The RATS Software Forum

Hi Tom I saw there is a code to bootstrap or forecast from mvgarch, but not dcc for obvious reasons. However, would you have anything ready, based on sensible assumptions on how to forecast from dcc as for example in the original engle sheppard paper, to be used to bootstrap from dcc, i mean taking ...

Dear Tom I was trying to replicate the condition.src code for a usage within a Threshold Var model. I got stuck with overlay, i.e. when you do overlay capr(1,constr) with overr(nsteps,nvar) In the case i have where nsteps = 12, nvar = 4 and constr = 4 (2 per variable) what exactly does overlay? Coul...

aarghh, so easy ... the user's guide gives example with one vector only (as also does johmle.src) and i though you could only do it with one ...
good to see it's so easy
thanks Tom

Hi Tom
any quick trick to estimate a VAR with cointegration but with 2 cointegrating vectors (not using cats, i mean, but through the ect statement into the system definition)?
Thanks a lot
Fabio

I know Tom but i was trying to replicate the results in a recent set of papers by Diebold and Yilmaz about spillovers. They define spillovers as selected ratios of fevd at given horizons. While they start with the case of cholesky they then adopt the GFEVD as in Pesaran et al., as if you want to mea...

Tom
it's ok to do generalised IR functions in rats. But would you also have ready a few lines for the generalised FEVD?
Thanks a lot for support
Fabio

thanks a lot Tom.
will see how it works with three shocks before moving on ... needs really lots of draws to get acceptances ...
will let you know
thanks f

Hi Tom thanks for the extension of the sign restriction to 2 impulse responses. One question. I have three shocks to identify, then I can simply extend the process you did? That is for the third shocks i could comp v3 = %rannmat(whatever) and then comp v3(1) = 0 comp v3(2) = 0 ... and finally comp v...