I am trying to estimate a rolling bi-variate VAR as in Blanchard and Gali (2007): The Macroeconomic Effects Of Oil Price Shocks: Why Are The 2000s So Different From The 1970s? Basically its similar to the idea behind ROLLREG rolling regressions just that its a VAR with two variables. It's a more flexible approach to a normal VAR and its allows one to estimate rolling IRFs to shocks, based on a simple dynamic equation linking a variable of interest to its own lags and the current and lagged values of the other variable. It involves using a moving window of n observations which is 'rolled' over all observations to ascertain how the variables respond to shocks overtime in each other.
I would like to obtain the evolving Impulse response graphs of a shock in one variable to another, however I have had difficulty finding any codes similar to this. I will like to inquire if a procedure exists for this in RATS. If YES, I would like to be directed to it. If NO I would require assistance in coming up with a code to carry out the procedure if its possible on RATS. Thanks
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