The RATS Software Forum

Thank you for answering. I have given some thought about your last answers. 1. Ehrmann et al (2003) assume in their regime-dependent impulse response that the system is in a certain state and stayed in this regime over the propagation of the shock. Is it possible to code impulse response that allowe...

Hi, In the attached documents you will find the code that doesn't work. I already estimate the model with a VAR. I am using a MS model to be able to capture the different behavior between periods of time of high uncertainty and low uncertainty in the Canadian. I am searching for IRF in different reg...

Hi, The idea is to estimate a Markov switching VAR with a variable which captures the effect of uncertainty (EPUU) and the GDP of Canada. How uncertainty can impact the Canadian economy? After, I want to draw IRF responses from the estimation to see the different impact of uncertainty in different r...

Thank you. I have followed your instructions and understand them. I posted the code which is working for one variable. I tried to use more than one variable in the Markov-switching model to estimate and then draw IRF responses. Unfortunately, it does not work properly. I got this message: ## MAT6. T...

Hi, I am working on Impulse Response Function (IRF) on a Markov-Switching Structural Vector model. RATS allows me to estimate my MS-SVAR with mean as a switch using the procedure MSVARSetup. I would like to produce IRF responses in two different regimes. Unfortunately, I just found the work on Ehrma...