The RATS Software Forum

Thank you very much for your explanation.

Dear Tom,

But can we pick out a model from the admissible models obtained from the simulation based on the weight of first shock and see the impulse responses generated by that particular model for the other sign restricted shocks.

Dear Tom, My supervisor is keen on seeing a median target measure - i.e. impulse responses coming from a singe model across all shocks so that I can ensure that measure is actually representing orthogonal shocks (if I use the mean, it comes from different different models so I cannot be sure of the ...

Dear Tom, Sorry to bother you like this. Assume, there are no zero restrictions in the model, but there are multiple shocks specified by the sign restrictions. Then, how should we modify the Fry-Pagan example file to get the median target across all shocks (or at least the shocks specified by sign r...

Dear Tom, Thank you for your reply. I understand your point. However, this is not an issue since I have 7 variables in my model and I have only 3 shocks specified by sign and zero restrictions. But my question is, once I have simulated model and selected the admissable shocks how should I do the opt...

Dear Tom, Fry and Pagan (2009) paper has median and median target responses for all three shocks (in a three variable VAR) (page 22). To my understanding, they have done their optimization across all three shocks and across all variables to select one model which has impulse responses closest to the...

Dear Tom, Thanks for your advice. I have corrected the code as per your suggestion. Now I am trying to get the median target, but I get very weird lines for the median target measures, especially for the second and third shocks. The median target is completely out of the error bands in some IRF grap...

Dear Tom, I am trying to impose zero constraints with sign restrictions. There are three foreign variables and four domestic variables in my model. I want to impose two domestic shocks which will not affect the three foreign variables in the impact period. I have ordered the three foreign variables ...

Dear Tim,

But does the orthogonality of other shocks guarantee that they would not generate impulse responses that have same direction as in the sign restricted shocks. For example, can we guarantee none of the unidentified shocks have 'signs' similar to my world demand shock?

Dear Tom, Need another clarification. In Uhlig JME (2005) and Mountford and Uhlig JME(2009) (in replication files), the number of shocks identified is less than the total number of shocks in the model. So, is Cholesky decomposition used to identify the shocks that are not identified by the sign rest...

Dear Tom, This is with regard to my previous question on the restriction of domestic shocks affecting the foreign variables. I understand it is not possible to identify all my domestic shocks with zero restrictions using sign restriction technique. But is it possible to combine sign restrictions wit...

Dear Tom,

Then how can we restrict the domestic variables affecting the foreign variables in the contemporaneous period? I want show how the three foreign shocks are affecting the three foreign variables through FEVD.

Dear Tom, So if I want to have no effect from the domestic shocks on the foreign variables in the contemporaneous period, do I have to specify all domestic variable shocks with sign restriction+zero restriction? For example, for my first domestic shock should I have something like this? compute forc...

Dear Tom, I am confused now - I have set-up my system of equations like this in my TOT_setup file. system(model=foreign) variables EXPR IMPR FORGDP lags 1 to 2 determ constant gfc{0} end(system) system(model=domestic) variables GDP CPI INT REER TB lags 1 to 2 determ constant EXPR{1 to 2} IMPR{1 to 2...

Dear Tom, I have encountered few problems with my FEVD and HD. 1) Since this is a near-VAR model, the foreign variables are affected only by the foreign shocks. There are only three foreign variables and three foreign shocks specified by the sign restrictions in my model. Then, the FEVD of a foreign...