The RATS Software Forum

Dear Tom,

thanks for the help!

Best

Siwen

Here is the plot code. spgraph(vfields=6,hfields=6) do j = 1,6 do i = 1,6 graph(min=-1.25,max=1.25,NODATES,VTICKS=4, NUMBER=0) 3 # IRFGRAPH(i,j) # upper_matrix(i,j) # lower_matrix(i,j) end do i end do j spgraph(done) However, the problem is not the plot, since the calculation of the upper_matrix and...

Sorry I didn't make the problem clear. I can estimate the confidence bands using the modified VARIRFDelta. As an example, here is a replication of an IRF of DRA(2006) in Figure 5 (Shock from Federal Funds Rate to Inflation, paper in attachment): irf.PNG However, my problem is, if I try to plot all t...

Changing to the correct shock %unitv(nvar,j) doesn't help..... Still the only the error bands of the last IRF is estimated. I think the problem lies in the loop structure.... For the modified VARIRFDelta.... Essentially I changed the %sigma in the code to the sw which is the covariance matrix of the...

Dear Tom, I used my modified VARIRFDelta and got the same confidence bands for every impulse response as in DRA2006.... The problem now is when the impulse responses should be plotted altogether, the loop below only estimates the last confidence band of the last impulse response (see attachment, rig...

Dear Tom, Thanks for the reply. Since the transition equation is basically a VAR(1) model, the formula of the IRF function "DLMIRF" is the same as in DRA(2006) which is a normal IRF (See Appendix A.1.2). A.1.2 also provides the Delta method for estimating the asymptotic standard errors of ...

Hi Tom, After some attempts, the Delta method described in the Diebold, Rudebusch and Aruoba (2006) paper for constructing error bands of state space IRFs seems to be very difficult to implement..... Is their a way to implement 1. Monte-Carlo or Bootstrapping methods for DLMIRF by using/modifying &q...

Oh yes, you're right. I will try to implement the error bands in RATS. Thanks Tom!

Dear Tom,

Thanks for the reply! Now the impulse responses are in line with these in the reference paper.
Do you have any ideas how the error bands could be constructed, or is there any literature on that?

Thanks

Dear all, I would like to use the code of Diebold Rudebusch Aruoba (2006) (yield-macro dynamic term structure model) to examine the effects of unconventional monetary policy in the euro area. As the first step, I try to replicate of the results of the reference paper to test the correctness of the R...