The RATS Software Forum

Hi Tom,

Could you give me a hint for coding up the SVAR model (in the paper A New Keynesian SVAR model of the Australian economy, Shawn Chen-Yu Leu 2011) like

u_x(t) = e_x(t) - r_x'*A*Q*e(t) + a1*(e_i(t) - r_pi'*A*Q*e(t)
...equation (17,18,19) (picture attached).

where u_x(t) is epsilon_x(t) in the paper.

I understand that r_x'*A*Q*e(t) is just forecasted errors of the respective variable but do not know how to write frml to put cvmodel solving structural params.

Many thanks.

Have you contacted Prof. Leu? Those look like RATS graphs.

Thank Tom, but I've just got this idea and can implement it.

Best,

Hi Tom,

Is it correct if the estimated params do not change over Kilian Bootstrap iterate?

I think we are shuffling the errors with replacement, hence, some params may change slightly! But all alpha, beta, gamma remain constants when I print out the values within the loop. Any advice?

Many thanks,

No, that's not correct. A bootstrap changes the VAR coefficients, which changes the A matrix and changes the residuals and thus changes the SVAR coefficients. You probably aren't recalculating the residuals and/or A matrix.