impulse response

A forum for questions and answers regarding the CATS cointegration procedure

impulse response

Unread postby atarca » Fri Jul 30, 2021 5:03 pm

Hi,

Is it possible to use the EXPORT option of @CATS in order to obtain the impulse-response graphs by the below procedures?

@mcvardodraws(model=CatsModel)
@mcgraphirf(model=CatsModel,page=one,varlabels=vlabels,shocklabels=vlabels, center=median,percent=||.025,.975||)

Or is there any other way to obtain them with bands?

Tarkan
atarca
 
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Re: impulse response

Unread postby TomDoan » Tue Aug 03, 2021 12:39 pm

CATS just does point estimates. One problem with doing Monte Carlo integration with cointegrated models is that the "beta" has a non-standard conditional distribution. If you're willing to take beta as given the remainder of the parameters can be handled using standard techniques---see the MONTEVECM.RPF example. Making beta also unknown requires Gibbs sampling.
TomDoan
 
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Re: impulse response

Unread postby atarca » Sat Aug 21, 2021 6:51 am

TomDoan wrote:CATS just does point estimates. One problem with doing Monte Carlo integration with cointegrated models is that the "beta" has a non-standard conditional distribution. If you're willing to take beta as given the remainder of the parameters can be handled using standard techniques---see the MONTEVECM.RPF example. Making beta also unknown requires Gibbs sampling.


Thank you very much for your explanations, Tom.
Cheers
Tarkan
atarca
 
Posts: 25
Joined: Thu Dec 08, 2011 9:48 pm


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