The RATS Software Forum

Yes. Use the correct value for SSTART. Your working sample starts one period later.

Hi Tom,

Can you say me where I´m wronging in these irf´s ? Why are they have such irregulars moviments ?

Greatful !

Isn't your output measure in growth rates? That's what responses of growth rates look like.

Hi Tom,

please ! I have some doubts about how to interpreat the results of the Nlirf´s.

1. How Can I know if the variables to react significantly on shocks ?

2. In the file in attachment, for example, is it correct to conclude that the responses of the variables: "produto" (product) and "inflação" (inflation) not react significantly on monetary shock ?

Greatful

pbrigante wrote:Hi Tom,

please ! I have some doubts about how to interpreat the results of the Nlirf´s.

1. How Can I know if the variables to react significantly on shocks ?

There's no simple way to do that. The NLIRF's require a double level bootstrap just to get the point estimates. Confidence bands would require a completely new level of simulations to vary the model coefficients as well.

pbrigante wrote: 2. In the file in attachment, for example, is it correct to conclude that the responses of the variables: "produto" (product) and "inflação" (inflation) not react significantly on monetary shock ?

No. For instance, the values on the Produto IRF depend upon the relative scales of the two variables.

Dear Tom,

again I have a follow up question on the near-T-VAR. You said that I have to use SUR on different subsamples and then add the %logls.

1) How would I define the subsamples. For SUR there does not exist the convenient GROUP function. How can I use the SMPL option on SUR to get estimation for all the different subsamples?

2) What do you precisely mean by adding the %logls for the subsamples? Do you mean that when I have a threshold and estimate a lower and upper SUR, that I have to add the two %logls resulting from the two models defined by the sample split?

Best

Jules

Jules89 wrote:Dear Tom,

again I have a follow up question on the near-T-VAR. You said that I have to use SUR on different subsamples and then add the %logls.

1) How would I define the subsamples. For SUR there does not exist the convenient GROUP function. How can I use the SMPL option on SUR to get estimation for all the different subsamples?

SUR with SMPL=credthr{d}<=thresh and SUR with SMPL=credthr{d}>thresh

Jules89 wrote: 2) What do you precisely mean by adding the %logls for the subsamples? Do you mean that when I have a threshold and estimate a lower and upper SUR, that I have to add the two %logls resulting from the two models defined by the sample split?

Correct. Note that that will only give you the estimation with heterogeneous covariance matrices---there is no simple way to get a common covariance matrix when you are using SUR. (With identical regressors, the coefficients in each subsample are independent of the choice of covariance matrix, which is not true with a near-VAR).

Thanks,

that means that running the bootstrap tests as in Balke (2000) is going to be difficult. Do you thing the distortion from using var=hetero in the bootstrap is large?
Another question: why using sur rather thsn estimate?

Best

Jules

Jules89 wrote:Thanks,

that means that running the bootstrap tests as in Balke (2000) is going to be difficult. Do you thing the distortion from using var=hetero in the bootstrap is large?

That's hard to say, since the fixed regressor bootstrap won't apply otherwise.

Jules89 wrote: Another question: why using sur rather thsn estimate?

ESTIMATE does least squares equation by equation (whether that's maximum likelihood or not). SUR does joint estimation (whether it's needed to not).