The RATS Software Forum

Hi Tom, I want to run an MS-VAR model whose coefficients on the lagged variables will be changing over time. So far I have found examples where only the intercept and/or the shocks variances change over time. Is there any example I can refer to? Additionally, is there any example on how to compute t...

Hi all,

I was wondering if there is a procedure in RATS to perform the VAR parameters stability test of Bai, Lumsdaine and Stock (1998, ''Testing for and Dating Common Breaks in Multivariate Time Series'').

Thank you very much in advance.

Hi Tom,

So here's a paper by Troy Davig and Eric Leeper. I'm trying to replicate their results. Do you think RATS can do it?

Thanks a lot

sorry Tom I just saw your message, so basically, in the paper i am working there is also the assumption that the e variable follows an AR(1) as well. So if you look at the code that I had initially sent you, I didn't have that specification. If you add the AR process for the e variable, it works per...

Tom you are amazing.

I specified the dynamics of the e variable correctly and the simulation works perfect.

you saved me once again

thanks a lot

ok i see

so the problem is generated by e and ner.

thanks a lot tom

Try this form. I just corrected for the ner variable dec series dp z y r m g q e df du k hin fin s b d rf ep u pro h ystar prf gstar hf w de def rstar rfstar tran uip dec real beta theta ra ha fa ga hta sigma faip faiy eja gai rai eta cuta zita cutat vita vitad vitaf taf cut cutt fita ta tau taut nt...

i ll have a look and come back. however, when i run it to get the impulse responses i don't get a signal like this and it works fine. I don't know what went wrong.
i ll have a look.

Thank you

No worries. Ok so here's the example. It's a bit a big model though dec series dp z y r m g q e df du k hin fin s b d rf ep u pro h ystar prf gstar hf w de def rstar rfstar tran ner uip dec real beta theta ra ha fa ga hta sigma faip faiy eja gai rai eta cuta zita cutat vita vitad vitaf taf cut cutt ...

Ok, so basically assume a dsge model of inflation, output and interest rate as follows: frml(identity) f1 = dp - beta*dp{-1} - kappa*y frml(identity) f2 = y - y{-1} + (1/sigma)*(r - dp{-1}) frml(identity) f3 = r - faip*dp - faiy*y - u frml f4 = u - rho*u{1} group dsge f1 f2 f3 f4 dsge(...) dp y r co...

Hi Tom

I was trying to simulate a simple dsge model for 1000 periods. The model is already in loglinear form. I tried the standard dlm instruction, but RATS does not generate data, just one first value and then it says +NAN.
Any suggestions?

Thanks in advance.

yes, thank you very much Tom. So, basically, it's like having two separate models, i.e. two dsge instructions. So for stability, I guess, you need both to converge uniquely (i.e. Blanshard-Kahn or Sims). So as I understand the final dlm instruction that you wrote collapses them into one. Thank you Tom

Ok I see. Or, I guess, if you simulate as in the above example and you specify two different A matrices for different periods in the simulation exercise.

ok I see. So can this code be modified so that to allow for variation in the A matrix (in a regime switching fashion)? If this is the case I guess one will need two dsge instructions to generate the impulse responses, no? What about the dlmirf? Is there a new version of it accounting for regime swit...

Hi Tom, Further to our previous discussions on time variation and regime switching, I tried to calibrate a simple dsge where the interest rate rule is i = a1*y+a2*p^2, i.e. quadratic in the inflation rate. I tried then to extract the impulse responses using the dlmirf and it worked. However I wanted...