The RATS Software Forum

Hi, Say for instance I have a near-VAR estimated using Seemingly Unrelated Regressions, I group the 11 equations into a system called VAR11 and then I use a non-recursive factorisation of the covariance matrix. The problem I have is that I want to get a specific shock of 0.25 to the interest rate va...

Hey hashem, You can use the RATS user guide and the walter enters guide that comes with the software. At least I found it on RATS 7.1. It's pretty useful and has instructions on how to estimate a VAR system or a Near VAR system, then specific a decomposition of your choice (cholesky or some non-recu...