The RATS Software Forum

I have another question regarding the choice of the optimal sampling method for a structural VAR with a near-VAR structure, i.e. where one or a block of variables is treated as exogenous. The RATS program montenearsvar shows how to implement a Metropolis-within-Gibbs sampler for this kind of models,...

Dear Tom, sorry I have to bring up this topic once again. After another reading of the Cushman & Zha paper, I stumbled across the following passage on page 437: To avoid potentially unreasonable restrictions, the non-Canadian block y 2 is simply kept in its reduced form with normalization in the...

Dear Tom, is there a RATS implementation of the rank condition for global identification developed by Rubio-Ramírez, Waggoner and Zha (RES 2010)? I tried to check this condition for the model that we are discussing here (Cushman and Zha JME 1997), but I always get matrices M j with different ranks b...

Thank you, now it works indeed. Should I be worried if my variance decomposition by variable does not add up to 100.0 for most of the variables and time horizons? For some of the longer horizons I even get values below 90.0... Of course the error bands are large enough to still allow for the 100.0 t...

Maybe my question was not clear-cut enough... I would like to know how to proceed in order to obtain impulse responses from a structural VAR estimated with Random walk MH or Independence chain MH, in the vein of examples 6.4 and 6.5 of the RATS Handbook for Bayesian Econometrics. I know I have to us...

Hello, I have acquired and studied both the VAR and the Bayesian Econometrics course material. However, I am still puzzled by the question of how to calculate the impulse responses for an SVAR using Metropolis-within-Gibbs (or Metropolis-Hastings, as it is usually called in the course material). Fro...

Hello, I am trying to set up a 7 variable near-VAR, where 3 (foreign) variables are assumed to stay unaffected by the other 4 (domestic) variables. Using the MonteSUR program, I am able to estimate the resulting impulse responses with a Cholesky factorization; however, I would prefer to apply a more...