The RATS Software Forum

Has anybody implemented this paper by Matheson and Stavrev
"News and Monetary Shocks at a High Frequency: A Simple Approach"
Figure 1 in the paper.

https://www.imf.org/external/pubs/ft/wp ... p14167.pdf

Hi Tom, Thanks for explaining the above. I am a bit confused related to the interpretation and would apprecitae your help on this. Lets say, I remove a constant trend from policy uncertainty index and then take 100 * logs.Lets call this transformed variable as pu_tf and orginal variable in levels as...

Hi Tom, The shock size is defined in terms of the original levels of the impulse series x. But we enter the variable in log(x) (or 100 * log(x) as you have suggested) in the VAR model. If I am entering 100 * log(x) in the VAR model, and if I want to see the response of 100 * log(y) to the shock of a...

So instead of log x (impulse variable) and log y (response variable). I would now enter 100 * log x and 100 * log y in the model, so that responses will be in percentages to a 1SD shock in 100 * log x. Also in order to show a response to a specific size of shock a in x (i.e defined in levels, shock ...

I have a doubt related to expressing IRFs as "percent from baseline" as seen in the following link in Fig 3: https://www.federalreserve.gov/econres/notes/feds-notes/does-trade-policy-uncertainty-affect-global-economic-activity-20190904.htm Some of the variables in the model are in logs (an...

so should I just multiply them with the shocks instead shocks are computed as: compute bfactor = %decomp(%sigma) compute identvector=||1.0,1.0,0.0,0.0,1.0|| compute oil=bfactor*%diag(identvector)*inv(bfactor) dec vect[series] oilshocks(5) do t=hstart,hend compute %pt(oilshocks,t,oil*%xt(varresids,t)...

Hi, Could you tell me if I am understanding the output computation when a shocks variable is introduced in the forecast function correctly here: https://estima.com/ratshelp/index.html?forecastinstruction.html SYSTEM(MODEL=var1) VARIABLES v1 v2 v3 v4 v5 LAGS 1 TO 3 DET Constant END(SYSTEM) ESTIMATE(r...

Hi, Could you tell me if I understand this logic of branch 105 in the loop correctly: lets say I have 3 shocks and KMAX=5 do subdraws = 1,n2 . . . do k=1,KMAX+1 comp ikmat = %xt(impulses,k)*pmat ;* matrix of responses of i (row) to shock to j (col) do i = 1,nshock ;* loop across shocks to check sign...

How do I see the coeffs of a varmodel and its dimensions Lets say I have have a varmodel with 6 variables and 12 lags, I expect the coeff matrix to be of dimension 72 * 6 I then pass another coeff matrix into the varmodel as compute %modelsetcoeffs(varmodel,betadraw) I want to again print and see th...

I am trying to export a 6*6 matrix of type RECTANGULAR[REAL] to excel
open copy var_out.xls
copy(format=xls,org=columns) / var_out

This gives me an error:
Expected Type SERIES[REAL], Got RECTANGULAR[REAL] Instead

Hi,
How do I see dimensions of user defined arrays/matrices.
Lets say, I am creating a array SW

declare frml[symmetric] SW
frml SW = ||1.0-(rho1)**2||

How do I see the dimension of SW

Hi,
I am trying to export a bunch of timeseries from a RATS data file to excel.

It gives me an IO38 error, saying cannot convert between frequencies. I am trying to export weekly, monthly and quarterly series to the excel file.

Thanks

TomDoan wrote:Probably 400*log(x/x{1})

Thanks for explaining this. I have another doubt, is there a way to extract the data in the plots as csv or text file.

Hi, Could you tell me how to generate the data text file. As mentioned in the paper, they use logarithmic first differences of the real price of oil and real GDP. Checking the GDP numbers, they do not seem to match with the text file. That's the data file that we got from the authors. Historical va...

Hi,
Could you tell me how to generate the data text file. As mentioned in the paper, they use logarithmic first differences of the real price of oil and real GDP. Checking the GDP numbers, they do not seem to match
with the text file.