The RATS Software Forum

dear
may you provide the code the estimate the Panel Vecm model?
thank you very much
now i use pedroni' method get Fully Modified LS residuals , how to estimate the PVECM ?

dear
in the bekk model ,the parameters can not be interpreted on an individual basis
the functions of the parameters form the coeffecient of lagged variance ,covariance..
how to calculate the standard error of function of estimated coefficients using RATS?

dear
how to get the Impulse Responses mentioned in the paper?
thank you very very much

dear
How to set instrumental variable, so that each equation is just identified?

TomDoan wrote:To get the permanent shock, use @StructResids and take the first component. The common trend is just the accumulation of that.

code like this ?
"@structresids(factor=f) resids %regstart() %regend() sresids"
is the first component sresids(1)?

dear
how to determine the permanent shock and graph the common trend? through weakly exogenous test?
thank you

dear
how can i calculate the Accumulated Respones?
using
impulse(model=var,results=imp,steps=100)

thank
yes it is just example
2 equations can get 2*2 matrix
does it calculate through stacking uit or vit by T as two series?

in the panel data Simultaneous-Equations Models
how can i calcuate the covaricance matrix of vit and uit
my model is
yit =B*xit+vit
xit= A*yit+C*zit+uit

can i get single equation GLS estimator rather than using SUR

TomDoan wrote:That's what the 3SLS is at the end. You don't have to do the steps yourself.

in your meaning
3sls at the end is to get the gls estimator
am i right?

is it necessary to add the option "update=continuous,zudep"?

dear
the author use three steps to get the result

Here's an example which simulates a model which is log-linearized as part of the solution process, then transformed back to levels. Without seeing how yours is set up, it would be hard to determine the reason for that behavior. * * Stochastic AK model * dec series y k c theta dec real sigma beta n ...

dear
how can i do Jordan decomposition，if i have matrix a ||1,3|3,2||?
thank you very much

How do you want to combine them? GARCH generates a time-varying model for the covariance matrix; SVAR generates a time-invariant model for the covariance matrix. There are models like triangular BEKK which restrict how the GARCH variances are built. my meaning is "let the mean equation as the ...