The RATS Software Forum

Dear Tom,

sorry for insisting but I am struggling with coding the long-run prior by Giannone et al.
Would you have any hint or useful routine about that?

Thanks in advance for taking the time to answer.

Regards

Dear Tom, I was wondering whether someone has tried to implement in RATS priors for the long-run like the ones by Giannone, Lenza and Primiceri (codes are available in MATLAB). Since it is a very influential paper, I was asking myself whether you have already started reasoning on this. Do you believ...

Dear Tom, I am struggling in understanding whether the IRFs of my VAR are satisfying my desired mix of zero and sign restrictions. As a matter of fact, I feel I am doing something wrong in imposing the zeros (i.e. building the matrices), but I hope to clarify in a second. I basically have a 5 variab...

Dear Tom, thanks a lot for your help! I am working on the code and it seems to produce the expected effect: I should be able in disentangling the effects of "investment and output shocks" adjusted to my specification. I was wondering whether the same trick could be applied to the historica...

Dear Tom, I apologize, I wans not clear neither. I included 6 variables (GDP, prices, policy rate, exchange rate, loans and loan rate) the financial stress indicator the ratio between fin.stress and VIX (standardized) in this sense, it looks consistent with including output and inv/output, not the t...

Dear Tom, thanks a lot for your reply. This was also my first view, but then I contacted the authors and they told me that they are restricting the responses. For now, I have included the ratio in the endogeunous variables vector Y_t, after having standardized the two variables of interest, to take ...

Dear Tom, I have a question on how to impose sign restrictions on the ratio between two variables. I clarify my objective in what follows. I am interesting in replicating a paper by Furlanetto, Ravazzolo and Seneca (2014), which I post here in the WP version (Table 3, page 22). http://www.norges-ban...

thanks a lot, Tom.

your help is invaluable!

Dear Tom, I am using the above program by Todd Clark to achieve historical decomposition after identifying 4 shocks. The strange thing, at least to me, is that the baseline looks to be different depending on the number of draws from the posterior and / or from the unit sphere (I mean, very different...

Thanks for your nice answer, Tom.
I will have a look at MU code and then get back to you, once I modify it (hopefully in an appropriate way).

Dear Tom, I am estimating a Bayesian VAR where my aim is twofold 1. I want an estimate of potential output 2. I want to assess the effects of other shocks on output Basically, I am trying to extend this paper by Luca Benati https://ideas.repec.org/a/eee/ecolet/v114y2012i1p113-119.html to allow for o...

Makes sense right now: I misread a 3 for a 2. Sorry for wasting your time. Probably I need a break and some coffee. However, I have a final question. So, to wrap-up: histdecomp(2,1) is the effect of supply shocks on output histdecomp(3,1) is the effect of demand shocks on output histdecomp(2,2) is t...

Dear Tom, sorry for the silly question, but I am relatively new in dealing with counterfactuals. Hence, I apologize in advance for lack of precision and mistakes in what follows. In the BQ (1989) code, to replicate the graph "Output fluctuations absent demand disturbances" we write the fol...

Dear Tom, by saying that RATS8 and Office 2003 is "fine" I mean that if I run the same code by using WinRATS 7.0, on the same machine, it correctly produces the file excel. By contrast, using the version RATS version 8.00 c(2010), it gives me the error message. Hope it clarifies your doubt...

Dear Tom, thanks for your reply. I am running a very basic FAVAR model for some macro variables, and interested in extracting a sort of composite financial indicator. However, as you can note in what follows, the problem does not depend on the model I am running: here is a code in which I just take ...