The RATS Software Forum

Hi All, I am wondering if someone has written a program or procedure on computing Kilian (1998) "Small Sample Confidence Intervals for Impulse Response Functions", RESTATS, confidence bands? Would you be happy to share that with me? I have written a 2-step principal component estimation of...

Dear Tom, I am plotting FEVD stacked graphs for 3 different countries. Each country is decomposed by five factors. I am wondering whether it is possible to have one common legend showing the colour scheme of the five factors at the bottom of the SPGRAPH? If not with SPGRAPH, what might be another wa...

Thank you Tom.

Cheers, Shawn

Dear RATS users,

I am wondering if anyone may have Global VAR RATS code or some sort of tempelate that they are happy to share with me to help me understand the modelling approach.

Regards,

Shawn

I am using the two estimation programs provided in the forum to replicate Lanne and Lütkepohl’s 2008 paper I was wondering whether the D2(i) and D3(i) (i=1, 2, 3) parameters in the ‘llhetero’ program are the omegas in Table 2 in the paper. Because the RATS estimated parameters values for D2(i) and D...

Thank you Tom for your kind reply. The original BACE code is in GAUSS. Please find attached the code and the data.

Thanks again for your time.

Best Regards,

Shawn

Dear All, I am wondering if someone has coded the following paper in RATS and would be happy to share the code with me: Sala-i-Martin, Doppelhofer, and Miller (2004), "Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE)", American Economic Review, 94(4), pp...

Hello everyone, I am wondering if there are people who have tried coding up: (1) "The macroeconomy and the yield curve: a dynamic latent factor approach" by Diebold, Rudebusch, and Aruoba in Journal of Econometrics (2006) That's at http://www.estima.com/forum/viewtopic.php?f=8&t=1028 (...