The RATS Software Forum

Hi,

Do you mean that I apply the PMETHOD=GENETIC in the individual models and then use the generated initials values in the bivariate model, or I apply it directly in the the bivariate model.

Thank you.

Dear Tom, I hope this finds you well, I need your help concerning the code of the bivariate model of Sinclair (2009). I wanted to know how he found the initial values of the model. I contacted mr. Sinclair who replied as follows: "The best way to find appropriate initial values is to do a searc...

Dear Tom, I hope this finds you well, I followed the example 7.8 Using RUNTHEIL to pick the BVAR setup, and I ended up with a BVAR model that performs better than OLS one, according to the statistics computed by RUNTHEIL. However, as you know, I would like to compare the forecasting performance of B...

Dear Tom, I hope this finds you well, I would like to know if it's normal to have relative RMSE of two models; classical VAR and BVAR estimated with Gibbs sampling, very close to one? Does it means that the BVAR forecasting ability is close to that of classical VAR? Could it be a miss-specification ...

and I keep Simulate with the BVAR model, or I change it it also to Forecast, so I can compare the two models.

And what about using it with classical VAR, as following: Sur(print,robuserrors,model=SBVAR_EG,RESIDS=sisi) 8 1978:1 2005:1 Simulate(model=SBVAR_EG,results=Clas_simresults,from=fstart,to=fend) Do i=1,nvar Set forecastEorrder0(i) fstart fend = (%modeldepvars(SBVAR_EG)(i)- Clas_simresults(i))**2 Sstat...

In the gibbsvar.rpf, I can only see the simulate instruction, and it's used as I did, no?

Shouldn't it be used with classical VAR model? is that what do you mean?

what do you mean by "If there's no closed form for computing forecasts, you need to compute a large number of simulations"

So what do you recommend me to do, is there any program that did some thing similar?

Or what is the command that I should use to do this?

Dear Tom, I'm sorry to bother you with so many questions, I tried to implement what you recommended me to do to compare the forecasting performance of a BAVR estimated with Gibbs sampling and classical VAR one. I need only a confirmation that what I did is correct. I have a data sample 1974-2010, I ...

Dear Tom, I'm sorry to bother you with so many questions, I tried to implement what you recommended me to do to compare the forecasting performance of a BAVR estimated with Gibbs sampling and classical VAR one. I need only a confirmation that what I did is correct. I have a data sample 1974-2010, I ...

Hi Tom, Kindly find attached the program. I tried to apply the routine outside the loop to see what I can get. I end with a matrix which is (nhor,nvar), the difference between "baseplus" and 'base". I need to have (NVAR+1,NVAR) for each NHOR, which is organized for History command as ...

Dear Tom, I hope this finds you well, I applied the routine for my model, however, I need to get results in the same order as those obtained with History; a matrix(nvar+1,navr), which represents the average of ndraws results, so I can graph them as I need. Would you give me some guidance. Thank you ...

I bought the material, I wait for it.

Would you kindly give me more hints till I receive it as I need to finish this model as soon as I can.

Thank you very much

Dear Tom, I hope this finds you well, I would like to know why the sum of components resulting from historical decomposition, within gibbs sampling, does not sum to the actual observed value? is it the result of skewed distribution, I average the resulting components using this loop: Do i = 1,(nvar+...

Thank you.

and what about the lines of the graphs, how could I change their format?