The RATS Software Forum

Dear Tom, one last question. How should I decide whether to put the variables in levels or in log differences for a Panel VAR model? I already did the panel unit root tests and only one variable is stationary in levels, namely the interest rate. The others are not stationary. Should I do additionall...

Dear Tom, Could you please tell me if it is possible to apply the block exogeneity in cases of panel data models.
Thank you in advance!

Dear Tom, Thank you a thousand times!!!

Dear Tom, Could you please tell me what this test does? I am applying the panel var model and I want to check the Granger Causality between the variables but I am not sure whether this code the correct one is. In addition, I would like to know how to calculate the DFC? Thank you in advance! ***Grang...

You are totally right. Thank you very much. I really appreciate your help!

In the last part of the code, I insert in one graph two impulse response functions and I get this graph, which is not so clear. I run this code and I receive the following graph. I would like to have two different colors for the IRFs and one color for the confidence bands. Thank you in advance! spgr...

Dear Tom, Could you please tell me how could I edit the impulse response functions graphs, in order to be able to clearly distinguish between the two IRF functions and the standard errors. Attached to his post you will also find the code and the dataset. spgraph(vfields=1,hfields=5) do j=1,1 dofor i...

Your STARTE value is wrong for the data: compute starte=1976:3 You're doing 4 lags on a VAR on differences with raw data starting at 1975:3 so you're losing five data points not four. That means that the earliest date for the simulations is 1976:4. Dear Tom, Thank you very much. You gave me great h...

Hello everyone, I am trying to use the bootstrapping procedure for the panel var model that I have but I receive this message when I run the code "## SR10. Missing Values And/Or SMPL Options Leave No Usable Data Points The Error Occurred At Location 14723, Line 85 of loop/block" Could some...