The RATS Software Forum

Code: Select all

*
    *
    * Monte Carlo integration with shock to "exogenous" variable
    *
    compute lags=4            ;*Number of lags
    compute nstep=16         ;*Number of response steps
    compute ndraws=10000      ;*Number of keeper draws
    *
    open data "C:\Program Files (x86)\Estima\WinRATS 7\haversample.rat"
    cal(q) 1959
    data(format=rats) 1959:1 2006:4 ftb3 gdph ih cbhm
    *
    set loggdp = log(gdph)
    set loginv = log(ih)
    set logc   = log(cbhm)
    *
    *
* T-Bill rate is treated as exogenoussetset dftb3  = ftb3 - ftb3{1}
equation(coeffs=||1.0,-1.0||,identity) dratedef dftb3
# ftb3{0 1}

    system(model=vecmmodel)
    variables loggdp loginv logc
    lags 1 to lags
    ect ect1
    det constant dftb3{0 to 3}
    end(system)
    *
    * Define placeholder equation to allow shock to T-bills.
    *
    equation(empty) rateeq ftb3
    *
    ******************************************************************
    estimate
        dec rect lr(3,3) sr(3,3)
       input lr
       . . .
       . . .
       . . .

       input sr
       . . 0
       . . 0
       . 0 .

      dec rect rh(1,4) rv(3,1)
      input rv
      0 0 0
      input rh
      0 0 0 1
       dis rv rh
      impulse(model=%modelsubstect(vecmmodel),factor=%identity(3),results=baseimp,noprint,steps=500)
       compute lrsum=%xt(baseimp,500)

    @ShortAndLong(lr=lr,sr=sr,masum=lrsum) %sigma f
       compute f=f~rv~~rh

    impulse(noprint,model=%modelsubstect(vecmmodel)+rateeq+dratedef, factor=%identity(4), shocks=%unitv(%nvar+1,%nvar+1),$
result=impulses,steps=nstep)

Code: Select all

*
    *
    * Monte Carlo integration with shock to "exogenous" variable
    *
    compute lags=2            ;*Number of lags
    compute nstep=20         ;*Number of response steps
    compute ndraws=10000      ;*Number of keeper draws
    *
    open data "C:\..\Newfolder\FINAL1"
   calendar 1970 1 1
   all 2015:1
    data(format=xls,org=col) 1970:1 2015:1 lwEAC_B	lBuGDP	wEACI_B	BuIn	W	TOTC	OP	trend	DUM94	DUM9397	DUM15

    *
equation(coeffs=||0,0,1,0||) ect1
equation(coeffs=||0,0,0,1||) ect2
# lwEAC_B lBuGDP wEACI_B BuIn

    system(model=vecmodel)
    variables lwEAC_B lBuGDP wEACI_B BuIn
    lags 1 to lags
    ect ect1 ect2
    det constant trend DUM94 DUM15 DUM9397 TOTC{0 to 1} OP{0 to 1} W{0 to 1}
    end(system)
    *
    * Define placeholder equation to allow shock to TOTC OP and W.
    *
    equation(empty) toteq TOTC
equation(empty) oileq OP
equation(empty) worldeq W
    *
    ******************************************************************
    estimate
compute nshocks=1
compute nvar   =%nvar
compute fxx    =%decomp(%xx)
compute fwish  =%decomp(inv(%nobs*%sigma))
compute wishdof=%nobs-%nreg
compute betaols=%modelgetcoeffs(vecmodel)
*
declare vect[rect] %%responses(ndraws)
declare rect[series] impulses(nvar,nvar)

infobox(action=define,progress,lower=1,upper=ndraws) "Monte Carlo Integration"
do draw=1,ndraws
   *
   * On the odd values for <<draw>>, a draw is made from the inverse Wishart
   * distribution for the covariance matrix. This assumes use of the
   * Jeffrey's prior |S|^-(n+1)/2 where n is the number of equations in
   * the VAR. The posterior for S with that prior is inverse Wishart with
   * T-p d.f. (p = number of explanatory variables per equation) and
   * covariance matrix inv(T(S-hat)).
   *
   * Given the draw for S, a draw is made for the coefficients by adding
   * the mean from the least squares estimate to a draw from a
   * multivariate Normal with  (factor of) covariance matrix as the
   * Kroneker product of the factor of the draw for S and a factor of
   * the X'X^-1 from OLS.
   *
   * On even draws, the S is kept at the previous value, and the
   * coefficient draw is reflected through the mean.
   *
   if %clock(draw,2)==1 {
      compute sigmad  =%ranwisharti(fwish,wishdof)
      compute fsigma  =%decomp(sigmad)
      compute betau   =%ranmvkron(fsigma,fxx)
      compute betadraw=betaols+betau
   }
   else
      compute betadraw=betaols-betau
   *
   * Push the draw for the coefficient back into the model.
   *
   compute %modelsetcoeffs(vecmodel,betadraw)
   *
   * Shock the combination of the VAR + the placeholder equation with a
   * unit shock to the placeholder.
   *
   impulse(noprint,model=vecmodel+toteq+oileq+worldeq,shocks=%unitv(%nvar+1,%nvar+1),$
     result=impulses,steps=nstep)
   *
   * Save the impulse responses
   *
   dim %%responses(draw)(nvar*nshocks,nstep)
   ewise %%responses(draw)(i,j)=ix=%vec(%xt(impulses,j)),ix(i)
   infobox(current=draw)
end do draw
infobox(action=remove)
*
@mcgraphirf(model=vecmodel,shocklabels=||"To TOT"||,||"To Oilp"||,||"To World GDP"||)