,nvar compute minlower=maxupper=0.0 smpl 1 accept do k=1,nstep set work = fevd(t)(k,i) compute frac=%fractiles(work,||.16,.50,.84||) compute lower(k)=frac(1) compute upper(k)=frac(3) compute resp(k)=frac(2) end do k

Tom,

How might I alter this code to produce forecast error variance decomposition?

I tried altering it with aspects of the Uhlig (2005) code, but had no success.

Thanks,

Yes, I did convert them to logs.

With the quarterly data I used data on GDP and the GDP deflator from FRED, but with the monthly data I found a monthly GDP measure and I computed the GDP delfator as (Nominal/Real)*100. For the monthly data I had values like 5 and 6, but for the quarterly data the measures were 100, 102, etc. So I s...

Thanks. The scaling of the GDP deflator varied substantially.

Tom, To get more observations I switched from quarterly to monthly data. However, running the sign-restricted VAR with monthly data leads to very large percent changes; instead of a .04 change, now I see changes of 20 or 30. Any idea what could be driving this? Is it just of function of rescaling my...

Is VAR analysis with 30 data points possible. Specifically, sign-restriction analysis with 7 variables, 6 of which are restricted?

Sort of, but is it not possible to make sure that the federal fund rate change is consistent across both methods?

In regards to code you posted for Uhlig 2005, is the behavior of the federal funds rate in the impulse vector consistent with a 50 basis point federal funds rate shock under recursive estimation? In other words, if I want to compare the results generated by this code to results from the recursive ap...

Not multiple shocks, less restrictions. Being agnostic about output and the price level.

One follow up, which is not necessarily related to code. What would be the implication of Uhlig remaining agnostic about the price level (GDP deflator) as well?

Thanks, I figured it out. You can do something like this and avoid having to save/copy and then read in the irfs. set GDP_spec1 1 nstep = ik=%xt(impulses,t)*a,ik(1) set GDP_spec2 1 nstep = ik=%xt(impulses,t)*a,ik(1) set GDP_spec3 1 nstep = ik=%xt(impulses,t)*a,ik(1) set GDP_spec4 1 nstep = ik=%xt(im...