The RATS Software Forum

Dear Tom, Thank you for your reply. Diebold and Yilmaz compute the spillover index for 100 different orderings using Cholesky factorization in their 2011 paper ( http://www.nber.org/papers/w17490 ). In my model, while the large two sectors are obviously exogenous to the other five, it is not clear h...

Hi there, I am trying to estimate time-varying variance decompositions for 7 variables over 200-week rolling sample windows, using Cholesky factorization. I wrote a program pasted at the bottom (based on the program shared at http://www.estima.com/forum/viewtopic.php?f=8&t=986&hilit=diebold+...

I get your point--I need to think about a factorization that is suitable for my model.
Thank you so much for kindness and a series of guidance.

All the best,

Masafumi

Could you elaborate a little bit more on the "different definition"? I just wanted to measure spillovers as defined by Diebold-Yilmaz, but under a restriction that small economies do not generate spillovers to large ones. It went perfectly well for Cholesky decomposition, as I posted befor...

Dear Tom,

Thank you so much for your clear explanation.
Then I should try a structural VAR, right?

Masafumi

Dear Tom, Thank you so much for your quick reply. I deeply appreciate it. Following your advice, I constructed a near-VAR as follows. * Setup and estimate one lag VAR * system(model=ADV) variables R_USA R_EUR lags 1 det constant end(system) system(model=EAC) variables R_KEN R_TZA R_UGA R_RWA R_BDI l...

To Whom It May Concern, I am trying to estimate generalized variance decompositions for a 7-variable VAR model, using the code replicating Diebold-Yilmaz EJ 2009 ( http://www.estima.com/forum/viewtopic.php?f=8&t=986&hilit=diebold+yilmaz ). The thing is that I need to put constraints on some ...

Dear Tom, I heartily appreciate your quick response. It worked perfectly. One more question--my current program had only constants in the mean equation, but I would like to structure the mean equation as a VAR model with restrictions. In particular, I want to have a mean equation such as: x(t) = alp...

Hello, I am trying to estimate a multivariate GARCH model with restrictions using MAXIMIZE command. Then I have been wondering how I can conduct a LB-Q test by applying the @bdindtests procedure to the model I estimated. (This is my first time using RATS.) I got some results from what I tried, but t...