The RATS Software Forum

Hello-

I am new to RATS. Is there a straightforward way to generate the structural residuals generated for each accepted draw in the code from Todd Clark for implementing the RWZ sign restrictions identification (the code reports impulse response and historical decompositions, but not structural errors for the identified shocks, and I am a complete RATS novice; see code here:

http://www.estima.com/forum/viewtopic.php?f=4&t=439

).

Thank you

You use the procedure @StructResids (which is included with RATS). The standard residuals are computed in Todd Clark's program to the VECT[SERIES] called U. The factor matrix is in PAMat. So you would use

@StructResids(factor=PAMat) u hstart hend v

to transform the standard residuals U to the structural residuals V. If there's just one shock of interest, that will be the series V(1). If you want to keep track of these across draws, you will need to add:

dec vect[series] vdraws(nkeep)

before the outer loop and insert

set vdraws(accept) = v(1)

in the "accepted draw" code after you've calculated the structural residuals.