The RATS Software Forum

You are right the equilibrium relationship seems odd to say the least. I was just focusing on the coding side. Thank you ! impulse(noprint,model=%modelsubstect(vecmmodel)+rateeq+dratedef, factor=%identity(4), shocks=%unitv(%nvar+1,%nvar+1),$ result=impulses,steps=nstep) is finally giving me what I w...

Thanks for the quick response Tom, It is working now. I have one question tough. I wanted to use short and long to identify other shocks. Therefore, I coded (using just sr restriction as an example) as attached below. Is this a correct way? I know that it does not matter for the particular shock to ...

It works fine for VAR. Then, I have modified the code as follow for vecm (leaving the MC part). When I run it, the programs freezes prompting me to close the program. * * Monte Carlo integration with shock to "exogenous" variable * compute lags=4 ;*Number of lags compute nstep=16 ;*Number ...

I am estimating a vector error correction model (vecm) and a shock to the exogenous variable as described above does not work. Any suggestion?
Best,

Dear Tom, I am new to rats, can you clarify on a couple of questions I have? Thank you in advance. 1. This is regarding the long-run restrictions. Even if one wants the (two) transitory shocks to have no permanent effects, it suffices to restrict one row to zero (because of the reduced rank of the l...