The RATS Software Forum

YWZHENG wrote:such an example of 10.5 in rats 7.0 User's Guide.What does three lines stand for each other?

YWZHENG wrote:and how caculate the historical decomposition of CPI in page 20 of pass-through exchange.pdf.
thank you

YWZHENG wrote:thank you for moderator and TomDoan. I'm sorry for my behavior.
I have some qustions about historical decompostion need your help.
First,in page 372 of rats 7.0 UG,what's the relationship between each other? The solid line( actual GDP)= the base forecast(dotted line)+the effect of (in this case) the interest rate shock(The dashed line)? but the values of those are nearly.

YWZHENG wrote: Second,After I run the history.prg, I click the "data menu","show series window" and will show the list of series including history(1,1),history(2,1)and so on.What does they mean? history(1,1)is the base forecast,and the history(2,1)is the first shock? the values of history(j,1)are nearly.j=1,2,3,4,5,6.

YWZHENG wrote: Third,how caculate the catual GDP(in this case),base forecast and each shock by rats program such as pass-through exchange.pdf? I don't understand.

YWZHENG wrote: Third, The moderator considered that "The solid line is the actual GDP. The dotted line is the base forecast. The dashed line is the effect of (in this case) the interest rate shock" is different from yours.What' your opinion about the dashed line ?
How should I understand about " We can see the almost the entirely difference bewteen actual GDP(the solid line) and base forsecast can be contribuated to the interest rate shocks " as described on the page of 372 of the winrats 7.0 UG by graph ?

Thank you very much

YWZHENG wrote:As you decribed above, HISTORY(1,1) is the forecast for the first series; HISTORY(2,1) is the accumulated effect of the first shock to the first series, ... , HISTORY(N+1,1) is the accumulated effect of shock N to the first series.

But I find that the average value of HISTORY(1,1)=(forecast for the first series) and all of the HISTORY(N+1,1) are about 14 in history.prg in winrats 7.0.
I think there should be noticeable difference between HISTORY(1,1) and HISTORY(N+1,1),so as HISTORY(N+1,1) each other,but there are nearly. I think thre are maybe misunderstanding.

HISTORY(1,J)(T+h)+HISTORY(2,J)(T+h)+...+HISTORY(7,J)(T+h)= 7*14= ? = Y(T+h)

WALLE wrote:Hello,

I am estimating a 6 variable VAR and I was interested in carrying out the historical decomposition procedure. Upon reading the user guide. I came up with the following procedure after setting up and estimating the VAR.

Code: Select all

***************************************************************
*SET UP/ESTIMATE VAR SYSTEM
***************************************************************
compute neqn = 6
compute nlags = 2
compute nsteps = 12
compute ndraws = 10000

system(model=canvar)
variables OILP CAN_CPI_INF CAN_GDEF_INF CAN_WAG_INF CAN_OUTPUT CAN_UR
lags 1 to nlags
det constant
end(system)

estimate(noprint,resids=varresidscan)

**********************************************************************
*HISTORICAL DECOMPOSITION
**********************************************************************
compute hstart = 1970:01
compute hend  = 2010:04
compute modelsize=%modelsize(canvar)
dec vect[int] depvar(modelsize)
dec vect[labels] varlabels(modelsize)
ewise varlabels(i)=%modellabel(canvar,i)
compute depvar=%modeldepvars(canvar)
*
estimate(noprint,noftests,resids=resids)
history(model=canvar,add,results=history,from=hstart,to=hend)

do j=1,6
   spgraph(hfields=2,vfields=3,window=varlabels(j),$
     header="Historical Decomposition of "+varlabels(j))
   do i=1,6
      graph(header="Effect of "+varlabels(i)) 3
      # depvar(j) hstart-4 hend
      # history(1,j)
      # history(1+i,j)
   end do j
   spgraph(done)

The problem I have upon obtaining the output is I would like to obtain the effect of shocks in one variable in the variations in other variables as a standalone as opposed to the present output which is the historical decomposition of all the series to one another. Put simply I want to isolate the historical decomposition of a shock to one variable in all the others. In my case that of an oil shock on all the other series.

Thanks

do i=1,6
   spgraph(hfields=2,vfields=3,window=varlabels(i),$
	   header="Effect of "+varlabels(i))
   do j=1,6
      graph(header=varlabels(j)) 3
      # depvar(j) hstart-4 hend
      # history(1,j)
      # history(1+i,j)
   end do j
   spgraph(done)
end do i