The RATS Software Forum

This is a replication file for Bjørnland, Hilde C. and Kai Leitemo (2009): "Identifying the Interdependence between US Monetary Policy and the Stock Market", Journal of Monetary Economics, vol 56, pp 275-282. This uses the ShortAndLong procedure (http://www.estima.com/forum/viewtopic.php?f=7&t=1095) to estimate a structural VAR on a five variable system, and includes Monte Carlo integration of the IRF's.

Dear Tom,

When I try to run the code you posted here, I got the following massage.
......
.......
20. INTR{4} NA
21. Constant NA

F-Tests, Dependent Variable INTR
Variance is Zero. Tests Can't be Done

## EQ4. Equation %MODELEQN(VARSTO Has At Least One Undefined or NA Coefficient

What is the problem here, how to handle it？

I am using Rats8.0.

Thanks

At first, I also come across this problem, but when I rerun the prog, this info is gone. So, you just rerun it.

However, in the 2nd time of runing this prog, a warning came out as

## OP3. This Instruction Does Not Have An Option FAC
>>>>teps=nsteps,factor=<<<<

What is the problem with my RATS pro 7.3?

pangchunyang wrote:At first, I also come across this problem, but when I rerun the prog, this info is gone. So, you just rerun it.

However, in the 2nd time of runing this prog, a warning came out as

## OP3. This Instruction Does Not Have An Option FAC
>>>>teps=nsteps,factor=<<<<

What is the problem with my RATS pro 7.3?

You need the updated VARIRF procedure:

http://www.estima.com/forum/viewtopic.php?f=7&t=1114

TomDoan wrote:

pangchunyang wrote:At first, I also come across this problem, but when I rerun the prog, this info is gone. So, you just rerun it.

However, in the 2nd time of runing this prog, a warning came out as

## OP3. This Instruction Does Not Have An Option FAC
>>>>teps=nsteps,factor=<<<<

What is the problem with my RATS pro 7.3?

You need the updated VARIRF procedure:

http://www.estima.com/forum/viewtopic.php?f=7&t=1114

Thank you, Tom! It works well and nearly exactly the same with the results in the original paper.